20140728-穆迪服务-Russian_Market_Credit_Risk_Signals_Rise_After_New_Sanctions__Argentina_Elevated,_but_Steady_17页_1mb

Market Signals Sovereign Risk Report Summary

Core Content

This report provides an analysis of sovereign credit risk signals in various markets, focusing on the impact of recent geopolitical events and economic developments. It highlights the use of Sovereign EDF™ (Expected Default Frequency) and other market-based credit risk measures to assess the likelihood of default for different countries. The EDF is derived from credit default swap (CDS) spreads, adjusted for loss-given default and the market price of risk, offering a forward-looking assessment of credit risk.

Key Highlights

Russia

• Sovereign EDF (1-Year): Increased from 0.12% to 0.17% as of July 25, 2014, following the downing of a Malaysian Airlines flight and subsequent US sanctions.
• CDS Implied Rating: Rose from Ba2 to Ba3, indicating heightened credit risk.
• Bond Implied Rating: Rose from Ba1 to Ba2, suggesting improved market perception of Russia's debt.
• Senior Rating: Remained at Baa1.
• Market Impact: The Russian MICEX equity index dropped by 6% since July 16, reflecting investor concerns over sanctions and geopolitical risks.
• Moody's Credit Opinion: While Russia has a strong government balance sheet and low external vulnerability, challenges include impaired institutions, economic volatility from commodity price swings, and increasing geopolitical risk.

Argentina

• Sovereign EDF (1-Year): Remained elevated but stable around 5%, with no significant change over the past week.
• CDS Implied Rating: Stable at Baa2.
• Bond Implied Rating: Stable at Baa2.
• Senior Rating: Stable at Baa2.
• Market Impact: Argentina faces a 30-day grace period to pay $539 million in missed coupon payments to holdout creditors, with a potential default next week if no agreement is reached. Despite the uncertainty, investors remain cautiously optimistic about resolution.

Asia-Pacific Overview

Europe Overview

Main Points and Trends

• Russia: The sovereign EDF increased due to the political crisis with Ukraine and new sanctions. Despite a slight recent improvement, the EDF remains 0.17%, significantly higher than other European countries. The bond and CDS implied ratings have fallen, reflecting market concerns.
• Argentina: The EDF remains around 5%, with the country at risk of default if no resolution is reached. However, investors remain hopeful about a resolution.
• Europe: The average one-year Sovereign EDF for European countries dropped by 7% to 0.09%, with most countries showing stable or slightly improved ratings. However, Greece and Cyprus have higher EDFs, indicating greater credit risk.
• Asia-Pacific: Most countries show low EDFs, with Australia, Japan, and New Zealand maintaining very low default probabilities. China and Vietnam have slightly higher EDFs, but remain stable.

Conclusion

The report outlines how market signals, particularly Sovereign EDF and CDS-implied ratings, reflect the evolving credit risk landscape. Russia and Argentina are highlighted as countries with notable increases in perceived risk, while most European and Asian countries show stability or improvement. The analysis underscores the importance of monitoring geopolitical events and economic sanctions in assessing sovereign risk.