20131209-穆迪服务-Market_Signals_Show_Investor_Wariness_on_Ukraine_17页_1mb
报告摘要
Moody's Market Signals Sovereign Risk Report Summary
Core Content
This report by Moody's Capital Markets Research (CMR) analyzes market signals related to sovereign risk across various countries, focusing on how credit and equity markets reflect the creditworthiness and political stability of issuers. The report highlights the impact of political events and economic factors on market-based risk measures and provides insights into how these measures compare to Moody's official ratings.
Main Points
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Ukraine's Market Risk Deterioration:
- Ukraine's market-based probability of default, as measured by its five-year cumulative CDS-implied EDF™, rose from 10.26% to 14.48% since mid-October.
- The 10-year government bond prices fell by 9 points, dropping below 81.
- The 5-year CDS spread widened by 200 bp.
- Both the bond and CDS credit spreads map to Ca on Moody's rating scale.
- The suspension of the EU trade agreement led to political demonstrations, reminiscent of the 2004 Orange Revolution.
- Despite a failed no-confidence vote, investors view the political instability as a credit negative.
- Moody's noted that the suspension of the trade agreement hinders economic and institutional credit improvements and could lead to a severe administrative crisis.
-
Moody's Downgrade and Review:
- In September, Moody's Investors Service downgraded Ukraine's government bond rating from B3 to Caa1.
- The rating was placed on review for further downgrade due to:
- Deteriorating external liquidity position (low foreign currency reserves and upcoming foreign currency debt maturities).
- Increased downside risks from potential IMF negotiations.
- Russia's disapproval of Ukraine's EU trade agreement intentions.
-
Market Reactions:
- Market-based risk measures initially improved in October but deteriorated again in November.
- The deterioration was in anticipation of the EU summit where the trade agreement was expected to be signed.
- The Ukrainian government's decision not to sign the agreement triggered market concerns.
Key Information
-
Market-Based Risk Measures:
- EDF™ (Expected Default Frequency): Reflects the market's assessment of the probability of default.
- CDS (Credit Default Swap): Widening spreads indicate increased perceived risk.
- Bond Implied Ratings: Reflect market expectations of creditworthiness based on bond prices.
- CDS Implied Ratings: Reflect credit risk based on CDS spreads.
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Comparisons with Other Sovereigns:
- Ukraine's EDF measures are among the worst tracked by Moody's, second only to Argentina and Venezuela.
- The report also includes data on other countries in the Asia-Pacific and Europe regions, highlighting changes in their market-based risk measures and ratings over time.
Asia-Pacific Summary
| Country | CDS Implied-EDF (1-Year) | CDS Implied-Rating | Bond Implied-Rating | Senior Rating | 12 MO Change |
|---|---|---|---|---|---|
| Australia | 0.02% | A1 | Aaa | Aaa | 0 bps |
| China | 0.04% → 0.03% → 0.03% → 0.03% → 0.04% | Baa1 → Ba2 → A3 → A3 → Baa1 | Baa1 → Baa3 → Baa1 → A2 → A2 | Aa3 → Aa3 → Aa3 → Aa3 → Aa3 | -3 |
| Hong Kong | 0.02% | A2 → A1 | -- | Aa1 | -3 |
| Indonesia | 0.16% → 0.16% → 0.16% → 0.19% → 0.18% | Ba2 → Ba1 → Ba2 → Ba2 → Ba2 | Ba1 → Ba1 → Ba1 → Ba1 → Ba2 | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | -3 |
| Japan | 0.03% → 0.03% → 0.03% → 0.03% → 0.02% | A3 → A2 → A2 → A2 → A2 | Aaa → Aaa → Aaa → Aaa → Aaa | Aa3 → Aa3 → Aa3 → Aa3 → Aa3 | -2 |
| Korea | 0.03% | A3 → A3 → A3 → A3 → A3 | A3 → A3 → A2 → A3 → A3 | Aa3 → Aa3 → Aa3 → Aa3 → Aa3 | -2 |
| Malaysia | 0.06% → 0.06% → 0.05% → 0.05% → 0.06% | Baa2 → Baa2 → Baa2 → Baa2 → Baa2 | Baa2 → Baa2 → Baa2 → Baa1 → Baa1 | A3 → A3 → A3 → A3 → A3 | -3 |
| New Zealand | 0.02% → 0.02% → 0.02% → 0.02% → 0.02% | A1 → A1 → A1 → A1 → A1 | -- | Aaa | -2 |
| Philippines | 0.05% → 0.06% → 0.06% → 0.06% → 0.07% | Baa2 → Baa2 → Baa2 → Baa2 → Baa2 | Baa2 → Baa2 → Baa2 → Baa1 → Ba2 | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | -3 |
| Singapore | -- | -- | -- | Aaa | 0 |
| Sri Lanka | 0.40% → 0.39% → 0.41% → 0.43% → 0.44% | B2 → B2 → B3 → B3 → B3 | B1 → B1 → B1 → B2 → B2 | B1 → B1 → B1 → B1 → B1 | 0 |
| Taiwan | 0.06% → 0.05% → 0.06% → 0.06% → 0.06% | Baa2 → Baa2 → -- → Baa2 → -- | -- | Aa3 | 0 |
Europe Summary
| Country | CDS Implied-EDF (1-Year) | CDS Implied-Rating | Bond Implied-Rating | Senior Rating | 12 MO Change |
|---|---|---|---|---|---|
| Austria | 0.01% → 0.01% → 0.01% → 0.01% → 0.02% | Aa1 → Aa2 → Aa2 → A1 → A1 | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | -2 |
| Belgium | 0.02% → 0.01% → 0.02% → 0.02% → 0.02% | A2 → A2 → A2 → A2 → A2 | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | -2 |
| Bulgaria | 0.07% → 0.07% → 0.07% → 0.07% → 0.07% | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | Baa2 → Baa2 → Baa2 → Baa2 → Baa2 | Baa2 → Baa2 → Baa2 → Baa2 → Baa2 | 0 |
| Croatia | 0.27% → 0.27% → 0.33% → 0.34% → 0.36% | B2 → B2 → B2 → B2 → B2 | Ba3 → Ba3 → Ba3 → Ba3 → Ba3 | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | -2 |
| Cyprus | 1.62% → 1.70% → 1.76% → 1.76% → 1.78% | Caa2 → Caa2 → Caa2 → Caa2 → Caa2 | Caa3 → Caa3 → Caa3 → Caa3 → Caa3 | Caa3 → Caa3 → Caa3 → Caa3 → Caa3 | -3 |
| Czech Republic | 0.03% → 0.03% → 0.03% → 0.03% → 0.03% | A3 → A3 → A3 → A3 → A3 | Aa3 → Aa2 → Aa2 → Aa2 → Aa2 | A1 → A1 → A1 → A1 → A1 | 0 |
| Denmark | 0.01% → 0.01% → 0.01% → 0.01% → 0.01% | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | 0 |
| Finland | 0.01% → 0.01% → 0.01% → 0.01% → 0.01% | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | 0 |
| France | 0.02% → 0.01% → 0.02% → 0.02% → 0.03% | A2 → A2 → A2 → A2 → A2 | Aaa → Aaa → Aaa → Aaa → Aaa | Aa1 → Aa1 → Aa1 → Aa1 → Aa1 | -1 |
| Germany | 0.01% → 0.01% → 0.01% → 0.01% → 0.01% | Aaa → Aaa → Aaa → Aa1 → Aa1 | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | 0 |
| Greece | 0.90% → 0.92% → 0.91% → 1.19% → 0.92% | Caa1 → Caa1 → Caa1 → Caa1 → Caa1 | Caa3 → Caa3 → Ca → C → Ca | C → C → C → C → Caa3 | +2 |
| Hungary | 0.20% → 0.18% → 0.20% → 0.20% → 0.22% | Ba3 → Ba3 → Ba3 → B1 → B1 | Ba2 → Ba2 → Ba2 → Ba2 → Ba2 | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | 0 |
| Iceland | 0.09% → 0.10% → 0.10% → 0.11% → 0.12% | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | Ba2 → Ba2 → Ba2 → Ba2 → Ba2 | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | 0 |
| Ireland | 0.06% → 0.06% → 0.06% → 0.06% → 0.06% | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | Baa1 → Baa1 → Baa1 → Baa1 → A3 | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | +3 |
| Italy | 0.14% → 0.13% → 0.13% → 0.13% → 0.14% | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | Baa2 → Baa2 → Baa2 → Baa2 → Baa2 | Baa2 → Baa2 → Baa2 → Baa2 → Baa2 | 0 |
| Latvia | 0.06% → 0.06% → 0.06% → 0.06% → 0.06% | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | Baa2 → Baa2 → Baa1 → Baa1 → Baa1 | A3 → A3 → A3 → A3 → A3 | +2 |
| Lithuania | 0.06% → 0.06% → 0.06% → 0.07% → 0.07% | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | Baa2 → Baa2 → Baa2 → Baa2 → Baa2 | Baa1 → Baa1 → Baa1 → Baa1 → Baa1 | 0 |
| Malta | 0.15% → 0.15% → 0.15% → 0.16% → 0.16% | -- → -- → -- → -- → -- | Baa1 → Baa1 → Baa1 → Baa1 → Baa1 | A3 → A3 → A3 → A3 → A3 | 0 |
| Netherlands | 0.01% → 0.01% → 0.01% → 0.01% → 0.02% | Aa2 → Aa3 → Aa3 → A1 → A1 | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | -2 |
| Norway | 0.01% → 0.01% → 0.01% → 0.01% → 0.01% | Aaa → Aaa → Aaa → Aaa → Aaa | -- → -- → -- → -- → -- | Aaa → Aaa → Aaa → Aaa → Aaa | 0 |
| Poland | 0.04% → 0.04% → 0.04% → 0.04% → 0.04% | Baa1 → Baa1 → Baa1 → Baa1 → Baa1 | A1 → A1 → A1 → A1 → A1 | A2 → A2 → A2 → A2 → A2 | +2 |
| Portugal | 0.27% → 0.28% → 0.29% → 0.28% → 0.32% | B2 → B2 → B2 → B2 → B2 | Ba3 → Ba3 → Ba3 → Ba3 → B1 | Ba3 → Ba3 → Ba3 → Ba3 → Ba3 | 0 |
| Romania | 0.11% → 0.11% → 0.11% → 0.12% → 0.13% | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | 0 |
| Russian Federation | 0.11% → 0.11% → 0.11% → 0.12% → 0.12% | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | Baa2 → Baa2 → Baa2 → Baa2 → Baa3 | Baa1 → Baa1 → Baa1 → Baa1 → Baa1 | -2 |
| Slovakia | 0.04% → 0.04% → 0.04% → 0.04% → 0.04% | Baa1 → Baa1 → Baa1 → Baa1 → Baa1 | A1 → A1 → Aa3 → Aa3 → Aa3 | A2 → A2 → A2 → A2 → A2 | +1 |
| Slovenia | 0.30% → 0.26% → 0.25% → 0.25% → 0.27% | B1 → Ba3 → Ba3 → B1 → B1 | Ba3 → Ba3 → Ba2 → Ba2 → Ba2 | Ba1 → Ba1 → Ba1 → Ba1 → Ba1 | -2 |
| Spain | 0.11% → 0.10% → 0.10% → 0.10% → 0.12% | Ba1 → Ba1 → Baa3 → Ba1 → Ba1 | Baa2 → Baa2 → Baa2 → Baa3 → Baa3 | Baa3 → Baa3 → Baa3 → Baa3 → Baa3 | 0 |
| Sweden | 0.01% → 0.01% → 0.01% → 0.01% → 0.01% | Aaa → Aaa → Aaa → Aaa → Aaa | Aa1 → Aa1 → Aa1 → Aa1 → Aa1 | Aaa → Aaa → Aaa → Aaa → Aaa | 0 |
| Switzerland | 0.01% → 0.01% → 0.01% → 0.01% → 0.01% | Aa2 → Aa2 → Aa2 → Aa2 → Aa2 | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | 0 |
| United Kingdom | 0.01% → 0.01% → 0.01% → 0.01% → 0.01% | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | Aaa → Aaa → Aaa → Aaa → Aaa | 0 |
Conclusion
The report illustrates that market signals are closely aligned with Moody's official ratings, particularly in terms of credit risk and default probability. It emphasizes that political instability and economic challenges significantly influence these market-based risk measures. For Ukraine, the failure to sign the EU trade agreement triggered a wave of protests and increased perceived credit risk, leading to downgrades and wider spreads. Other countries in the Asia-Pacific and Europe regions also showed varying degrees of market signal changes, indicating diverse economic and political environments.
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