20140908-穆迪服务-European_Sovereign_Credit_Risk_Eases_Following_ECB_Stimulus_17页_1mb

Moody's Market Signals Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research provides an analysis of market-based credit risk measures for various countries in Europe and the Asia-Pacific region. It outlines how sovereign credit risk has evolved in response to recent economic developments and central bank interventions, particularly the European Central Bank (ECB) stimulus measures.

Main Points

• ECB Stimulus Measures: On September 4, the ECB cut its benchmark interest rate to a record low of 0.05% in response to slowing inflation, stalled GDP growth, and a weakening manufacturing PMI. The central bank also announced plans to purchase bank loans to stimulate lending.
• Market Response to ECB Actions: The ECB's stimulus led to a reduction in market-based credit risk measures, particularly in peripheral European countries like Spain, Italy, and Portugal, where Sovereign EDF™ measures declined significantly.
• Sovereign EDF™ Measures: These are forward-looking probabilities of default derived from credit default swap (CDS) spreads. They reflect the market's assessment of sovereign default risk.
• Bond Yields: The European bond market rallied, with Spain's 10-year yields falling by 8% and Italy's by 7% following the ECB stimulus.
• Equity Market Performance: Equity markets in Europe, particularly the Euro Stoxx Index, saw positive returns, indicating improved investor sentiment.
• Economic Fundamentals: Despite the market improvements, underlying economic fundamentals such as GDP growth, inflation, and unemployment remain weak, especially in southern European countries like Greece and Spain.

Key Information

Europe

• Spain: One-year Sovereign EDF dropped by 21%, the sharpest decline. 10-year bond yields fell by 8% to 2.04%.
• Italy: One-year Sovereign EDF declined by 19%. 10-year bond yields dropped by 7% to 2.25%.
• Portugal: One-year Sovereign EDF fell by 18%. 10-year bond yields were 3.05% as of September 5.
• France and Ireland: Sovereign EDF measures fell sharply from the 2012 debt crisis levels. France's EDF dropped to 0.01% and Ireland's to 0.02%.
• Greece: One-year Sovereign EDF was 0.41%, still the highest among European countries. Bond implied ratings and CDS implied ratings showed mixed changes.
• Core Countries: Credit risk measures for core European countries remained essentially unchanged.
• Unemployment: The euro area's unemployment rate remained near a record high of 11.5%, with Greece and Spain having the highest rates at 27.2% and 24.4%, respectively.
• Euro Stoxx Index: Rose by 3.5%, indicating a positive market reaction to ECB actions.

Asia-Pacific

• Australia: Sovereign EDF remained stable at 0.01%, while CDS implied ratings remained at Aa3. Bond implied ratings were Aaa.
• China: Sovereign EDF fell to 0.03%, with CDS implied ratings at Baa2. Bond implied ratings remained stable at Baa2.
• Hong Kong: Sovereign EDF dropped to 0.01%, CDS implied ratings at A2. Senior ratings were Aa1.
• Indonesia: Sovereign EDF fell by 16 bps to 0.07%. CDS implied ratings dropped by 1 to Ba1. Bond implied ratings improved by 2 to Baa3.
• Japan: Sovereign EDF fell to 0.01%, CDS implied ratings improved to A1. Bond implied ratings remained at Aaa.
• Korea: Sovereign EDF decreased by 2 bps to 0.02%. CDS implied ratings improved to A3. Bond implied ratings increased by 4 to Aa3.
• Malaysia: Sovereign EDF dropped by 2 bps to 0.04%. CDS implied ratings improved by 1 to Baa2. Bond implied ratings increased by 1 to Baa1.
• Philippines: Sovereign EDF fell by 5 bps to 0.04%. CDS implied ratings remained at Ba1. Bond implied ratings improved by 2 to Baa3.
• Singapore: No data provided for Sovereign EDF or CDS implied ratings. Senior ratings were Aaa.
• Sri Lanka: Sovereign EDF decreased by 16 bps to 0.23%. CDS implied ratings dropped by 1 to B3. Bond implied ratings improved by 2 to Baa3.
• Taiwan: No data provided for Sovereign EDF or CDS implied ratings. Senior ratings were Aa3.
• Vietnam: Sovereign EDF fell by 10 bps to 0.08%. CDS implied ratings remained at Ba2. Bond implied ratings improved by 2 to Baa1.

Conclusion

The ECB's stimulus measures have led to a noticeable easing of credit risk in European countries, particularly in the peripheral regions. However, the underlying economic challenges such as high unemployment and weak growth persist, indicating that the improvements may take time to materialize fully. In the Asia-Pacific region, most countries showed a reduction in credit risk, with some improvements in market-based ratings, although the economic fundamentals remain mixed.