20160328-穆迪服务-Sovereign_Risk_Report_Hungary_s_Sovereign_Credit_Risk_Drops_on_Negative_Rate_Policy_19页_608kb

Moody's Sovereign Risk Report Summary

Core Content

This report from Moody's Analytics provides an analysis of sovereign credit risk across various countries, with a specific focus on Hungary. It discusses how monetary policy decisions and economic indicators influence credit risk measures, particularly the Sovereign EDF (Expected Default Frequency), and highlights the broader implications for Emerging Market (EM) countries.

Main Points

• Hungary's Sovereign Credit Risk:

  • Hungary's five-year Sovereign EDF increased from 0.18% to 0.23% in early March 2016, but then declined to 0.21% as of March 16.
  • The Bank of Hungary cut its overnight deposit rate to -0.05%, becoming the first EM country to implement negative rates.
  • The central bank also reduced its policy rate by 15 basis points to 1.2%, aiming to boost economic growth amid weak inflation.
  • Hungary's current Sovereign EDF of 0.21% is the third lowest among EM peers, following Korea and the Czech Republic.

• Inflation Concerns:

  • Hungary's annual inflation rate fell to 0.3% in February, significantly below the central bank's target of 3%.
  • Low inflation is attributed to persistently low oil prices and a slowdown in global economic growth.

• GDP Growth:

  • The Bank of Hungary estimates an annual average GDP growth rate of 2.8%, slightly down from 2.9% in 2015.

• Currency Performance:

  • The Hungarian forint depreciated slightly to 313.5 per euro, but remains relatively strong due to falling external debt and a solid current account surplus.

• Market Reactions:

  • EM financial markets reacted to the Fed's rate hike expectations and falling oil prices.
  • The MSCI Emerging Markets Index fell by 1.7% over the past week.
  • The S&P 500 equity index declined by 0.8%, and the two-year US Treasury yield dropped from 0.91% to 0.87%.

• Credit Measures:

  • Bond-implied ratings worsened, while CDS spread-implied ratings remained stable.
  • The average CDS-implied rating for EM countries is Ba1, which is two notches below the average Moody's rating of Baa2.
  • The group's average bond-implied rating aligns with its Moody's rating.

Key Information

• EM Countries Affected:

  • Fourteen of nineteen EM countries in the dataset experienced an increase in credit risk over the past week.
  • Countries reliant on foreign capital, such as Turkey, South Africa, Thailand, Indonesia, Chile, and Peru, saw the largest increases in default risk.

• South Africa's EDF:

  • The Sovereign EDF for South Africa was corrected from 18% to 0.18%.
  • The vulnerability to Fed rate hikes is now attributed to its persistent, although shrinking, current account deficit.

• Other EM Countries:

  • China: 5-year EDF increased to 0.36%.
  • Indonesia: 5-year EDF increased to 0.61%.
  • Korea: 5-year EDF increased to 0.13%.
  • Czech Republic: 5-year EDF increased to 0.09%.
  • Russia: 5-year EDF increased to 0.05%.
  • Romania: 5-year EDF decreased to 0.28%.
  • Poland: 5-year EDF increased to 0.23%.
  • Thailand: 5-year EDF increased to 0.37%.
  • Vietnam: 5-year EDF increased to 0.42%.
  • Philippines: 5-year EDF increased to 0.40%.
  • Malaysia: 5-year EDF decreased to 0.37%.
  • Japan: 5-year EDF increased to 0.10%.
  • New Zealand: 5-year EDF decreased to 0.07%.
  • Iceland: 5-year EDF increased to 0.27%.
  • Latvia: 5-year EDF decreased to 0.18%.
  • Lithuania: 5-year EDF decreased to 0.18%.
  • Netherlands: 5-year EDF decreased to 0.04%.
  • Norway: 5-year EDF increased to 0.04%.
  • Italy: 5-year EDF decreased to 0.34%.
  • Greece: 5-year EDF decreased to 3.07%.
  • Ireland: 5-year EDF decreased to 0.14%.
  • Belgium: 5-year EDF increased to 0.10%.
  • Austria: 5-year EDF increased to 0.08%.
  • Denmark: 5-year EDF decreased to 0.04%.
  • Finland: 5-year EDF decreased to 0.05%.

Conclusion

The report underscores the impact of monetary policy and economic conditions on sovereign credit risk, particularly highlighting the shift in Hungary's risk profile due to its negative rate policy. It also illustrates the broader trends across EM countries, emphasizing the influence of global factors like Fed rate hike expectations and oil price fluctuations. The data suggests that while some countries saw an increase in risk, others experienced a decline, reflecting varying economic conditions and policy responses.