穆迪-韩国-主权信用-韩国主权信用风险上升的一年，11月显著恢复-20171206-18页_801kb
报告摘要
Moody's Sovereign & Supranational Credit Risk Analysis Summary - December 2017
Core Content Overview
This document provides an analysis of sovereign credit risk across various countries in the Asia-Pacific and Europe regions as of December 2017. It outlines the changes in the Expected Default Frequency (EDF) metric and the Credit Default Swap (CDS) spreads, along with their implied ratings and senior ratings.
Key Information
South Korea
- Sovereign EDF (5-Year): Peaked at 0.30% on October 31, the highest since 2013, due to tensions with North Korea over its nuclear program.
- EDF Recovery: Dropped to 0.23% on November 28, then slightly increased again after North Korea's missile test on November 29.
- CDS Spread: Rose to 76 bp on September 28, then fell to 59 bp on November 29, following a similar pattern to the EDF.
- Implied Rating: Dropped from A1 in January to Baa2 by November 23, then rose to Baa1 after November 24.
- Moody's Investors Service Rating: Remained at Aa2 throughout the year.
Asia-Pacific Countries
| Country | Sovereign EDF (5-Year) | CDS Implied-Rating | Bond Implied-Rating | Senior Rating | 12-Month Change |
|---|---|---|---|---|---|
| Australia | 0.06% | Aa1 | Aaa | Aaa | -1 bps |
| China | 0.20% to 0.22% | Baa1 to Baa3 | A3 to Baa1 | A1 to Aa3 | +2 |
| Hong Kong | 0.11% to 0.12% | - | - | Aa2 to Aa1 | -1 |
| Indonesia | 0.39% to 0.40% | Ba1 to Ba1 | Baa2 to A2 | Baa3 to Baa3 | 0 |
| Japan | 0.11% to 0.10% | Aa3 to Aa2 | Aaa | A1 | +1 |
| Malaysia | 0.23% to 0.25% | Baa3 to Baa2 | A3 to A2 | A1 to A1 | 0 |
| New Zealand | 0.07% to 0.10% | Aa1 to Aa1 | Aaa | A1 | +1 |
| Philippines | 0.24% to 0.26% | Baa2 to Baa2 | Baa2 to A2 | Baa3 to Baa3 | 0 |
| Thailand | 0.17% to 0.23% | Baa1 to Baa3 | Baa1 to Baa3 | Baa2 to Baa2 | -13 bps |
| Vietnam | 0.43% to 0.49% | Ba2 to Ba2 | Baa3 to Baa3 | B1 to B1 | +1 |
Europe Countries
| Country | Sovereign EDF (5-Year) | CDS Implied-Rating | Bond Implied-Rating | Senior Rating | 12-Month Change |
|---|---|---|---|---|---|
| Austria | 0.06% to 0.06% | Aaa to Aaa | Aaa | Aaa | -3 bps |
| Belgium | 0.06% to 0.06% | Aaa to Aaa | Aaa to Aaa | Aaa | +3 |
| Bulgaria | 0.37% to 0.33% | Ba1 to Ba1 | Aa1 to Aaa | Baa3 to Baa3 | -12 bps |
| Croatia | 0.36% to 0.33% | Ba1 to Ba1 | Baa2 to Baa1 | Ba3 to Ba3 | -17 bps |
| Cyprus | 1.01% to 0.58% | B2 to Baa3 | Baa1 to Baa2 | Ba3 to Ba3 | -11 bps |
| Denmark | 0.03% to 0.03% | Aaa to Aaa | Aaa | Aaa | -2 bps |
| Estonia | 0.13% to 0.15% | A2 to A3 | Aaa | A3 | -1 bps |
| Finland | 0.06% to 0.06% | Baa1 to Baa1 | Aaa | Aa1 | -2 bps |
| France | 0.06% to 0.06% | Aa1 to Aaa | Aaa | Aa2 | +3 |
| Germany | 0.03% to 0.03% | Aaa to Aaa | Aaa | Aaa | -2 bps |
| Greece | 2.33% to 2.23% | Caa1 to B3 | Caa1 to B3 | Caa2 to Caa2 | -89 bps |
| Hungary | 0.34% to 0.33% | Ba1 to Ba1 | Baa2 to Baa1 | Baa3 to Baa3 | -8 bps |
| Iceland | 0.33% to 0.29% | Baa3 to Baa2 | A2 to A1 | A3 | +1 |
| Italy | 0.51% to 0.50% | Ba2 to Ba2 | Baa2 to A3 | Baa2 to Baa2 | -17 bps |
| Latvia | 0.13% to 0.15% | A2 to A3 | Aaa | A3 | -1 bps |
| Lithuania | 0.18% to 0.19% | Baa1 to Baa1 | Aaa | A3 | +4 |
| Netherlands | 0.05% to 0.05% | Aaa to Aaa | Aaa | Aaa | -1 |
| Norway | 0.04% to 0.04% | Aaa to Aaa | Aaa | Aaa | 0 |
| Poland | 0.17% to 0.17% | Baa1 to Baa1 | Aa3 to Aa2 | A2 to A2 | -7 bps |
| Portugal | 0.51% to 0.46% | Ba2 to Ba2 | Baa1 to Baa1 | Ba1 to Ba1 | -30 bps |
| Romania | 0.36% to 0.36% | Ba1 to Ba1 | A3 to Baa2 | Baa3 to Baa3 | +5 bps |
| Russian Federation | 0.57% to 0.55% | Ba2 to Ba2 | Baa3 to Baa2 | Ba1 to Ba1 | +1 |
| Slovakia | 0.15% to 0.15% | A2 to A2 | Aa2 to Aa1 | A2 to A2 | +4 |
| Slovenia | 0.23% to 0.23% | Baa2 to Baa2 | Aa1 to Aa3 | Baa1 to Baa3 | -3 |
| Spain | 0.01% to 0.01% | A1 to A1 | Aaa | A1 | - |
Main Points
- EDF and CDS Spread Correlation: The 5-year EDF and CDS spreads generally moved in tandem, with the CDS spreads showing more volatility.
- Risk Drivers: Sovereign risk was primarily influenced by geopolitical tensions, especially concerning North Korea.
- Implied Ratings: Implied ratings based on EDF and CDS data showed fluctuations, but most remained within investment grade.
- Senior Ratings: These were typically stable, with some countries showing slight improvements or declines based on market conditions.
Key Observations
- South Korea: Sovereign risk spiked due to North Korean tensions, then partially recovered, though it still showed volatility.
- China: Sovereign risk decreased significantly, with a notable drop in the 5-year EDF.
- Cyprus: Showed the highest risk in the Europe region, with a significant drop in 5-year EDF.
- Greece: Experienced the largest decline in EDF, indicating improved credit risk perception.
- Portugal: Demonstrated the most significant improvement in credit risk, with a substantial drop in EDF and a slight increase in CDS implied rating.
Conclusion
The analysis highlights the impact of geopolitical tensions, particularly regarding North Korea, on South Korea's sovereign credit risk. It also illustrates how market signals like EDF and CDS spreads can reflect changes in risk perception, with some countries showing marked improvements and others experiencing more volatility. The implied ratings and senior ratings provide a broader context for the creditworthiness of these nations, with most remaining in investment grade.
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