20140630-穆迪服务-Puerto_Rico_s_Credit_Risk_Measures_Reach_a_Five-Year_High_17页_1mb

Moody's Market Signals Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research (CMR) provides an analysis of market-based credit risk measures for various sovereign entities. It outlines the current financial conditions, market signals, and changes in risk indicators over the past months.

Key Information

• Puerto Rico's Credit Risk Measures:

  • Reached a five-year high of 8.6% on June 23, indicating significant financial distress.
  • The one-year Sovereign EDF™ measure dropped slightly to 6.6% later in the week after the proposal for debt restructuring by Governor Alejandro Garcia Padilla.
  • This is the highest default probability among all 84 sovereign entities tracked by Moody's Analytics.
  • The difference between one-year and five-year Sovereign EDF measures has inverted, suggesting concerns about near-term liquidity and refinancing.
  • Bond prices have declined, with 10-year General Obligation bonds trading as low as 75, yielding over 9.1%.
  • Five-year CDS spreads widened to 1,472 bp by June 27, reflecting increased perceived risk.

• Sovereign EDF™ Definition:

  • Forward-looking probabilities of default derived from credit default swap (CDS) spreads.
  • Adjusted for loss-given default and market price of risk.

• Asia-Pacific Overview:

  • Australia: Sovereign EDF remained stable at 0.01%, with a slight decrease in CDS implied rating and no change in bond implied rating.
  • China: Sovereign EDF decreased to 0.04%, with a slight drop in CDS implied rating and bond implied rating remained stable.
  • Hong Kong: Sovereign EDF was 0.02%, with a slight decrease in CDS implied rating and no change in bond implied rating.
  • Indonesia: Sovereign EDF increased slightly, with CDS implied rating fluctuating.
  • Japan: Sovereign EDF decreased to 0.02%, with a slight drop in CDS implied rating.
  • Korea: Sovereign EDF decreased to 0.02%, with CDS implied rating showing a slight increase.
  • Malaysia: Sovereign EDF decreased to 0.05%, with CDS implied rating fluctuating.
  • Philippines: Sovereign EDF decreased to 0.05%, with CDS implied rating fluctuating.
  • Singapore: No data available for Sovereign EDF and CDS implied rating, but Senior Rating remained at Aaa.
  • Sri Lanka: Sovereign EDF increased to 0.27%, with CDS implied rating dropping to B3.
  • Taiwan: No data available for Sovereign EDF and CDS implied rating, but Senior Rating remained at Aa3.
  • Thailand: Sovereign EDF decreased to 0.07%, with CDS implied rating fluctuating.

Europe Overview

• Austria: Sovereign EDF remained at 0.01%, with CDS implied rating fluctuating.
• Belgium: Sovereign EDF decreased to 0.02%, with CDS implied rating improving.
• Bulgaria: Sovereign EDF increased to 0.07%, with CDS implied rating decreasing.
• Croatia: Sovereign EDF decreased to 0.17%, with CDS implied rating remaining stable.
• Cyprus: Sovereign EDF dropped to 0.35%, with CDS implied rating declining to B3.
• Denmark: Sovereign EDF remained at 0.01%, with CDS implied rating fluctuating.
• Finland: Sovereign EDF remained at 0.01%, with CDS implied rating fluctuating.
• France: Sovereign EDF decreased to 0.02%, with CDS implied rating fluctuating.
• Germany: Sovereign EDF remained at 0.01%, with CDS implied rating stable.
• Greece: Sovereign EDF dropped significantly to 0.45%, with CDS implied rating declining to Caa1.
• Hungary: Sovereign EDF decreased to 0.10%, with CDS implied rating stable.
• Iceland: Sovereign EDF increased to 0.12%, with CDS implied rating fluctuating.
• Ireland: Sovereign EDF decreased to 0.03%, with CDS implied rating improving.
• Italy: Sovereign EDF decreased to 0.06%, with CDS implied rating stable.
• Latvia: Sovereign EDF decreased to 0.07%, with CDS implied rating fluctuating.
• Lithuania: Sovereign EDF decreased to 0.07%, with CDS implied rating fluctuating.
• Malta: Sovereign EDF increased to 0.16%, with CDS implied rating not available.
• Netherlands: Sovereign EDF remained at 0.01%, with CDS implied rating fluctuating.
• Norway: Sovereign EDF remained at 0.01%, with CDS implied rating stable.
• Poland: Sovereign EDF decreased to 0.03%, with CDS implied rating fluctuating.
• Portugal: Sovereign EDF decreased to 0.09%, with CDS implied rating fluctuating.
• Romania: Sovereign EDF decreased to 0.08%, with CDS implied rating stable.
• Russian Federation: Sovereign EDF decreased to 0.13%, with CDS implied rating fluctuating.
• Serbia: No data available for Sovereign EDF and CDS implied rating.
• Slovakia: Sovereign EDF decreased to 0.02%, with CDS implied rating fluctuating.
• Slovenia: Sovereign EDF decreased to 0.08%, with CDS implied rating fluctuating.
• Spain: Sovereign EDF decreased to 0.05%, with CDS implied rating fluctuating.
• Sweden: Sovereign EDF remained at 0.01%, with CDS implied rating stable.
• Switzerland: Sovereign EDF remained at 0.01%, with CDS implied rating stable.

Main Points

• Puerto Rico's Financial Situation:

  • Has over $70 billion in public debt.
  • Its Sovereign EDF reached a five-year high, indicating severe financial risk.
  • Recent debt restructuring proposals have had a limited positive effect on credit risk measures.
  • Investors remain concerned about potential losses due to restructuring.

• Market Signals:

  • Sovereign EDF and CDS spreads are key indicators of credit risk.
  • An inverted yield curve suggests concerns about near-term liquidity and refinancing.
  • Bond prices and yields reflect market sentiment towards the commonwealth's financial stability.

• Comparative Risk Analysis:

  • The report compares risk measures across different sovereign entities, highlighting the relative positions of each.
  • Some countries, like Greece and Cyprus, show significant improvements in their credit risk measures.
  • Others, like Sri Lanka, show increased risk.

Conclusion

The report emphasizes the importance of market signals in assessing credit risk and highlights the specific challenges faced by Puerto Rico, as well as the broader trends across the Asia-Pacific and European regions. It underscores the need for continued monitoring of these indicators to understand the evolving credit risk landscape.