20140519-穆迪服务-Despite_Mixed_Growth,_European_Sovereign_Credit_Risk_Rallies_17页_1mb

Moody's Market Signals Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research, Inc. (CMR) provides an analysis of market-based measures of credit risk for various countries, focusing on the European and Asia-Pacific regions. The data highlights changes in Sovereign EDF™ (Expected Default Frequency), CDS spread-implied ratings, bond-implied ratings, and senior ratings over a specific period, indicating how market signals reflect sovereign risk and investment opportunities.

Main Points

• Market-Based Credit Risk Measures: The report evaluates sovereign credit risk using market-based indicators such as Sovereign EDF, CDS implied ratings, and bond implied ratings.
• Global Context: The European region has the second-lowest average one-year Sovereign EDF measure at 0.06%, following North America at 0.01%.
• Economic Growth in Europe:
  • Germany showed strong GDP growth of 0.8% in Q1 2014, the highest in three years.
  • France and Ireland saw significant improvements in their Sovereign EDF measures, decreasing by 11% and 4% respectively.
  • Spain experienced 0.4% GDP growth, its highest in six years, with its Sovereign EDF improving by 2%.
  • Other countries like Italy and the Netherlands had mixed economic growth.
• ECB's Impact: The ECB's anticipated rate cuts and stimulus measures have led to a remarkable rally in the European bond market, with yields falling for Germany and the Netherlands.
• Bond Yields:
  • Germany's 10-year bond yield dropped to 1.33%.
  • Netherlands' 10-year bond yield fell to 1.64%.
  • Spain and Ireland had yields of 2.95% and 2.67% respectively as of May 16.
• Global Bond Market Trends:
  • Bond yields globally have declined to their lowest levels of the year.
  • The US and UK 10-year bond yields are at their lowest since October, despite earlier forecasts of higher yields.
• Equity Market Performance:
  • Equity markets have shown improvement since the start of the year.
  • Euro Stoxx Index rose by 3.7%, S&P 500 by 3.3%, and FTSE 100 by 2.3%.

Key Information

Asia-Pacific Region

• Australia:
  • Sovereign EDF remained stable at 0.02%.
  • CDS implied rating improved to A1.
  • Bond implied rating remained at Aaa.
  • Senior rating stayed at Aaa.
• China:
  • Sovereign EDF slightly increased to 0.05%.
  • CDS implied rating improved to Baa2.
  • Bond implied rating improved to A3.
  • Senior rating remained at Aa3.
• Hong Kong:
  • Sovereign EDF remained stable at 0.02%.
  • CDS implied rating improved to A2.
  • Bond implied rating was not available.
  • Senior rating remained at Aa1.
• Indonesia:
  • Sovereign EDF slightly increased to 0.09%.
  • CDS implied rating improved to Ba1.
  • Bond implied rating improved to Ba1.
  • Senior rating remained at Baa3.
• Japan:
  • Sovereign EDF decreased to 0.02%.
  • CDS implied rating improved to Aaa.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aa3.
• Korea:
  • Sovereign EDF decreased to 0.03%.
  • CDS implied rating improved to Baa1.
  • Bond implied rating improved to A2.
  • Senior rating remained at Aa3.
• Malaysia:
  • Sovereign EDF slightly increased to 0.06%.
  • CDS implied rating improved to Baa3.
  • Bond implied rating improved to Baa2.
  • Senior rating remained at A3.
• New Zealand:
  • Sovereign EDF remained stable at 0.02%.
  • CDS implied rating improved to A1.
  • Bond implied rating was not available.
  • Senior rating remained at Aaa.
• Philippines:
  • Sovereign EDF slightly increased to 0.05%.
  • CDS implied rating improved to Baa3.
  • Bond implied rating improved to Baa2.
  • Senior rating remained at Baa3.
• Singapore:
  • Sovereign EDF was not available.
  • CDS implied rating was not available.
  • Bond implied rating was not available.
  • Senior rating remained at Aaa.
• Sri Lanka:
  • Sovereign EDF slightly decreased to 0.09%.
  • CDS implied rating remained at Baa3.
  • Bond implied rating slightly decreased to Ba3.
  • Senior rating remained at Baa3.
• Taiwan:
  • Sovereign EDF was not available.
  • CDS implied rating was not available.
  • Bond implied rating was not available.
  • Senior rating remained at Aa3.
• Vietnam:
  • Sovereign EDF slightly increased to 0.12%.
  • CDS implied rating improved to Ba3.
  • Bond implied rating improved to Baa2.
  • Senior rating remained at A3.

Europe Region

• Austria:
  • Sovereign EDF remained stable at 0.01%.
  • CDS implied rating improved to Aa1.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aaa.
• Belgium:
  • Sovereign EDF slightly decreased to 0.02%.
  • CDS implied rating improved to Aa3.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aa3.
• Bulgaria:
  • Sovereign EDF slightly increased to 0.07%.
  • CDS implied rating improved to Ba1.
  • Bond implied rating improved to Baa2.
  • Senior rating remained at Baa2.
• Croatia:
  • Sovereign EDF slightly decreased to 0.20%.
  • CDS implied rating improved to B2.
  • Bond implied rating improved to Ba2.
  • Senior rating remained at Ba1.
• Cyprus:
  • Sovereign EDF slightly increased to 0.36%.
  • CDS implied rating remained at B3.
  • Bond implied rating decreased to Caa2.
  • Senior rating remained at Caa3.
• Czech Republic:
  • Sovereign EDF remained stable at 0.03%.
  • CDS implied rating improved to Baa3.
  • Bond implied rating improved to Baa1.
  • Senior rating remained at A1.
• Denmark:
  • Sovereign EDF remained stable at 0.01%.
  • CDS implied rating improved to Aa3.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aa3.
• Estonia:
  • Sovereign EDF slightly increased to 0.07%.
  • CDS implied rating improved to Baa2.
  • Bond implied rating improved to Baa1.
  • Senior rating remained at Baa2.
• Finland:
  • Sovereign EDF remained stable at 0.01%.
  • CDS implied rating improved to Aaa.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aaa.
• France:
  • Sovereign EDF slightly decreased to 0.02%.
  • CDS implied rating improved to A1.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aa1.
• Germany:
  • Sovereign EDF remained stable at 0.01%.
  • CDS implied rating improved to Aaa.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aaa.
• Greece:
  • Sovereign EDF significantly increased to 0.67%.
  • CDS implied rating remained at B3.
  • Bond implied rating decreased to Caa2.
  • Senior rating remained at Caa3.
• Hungary:
  • Sovereign EDF slightly decreased to 0.11%.
  • CDS implied rating improved to Ba2.
  • Bond implied rating improved to Ba2.
  • Senior rating remained at Ba1.
• Iceland:
  • Sovereign EDF slightly increased to 0.13%.
  • CDS implied rating improved to Ba2.
  • Bond implied rating improved to Ba1.
  • Senior rating remained at Baa3.
• Ireland:
  • Sovereign EDF slightly decreased to 0.03%.
  • CDS implied rating improved to Baa1.
  • Bond implied rating improved to A2.
  • Senior rating improved to Baa1.
• Italy:
  • Sovereign EDF slightly decreased to 0.07%.
  • CDS implied rating remained at Baa3.
  • Bond implied rating improved to Baa2.
  • Senior rating remained at Baa2.
• Latvia:
  • Sovereign EDF slightly decreased to 0.07%.
  • CDS implied rating improved to Baa3.
  • Bond implied rating improved to Baa2.
  • Senior rating remained at Baa2.
• Lithuania:
  • Sovereign EDF slightly decreased to 0.07%.
  • CDS implied rating improved to Ba1.
  • Bond implied rating remained at Baa2.
  • Senior rating remained at Baa1.
• Malta:
  • Sovereign EDF remained stable at 0.16%.
  • CDS implied rating was not available.
  • Bond implied rating improved to Baa2.
  • Senior rating remained at A3.
• Netherlands:
  • Sovereign EDF slightly decreased to 0.01%.
  • CDS implied rating improved to Aa1.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aaa.
• Norway:
  • Sovereign EDF remained stable at 0.01%.
  • CDS implied rating remained at Aaa.
  • Bond implied rating was not available.
  • Senior rating remained at Aaa.
• Poland:
  • Sovereign EDF slightly decreased to 0.03%.
  • CDS implied rating improved to A3.
  • Bond implied rating improved to A1.
  • Senior rating remained at A2.
• Portugal:
  • Sovereign EDF slightly decreased to 0.09%.
  • CDS implied rating improved to Ba2.
  • Bond implied rating improved to Ba1.
  • Senior rating improved to Ba2.
• Romania:
  • Sovereign EDF slightly decreased to 0.09%.
  • CDS implied rating remained at Ba1.
  • Bond implied rating remained at Ba1.
  • Senior rating remained at Baa3.
• Russian Federation:
  • Sovereign EDF increased to 0.21%.
  • CDS implied rating improved to B1.
  • Bond implied rating improved to Ba2.
  • Senior rating remained at Baa1.
• Serbia:
  • Sovereign EDF slightly decreased to 0.23%.
  • CDS implied rating and bond implied rating were not available.
  • Senior rating was not available.
• Slovakia:
  • Sovereign EDF slightly decreased to 0.03%.
  • CDS implied rating improved to A3.
  • Bond implied rating improved to Aa2.
  • Senior rating remained at A2.
• Slovenia:
  • Sovereign EDF slightly decreased to 0.08%.
  • CDS implied rating improved to Ba1.
  • Bond implied rating improved to Baa3.
  • Senior rating remained at Ba1.
• Spain:
  • Sovereign EDF remained stable at 0.05%.
  • CDS implied rating remained at Baa2.
  • Bond implied rating improved to Baa1.
  • Senior rating improved to Baa2.
• Sweden:
  • Sovereign EDF remained stable at 0.01%.
  • CDS implied rating remained at Aaa.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aaa.
• Switzerland:
  • Sovereign EDF remained stable at 0.01%.
  • CDS implied rating improved to Aaa.
  • Bond implied rating remained at Aaa.
  • Senior rating remained at Aaa.
• Ukraine:
  • Sovereign EDF slightly decreased to 2.77%.
  • CDS implied rating was not available.
  • Bond implied rating was not available.
  • Senior rating was not available.

Conclusion

The report highlights a general decline in sovereign credit risk in Europe, driven by ECB stimulus measures and improved market sentiment. Despite mixed economic growth, investors' confidence in the region's recovery is reflected in the bond market performance and equity indices. In the Asia-Pacific region, there are mixed signals with some countries showing improvements in credit risk measures while others remain stable or slightly increased. Overall, the data suggests a positive outlook for the European sovereign credit risk, but caution is advised for countries like Greece and Ukraine, which show higher risk levels.