20140721-穆迪服务-Portuguese_Market_Credit_Risk_Signals_Highlight_Fragile_Economic_Recovery_17页_1mb

报告摘要

Moody's Market Risk Signals Sovereign Risk Report Summary

Core Content

This report by Moody's Capital Markets Research (CMR) provides an analysis of market-based credit risk signals for various countries, focusing on the Portuguese Market and other regions in the Asia-Pacific and Europe. It outlines the Sovereign EDF™ (Expected Default Frequency), which is a forward-looking measure of the probability of default derived from credit default swap (CDS) spreads. The report also discusses the implications of these market signals on sovereign credit ratings and investment sentiment.

Main Points

Portugal

Sovereign EDF:
- Increased to 0.12% on July 10 due to fears of default by Rioforente Investments (a subsidiary of Espirito Santo International SA).
- Fell to 0.10% by July 18 after the default, but remains higher than Spain (0.04%) and Italy (0.06%).
- Greece has the second-highest probability of default in Europe at 0.44%, following Ukraine at 1.22%.
Economic Recovery:
- Portugal's EDF has declined significantly since 2012, reaching its lowest levels since the start of the European sovereign debt crisis in 2009.
- The country exited its international bailout in May 2014 without a precautionary credit line.
- Despite economic recovery signs, recent growth slowed in Q1 2014, with a -0.6% contraction.
- Unemployment remained high at 15.1% in Q1 2014, down from 17.7% in Q1 2013.
Moody's Credit Rating:
- Portugal's bond-implied rating is Baa3, and CDS-implied rating is Ba2, both two notches above its Moody's Senior Rating of Ba2.
- Moody's Investors Service noted that the sovereign's credit fundamentals remain stable, despite risks to the banking sector from the default.

Asia-Pacific

Australia:
- Sovereign EDF remained at 0.01%.
- CDS implied rating Aa2, Bond implied rating Aaa, Senior Rating Aaa.
China:
- Sovereign EDF at 0.04%.
- CDS implied rating Baa2, Bond implied rating Baa1, Senior Rating Aa3.
Hong Kong:
- Sovereign EDF at 0.02%.
- CDS implied rating A3, Senior Rating Aa1.
Indonesia:
- Sovereign EDF at 0.10%.
- CDS implied rating Ba2, Bond implied rating Baa1, Senior Rating Baa3.
Japan:
- Sovereign EDF at 0.02%.
- CDS implied rating A1, Bond implied rating Aaa, Senior Rating Aa3.
Korea:
- Sovereign EDF at 0.02%.
- CDS implied rating A3, Bond implied rating A1, Senior Rating Aa3.
Vietnam:
- Sovereign EDF at 0.11%.
- CDS implied rating B1, Bond implied rating Ba2, Senior Rating B2.

Europe

Austria:
- Sovereign EDF at 0.01%.
- CDS implied rating Aa2, Bond implied rating Aaa, Senior Rating Aaa.
Belgium:
- Sovereign EDF at 0.02%.
- CDS implied rating A2, Bond implied rating Aaa, Senior Rating Aa1.
Bulgaria:
- Sovereign EDF at 0.07%.
- CDS implied rating Ba2, Bond implied rating Baa3, Senior Rating Baa1.
Croatia:
- Sovereign EDF at 0.15%.
- CDS implied rating B2, Bond implied rating Ba1, Senior Rating Ba1.
Cyprus:
- Sovereign EDF at 0.28%.
- CDS implied rating Caa1, Bond implied rating B2, Senior Rating Caa3.
Denmark:
- Sovereign EDF at 0.01%.
- CDS implied rating Aaa, Bond implied rating Aaa, Senior Rating Aaa.
Estonia:
- Sovereign EDF at 0.03%.
- CDS implied rating Baa1, Bond implied rating Baa3, Senior Rating A1.
Finland:
- Sovereign EDF at 0.01%.
- CDS implied rating Aaa, Bond implied rating Aaa, Senior Rating Aaa.
France:
- Sovereign EDF at 0.02%.
- CDS implied rating A2, Bond implied rating Aaa, Senior Rating Aa1.
Germany:
- Sovereign EDF at 0.01%.
- CDS implied rating Aaa, Bond implied rating Aaa, Senior Rating Aaa.
Iceland:
- Sovereign EDF at 0.12%.
- CDS implied rating Ba2, Bond implied rating Ba1, Senior Rating Baa3.
Ireland:
- Sovereign EDF at 0.02%.
- CDS implied rating A3, Bond implied rating Aa2, Senior Rating Baa1.
Italy:
- Sovereign EDF at 0.06%.
- CDS implied rating Baa3, Bond implied rating Baa1, Senior Rating Baa2.
Latvia:
- Sovereign EDF at 0.05%.
- CDS implied rating Baa3, Bond implied rating Baa2, Senior Rating Baa1.
Lithuania:
- Sovereign EDF at 0.05%.
- CDS implied rating Baa3, Bond implied rating Baa2, Senior Rating Baa1.
Malta:
- Sovereign EDF at 0.16%.
- CDS implied rating not available, Bond implied rating Baa1, Senior Rating A3.
Netherlands:
- Sovereign EDF at 0.01%.
- CDS implied rating Aa1, Bond implied rating Aaa, Senior Rating Aaa.
Norway:
- Sovereign EDF at 0.01%.
- CDS implied rating Aaa, Bond implied rating not available, Senior Rating Aaa.
Poland:
- Sovereign EDF at 0.03%.
- CDS implied rating Baa1, Bond implied rating A1, Senior Rating A2.
Romania:
- Sovereign EDF at 0.07%.
- CDS implied rating Ba1, Bond implied rating Baa3, Senior Rating Baa3.
Russia:
- Sovereign EDF at 0.14%.
- CDS implied rating Ba3, Bond implied rating Ba1, Senior Rating Baa1.
Slovenia:
- Sovereign EDF at 0.07%.
- CDS implied rating Ba1, Bond implied rating Baa2, Senior Rating Ba1.
Slovakia:
- Sovereign EDF at 0.02%.
- CDS implied rating A3, Bond implied rating Aa2, Senior Rating A2.
Spain:
- Sovereign EDF at 0.04%.
- CDS implied rating Baa2, Bond implied rating Baa1, Senior Rating Baa2.
Sweden:
- Sovereign EDF at 0.01%.
- CDS implied rating Aaa, Bond implied rating Aaa, Senior Rating Aaa.
Switzerland:
- Sovereign EDF at 0.01%.
- CDS implied rating Aaa, Bond implied rating Aaa, Senior Rating Aaa.

Key Information

Sovereign EDF™ is calculated from CDS spreads, adjusted for loss-given default and market price of risk.
Market Implied Ratings can differ from Moody's Senior Ratings, reflecting market sentiment.
Portugal's Sovereign EDF decreased after the Rioforente Investments default, but remains higher than most European peers.
Economic Recovery in Portugal was supported by booming exports, but growth slowed in early 2014.
Moody's Investors Service confirmed that Portugal's sovereign credit fundamentals are stable, despite banking sector concerns.
Contagion effects were observed in Greek, Italian, and Spanish debt yields, which rose following the default.
Bond yields for Portugal's 10-year government bonds increased by 20 basis points on July 11, indicating rising investor concerns.

Conclusion

The report highlights the fragile recovery in Portugal's economy and the impact of financial instability on market risk signals. While Portugal's EDF has improved, it still reflects higher default risk than many European countries. The market-implied ratings for Portugal are higher than its official credit rating, indicating some optimism in the market. However, economic and financial uncertainties persist, particularly in Southern Europe, with Greece and Ukraine showing the highest default risk in the dataset.