20161017-穆迪服务-Loss_of_a_Revered_King_Sparks_Rise_in_Thailand_Sovereign_Credit_Risk_19页_546kb

Moody's Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research (CMR) provides an analysis of sovereign credit risk across various countries in the Asia-Pacific and Europe regions, focusing on Thailand and other major economies. It discusses the impact of political and economic factors on sovereign credit risk and how these are reflected in market-based metrics like the Sovereign EDF (Expected Default Frequency) and CDS (Credit Default Swap) implied ratings.

Key Information

Thailand Sovereign Credit Risk

• Sovereign EDF (5-Year):
  • Increased from 0.17% on October 7 to 0.23% on October 12, and further to 0.29% on October 14, marking the largest increase among the 70 sovereign entities tracked.
  • The credit rating implied by the Sovereign EDF measure is Baa2, suggesting investment-grade credit quality.
  • There is a ratings gap of one notch below the Moody's Investors Service (MIS) rating of Baa1 with a stable outlook.
• Political Context:
  • Thailand has a history of political instability, including street protests and military coups.
  • Concerns over the succession of King Bhumibol Adulyadej led to a rise in sovereign credit risk.
  • The crown prince, Maha Vajiralongkorn, was confirmed as the next leader by Prayuth Chan-Ocha, the junta leader.
  • Investors fear that the transition may lead to renewed political turmoil and economic challenges.
• Economic Performance:
  • Thailand's economy grew at an annual rate of 3.5% in Q2 2016, its fastest growth in over three years, driven by tourism and government spending.
  • Despite this, the country's sovereign credit risk rose sharply due to the uncertainty around the succession.

Other Asia-Pacific Countries

• Indonesia:
  • Five-year Sovereign EDF measure at 0.48%, one of the highest in the region.
• Vietnam:
  • Five-year Sovereign EDF measure at 0.43%.
• Malaysia:
  • Five-year Sovereign EDF measure at 0.34%.
• China:
  • Five-year Sovereign EDF measure increased from 0.28% to 0.32%.
  • CDS implied rating changed from Baa3 to Baa3, with a slight increase in bond implied rating.
• India:
  • Five-year Sovereign EDF measure increased from 0.33% to 0.55%.
• Hong Kong:
  • Five-year Sovereign EDF measure increased from 0.06% to 0.09%.
  • Senior rating remained at Aa1.
• Australia:
  • Five-year Sovereign EDF measure decreased from 0.11% to 0.05%.
  • Senior rating remained at Aaa.

Europe Countries

• Greece:
  • Five-year Sovereign EDF measure increased from 3.37% to 3.74%.
  • CDS implied rating remained at Caa2.
  • Senior rating at Caa3.
• Italy:
  • Five-year Sovereign EDF measure increased from 0.45% to 0.52%.
  • CDS implied rating decreased from Ba1 to Baa3.
• Ireland:
  • Five-year Sovereign EDF measure increased from 0.16% to 0.13%.
  • Senior rating increased from A3 to Baa1.
• Portugal:
  • Five-year Sovereign EDF measure increased from 0.79% to 0.93%.
  • Bond implied rating decreased from Ba1 to Baa3.
• Poland:
  • Five-year Sovereign EDF measure increased from 0.18% to 0.21%.
  • Senior rating remained at A2.
• Czech Republic:
  • Five-year Sovereign EDF measure increased from 0.10% to 0.12%.
  • Senior rating remained at A1.
• Croatia:
  • Five-year Sovereign EDF measure increased from 0.40% to 0.51%.
  • Senior rating increased from Baa3 to Baa2.
• Latvia:
  • Five-year Sovereign EDF measure increased from 0.10% to 0.21%.
  • Senior rating remained at A3.
• Lithuania:
  • Five-year Sovereign EDF measure increased from 0.10% to 0.21%.
  • Senior rating remained at A3.
• Romania:
  • Five-year Sovereign EDF measure increased from 0.25% to 0.39%.
  • Senior rating remained at Baa3.
• Slovakia:
  • Five-year Sovereign EDF measure increased from 0.10% to 0.13%.
  • Senior rating increased from A1 to A2.
• Serbia:
  • Five-year Sovereign EDF measure increased from 0.40% to 0.56%.
  • No data available for CDS or bond implied ratings.

Main Points

• Thailand experienced a significant rise in sovereign credit risk due to the death of King Bhumibol Adulyadej and concerns over the succession process.
• The Sovereign EDF measure is a key indicator used to assess sovereign credit risk, reflecting market perceptions of default risk.
• Political instability is a major factor influencing sovereign credit risk, especially in Thailand.
• Economic performance and fiscal health are also important in assessing credit risk, as seen in Thailand's economic growth.
• Moody's provides market-based credit risk assessments, which are distinct from the ratings provided by Moody's Investors Service.
• There is a ratings gap between market-implied ratings and the official ratings from Moody's Investors Service.

Conclusion

The report highlights the sensitivity of sovereign credit risk to political and economic events. Thailand's situation illustrates how a significant political event can rapidly impact credit risk measures, even in the face of positive economic indicators. The analysis also underscores the importance of monitoring both market-based metrics and official ratings to understand the full credit risk profile of a country.