20140203-穆迪服务-Puerto_Rico__Market_Signals_More_Worry_17页_1mb

报告摘要

Moody's Market Signals Sovereign Risk Report Summary

Core Content

This report provides an analysis of market signals reflecting sovereign risk across various regions, focusing on credit default swap (CDS) implied Expected Default Frequency (EDF) and ratings. The data highlights how market participants assess the creditworthiness of sovereign entities through these instruments, which are used to infer the probability of default.

Key Findings

Puerto Rico

Market Signals: Market-based probabilities of default for Puerto Rico have continued to deteriorate since the beginning of the year.
EDF Measures: The five-year cumulative CDS-implied EDF rose from 15.86% on December 31 to 20.81% recently, while the one-year EDF measure is at 4.63%, surpassing all U.S. states and sovereign entities except Argentina and Venezuela.
Yield Curve Inversion: The difference between one-year and five-year CDS-implied EDF measures has inverted, suggesting investor concerns about near-term refinancing risk.
Bond Pricing: Bond prices for Puerto Rico have increased slightly year to date, but remain below 70, indicating "stressed" conditions. The 10-year G.O. bonds have dropped from mid-70s to around 69, and the 30-year debt has declined from mid-70s to mid-60s.
Moody's Rating Review: On December 11, 2013, Moody's placed Puerto Rico's Baa3 general obligation rating on review for downgrade, citing liquidity issues, external debt reliance, market access constraints, and economic stagnation.

Asia-Pacific

Country	CDS Implied-EDF (1-Year)	Bond Implied-Rating	Senior Rating
Australia	0.02%	Aaa	Aaa
China	0.05% to 0.06%	A3 to Baa1	Aa3
Hong Kong	0.02%	--	Aa1
Indonesia	0.20% to 0.19%	Ba2 to Ba2	Baa3
Japan	0.02% to 0.03%	Aaa	Aa3
Korea	0.03% to 0.03%	A2 to A3	Aa3
Malaysia	0.06% to 0.08%	Baa2 to Baa2	A3
New Zealand	0.02%	Aaa	Aaa
Philippines	0.07% to 0.08%	Baa2 to Baa2	Baa3
Singapore	--	--	Aaa
Sri Lanka	0.52% to 0.34%	B2 to B1	B1
Taiwan	0.06%	--	Aa3
Thailand	0.09% to 0.11%	Ba2 to Ba2	Baa1
Vietnam	0.17% to 0.17%	Baa2 to Baa2	A3

Europe

Country	CDS Implied-EDF (1-Year)	Bond Implied-Rating	Senior Rating
Austria	0.02%	Aaa	Aaa
Belgium	0.02% to 0.03%	Aaa	Aa1
Bulgaria	0.07% to 0.07%	Baa2 to Baa2	Baa2
Croatia	0.28% to 0.79%	B3 to B3	Baa3
Cyprus	1.58% to 1.02%	Caa2 to Caa2	Caa3
Czech Republic	0.03%	Aaa	Aa3
Denmark	0.01%	Aaa	Aaa
Estonia	0.06%	Baa3 to Baa3	Baa2
Finland	0.01%	Aaa	Aaa
France	0.02% to 0.03%	Aaa	Aa1
Germany	0.01%	Aaa	Aaa
Greece	0.90% to 0.75%	Caa3 to C	Caa3
Hungary	0.17% to 0.19%	Ba3 to B1	Ba1
Iceland	0.13% to 0.14%	Ba1 to Ba1	Baa3
Ireland	0.06% to 0.06%	A3 to Baa1	Ba1
Italy	0.10% to 0.13%	Baa2 to Baa2	Baa2
Latvia	0.06%	Baa3 to Baa2	Baa2
Lithuania	0.07%	Baa3 to Baa2	Baa1
Malta	0.17% to 0.16%	Baa1 to Baa1	A3
Netherlands	0.01% to 0.02%	Aaa	Aaa
Norway	0.01%	Aaa	Aaa
Poland	0.04% to 0.04%	Baa1 to A1	A2
Portugal	0.23% to 0.20%	B2 to B1	Ba3
Romania	0.13% to 0.13%	Ba1 to Ba1	Baa3
Russian Federation	0.12% to 0.17%	Ba1 to Ba2	Baa1
Serbia	0.38% to 0.41%	--	--
Slovakia	0.04% to 0.04%	Aa3 to A1	A2
Slovenia	0.18% to 0.18%	Ba2 to Ba2	Ba1
Spain	0.09% to 0.09%	Baa2 to Baa2	Baa3
Sweden	0.01%	Aa1	Aaa
Switzerland	0.01% to 0.01%	Aaa	Aaa
United Kingdom	0.01% to 0.01%	Aaa	Aa1

Main Points

EDF and Ratings: The report uses CDS-implied EDF and ratings to reflect market assessments of default probabilities.
Inversion of Yield Curve: An inverted yield curve may signal investor concerns about an issuer's near-term refinancing risk.
Market Access and Liquidity: Puerto Rico's financial strain is attributed to weakened liquidity, increased reliance on external debt, and constrained market access.
Regional Analysis: The report includes a detailed analysis of sovereign risk across Asia-Pacific and Europe, with varying trends in EDF and ratings.
Bond Pricing: Bond prices for Puerto Rico are marginally up but still indicate stressed conditions.
Moody's Role: Moody's Capital Markets Research (CMR) complements the fundamental research of Moody's Investors Service (MIS) and is part of Moody's Analytics, which operates independently from the ratings business.

Conclusion

The report outlines the deteriorating market signals for Puerto Rico, indicating increased sovereign risk. It also provides a comparative analysis of EDF and ratings across several countries in Asia-Pacific and Europe, highlighting the different risk profiles and market conditions. The inversion of the yield curve and the drop in bond prices are key indicators of financial stress and investor concerns.

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