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Moody's Sovereign Risk Report Summary

Core Content

This report provides an analysis of sovereign risk in various countries based on the Sovereign EDF (Expected Default Frequency) and other credit metrics. It discusses the impact of the US Federal Reserve's rate hike on global markets and how it affects the credit risk profiles of different countries, particularly those vulnerable to a strengthening US dollar and those affected by low oil prices.

Main Points

• US Federal Reserve Rate Hike:

  • The Fed increased the fed funds rate target from 0.25% to 0.5% on December 16, 2016.
  • This was the first rate hike since December 2015, indicating confidence in continued US economic growth.
  • Officials predict a 2.1% expansion in 2017 and a drop in the unemployment rate to 4.5%.
  • Inflation is expected to rise gradually to 1.9% in 2017 and potentially reach 2% in 2018.
  • Janet Yellen suggested a cautious approach under the Trump administration.

• Global Credit Risk Trends:

  • Credit risk measures worsened in about a third of the countries in the dataset.
  • Countries more vulnerable to the US dollar and those affected by low oil prices saw increased credit risk.
  • The report includes a table of five-year Sovereign EDF measures for selected countries.

Key Information

• Asia-Pacific Countries:

  • Chile: One-year Sovereign EDF increased by 13%.
  • Indonesia: One-year Sovereign EDF increased by 9%, five-year by 7%.
  • Argentina: One-year Sovereign EDF increased by 7%.
  • China: Sovereign EDF rose from 0.32% to 0.35% due to concerns over a rising dollar affecting the yuan.
  • Australia: Sovereign EDF remained stable across all periods.
  • Hong Kong: Five-year Sovereign EDF decreased by 4 bps.
  • Japan: Five-year Sovereign EDF decreased by 6 bps.
  • Korea: Five-year Sovereign EDF decreased by 5 bps.
  • Malaysia: Five-year Sovereign EDF decreased by 26 bps.
  • New Zealand: Five-year Sovereign EDF decreased by 4 bps.
  • Philippines: Five-year Sovereign EDF decreased by 6 bps.
  • India: Five-year Sovereign EDF decreased by 11 bps.
  • Thailand: Five-year Sovereign EDF decreased by 24 bps.
  • Vietnam: Five-year Sovereign EDF decreased by 11 bps.

• Europe Countries:

  • Austria: Five-year Sovereign EDF increased by 2 bps.
  • Belgium: Five-year Sovereign EDF remained stable.
  • Bulgaria: Five-year Sovereign EDF decreased by 18 bps.
  • Croatia: Five-year Sovereign EDF increased by 17 bps.
  • Cyprus: Five-year Sovereign EDF increased by 29 bps.
  • Denmark: Five-year Sovereign EDF increased by 2 bps.
  • Iceland: Five-year Sovereign EDF decreased by 22 bps.
  • Ireland: Five-year Sovereign EDF increased by 6 bps.
  • Italy: Five-year Sovereign EDF increased by 27 bps.
  • Latvia: Five-year Sovereign EDF decreased by 5 bps.
  • Lithuania: Five-year Sovereign EDF decreased by 9 bps.
  • Netherlands: Five-year Sovereign EDF increased by 2 bps.
  • Norway: Five-year Sovereign EDF increased by 2 bps.
  • Poland: Five-year Sovereign EDF remained stable.
  • Portugal: Five-year Sovereign EDF increased by 53 bps.
  • Romania: Five-year Sovereign EDF decreased by 12 bps.
  • Russian Federation: Five-year Sovereign EDF decreased by 26 bps.
  • Serbia: Five-year Sovereign EDF decreased by 4 bps.
  • Slovakia: Five-year Sovereign EDF decreased by 3 bps.
  • Slovenia: Five-year Sovereign EDF decreased by 6 bps.
  • Spain: Five-year Sovereign EDF decreased by 2 bps.

Additional Notes

• Moody's Analytics is a separate entity from Moody's Investors Service and does not provide investment advisory services.
• The report highlights how market signals reflect risks and investment opportunities, complementing fundamental analysis.
• The Sovereign EDF is a key metric used to assess credit risk, and the report shows its changes over time and compared to the previous year.