20131125-穆迪服务-Argentine_Sovereign_Market_Risk_Measures_Improve_on_Settlement_of_Minor_Dispute_with_Foreign_Investors_16页_1mb

报告摘要

Moody's Sovereign Risk Report Summary

Core Content

This report from Moody's Capital Markets Research (CMR) provides an analysis of market-based risk measures for sovereign debt, focusing on Argentina and other countries in the Asia-Pacific, Europe, and Latin America & Caribbean regions. It highlights how market signals, such as credit default swap (CDS) implied probabilities of default and ratings, reflect the perceived credit risk of sovereign issuers.

Main Points

Argentina's Risk Measures:
- Argentina's five-year cumulative CDS-implied EDF (Expected Default Frequency) dropped significantly from 41.76% on September 2 to 25.64% in the past week.
- The decline was primarily due to the settlement of a minor dispute with foreign investors by the World Bank's International Centre for Settlement of Investment Disputes.
- Despite the improvement, Argentina's EDF remains the highest among the 84 sovereign entities in the dataset.
- The one-year EDF for Argentina is still higher than the five-year annualized metric, which is unusual and indicates potential financial distress.
Moody's Analytics:
- CMR is part of Moody's Analytics, which is distinct from Moody's Investors Service (MIS), the rating agency.
- CMR does not provide investment advisory services or products.
- Market-based risk measures are derived from CDS spreads, adjusted for loss-given default and the market price of risk.
Economic Policies:
- Argentina's President returned after six weeks of medical leave, and the new Minister of Economics is linked to the nationalization of YPF SA, suggesting continuity in populist economic policies.
- Moody's Investors Service continues to rate Argentina B3 with a negative outlook and its foreign-law bonds at Caa1.
EDF and Credit Curve:
- Normally, longer-term EDF measures are higher than short-term ones, similar to an upward-sloping yield curve.
- In cases of financial distress, short-term EDF measures can exceed longer-term ones, similar to a negative credit curve.
- Countries that required financial rescue (e.g., Greece, Portugal, Ireland, Cyprus) had higher one-year EDF measures than five-year ones before their rescues.

Key Information

Asia-Pacific

Country	CDS Implied-EDF (1-Year)	Bond Implied-Rating	Senior Rating
Australia	0.02%	Aaa	Aaa
China	0.04% to 0.03%	Baa2 to Baa3	Aa3
Hong Kong	0.02%	Baa1	Aa1
Indonesia	0.13% to 0.16%	Ba1 to Baa3	Baa3
Japan	0.03%	Aaa	Aaa
Korea	0.03%	A3	A3
Malaysia	0.06% to 0.05%	Baa2 to Baa2	A3
New Zealand	0.01% to 0.02%	Aa3	Aaa
Philippines	0.05% to 0.06%	Baa2 to Ba1	Baa3
Singapore	--	--	Aaa
Sri Lanka	0.28% to 0.41%	B2 to B1	B1
Taiwan	0.06% to 0.05%	--	Aa3
Thailand	0.06% to 0.06%	Baa2 to Ba1	Baa1

Europe

Country	CDS Implied-EDF (1-Year)	CDS Implied-Rating	Bond Implied-Rating	Senior Rating
Austria	0.01%	Aa1	Aaa	Aaa
Belgium	0.03% to 0.01%	A2 to Aa2	Aaa	Aa1
Bulgaria	0.06% to 0.07%	Baa2 to Ba3	Baa2	Ba1
Croatia	0.24% to 0.33%	B1 to Ba3	Ba2	Ba1
Czech Republic	0.03%	A3	Aa2	Aa1
Denmark	0.01%	Aaa	Aaa	Aaa
Estonia	0.03%	A3	Baa2	Baa3
Finland	0.01%	Aaa	Aaa	Aaa
France	0.03% to 0.02%	A3 to A2	Aaa	Aa1
Germany	0.01%	Aaa	Aaa	Aaa
Greece	1.28% to 0.91%	Caa2 to Caa1	Ca to Caa3	C
Hungary	0.17% to 0.20%	Ba2 to Ba3	Ba2	Ba1
Iceland	0.09% to 0.10%	Baa3 to Ba1	Ba2	Baa3
Ireland	0.06% to 0.06%	Baa3	Baa1	Ba1
Italy	0.15% to 0.13%	Ba1	Baa3 to Baa2	Baa2
Latvia	0.06% to 0.06%	Baa2 to Baa3	Baa2	Baa3
Lithuania	0.06% to 0.06%	Baa2	Baa1	Baa1
Malta	0.15% to 0.15%	Ba1	Baa1	A3
Netherlands	0.02% to 0.01%	A1 to Aa3	Aaa	Aaa
Norway	0.01%	Aaa	Aaa	Aaa
Poland	0.04%	Baa1	A1 to A2	A2
Portugal	0.32% to 0.29%	B2	B1 to Ba3	Ba3
Romania	0.11% to 0.11%	Ba1	Ba1	Baa3
Russian Federation	0.10% to 0.11%	Baa3 to Ba1	Baa2 to Baa1	Baa1
Slovakia	0.04% to 0.04%	Baa1	Aa3 to A1	A2
Slovenia	0.28% to 0.25%	B1 to Ba3	Ba3 to Ba1	Ba1
Spain	0.13% to 0.10%	Ba1 to Baa3	Baa3 to Baa2	Baa3
Sweden	0.01%	Aaa	Aaa	Aaa
Switzerland	0.01% to 0.01%	Aa2 to Aa3	Aaa	Aaa
Ukraine	1.90% to 1.98%	Caa3 to Caa2	Caa3 to B3	Caa1

Conclusion

The report highlights that while Argentina's market-based risk measures have improved due to a minor dispute resolution, it still faces the highest risk among the analyzed countries. The analysis also underscores the importance of economic policies and the correlation between market signals and financial distress, using historical examples of countries that required financial assistance. The data from various regions shows varying degrees of risk, with some countries maintaining stable ratings and others experiencing fluctuations.

展开完整摘要