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Moody's Sovereign Risk Report Summary (December 5, 2016)

Core Content

This report provides an analysis of global sovereign credit risk metrics, focusing on the impact of economic developments and market reactions on credit risk indicators. It highlights changes in Sovereign EDF (Expected Default Frequency), CDS Implied-Rating, Bond Implied-Rating, and Senior Rating for various countries across the Asia-Pacific and Europe regions. The key event influencing the report is the OPEC production cut agreement, which led to a surge in oil prices and a reduction in sovereign credit risk for major oil-exporting nations.

Main Points

• OPEC Production Cut Impact: The OPEC deal to reduce oil production led to a rise in oil prices from $45.96 to $51.68 per barrel, easing credit risk for oil exporters.
• Credit Risk Indicators: The report primarily uses Sovereign EDF metrics to assess the probability of default for sovereign entities. A lower EDF indicates improved credit risk.
• Positive Trends in Oil Exporters: Major oil exporters like Saudi Arabia, Qatar, Iraq, Russia, Colombia, Venezuela, and Mexico saw declines in their five-year Sovereign EDF metrics, with Saudi Arabia's dropping from 0.34% to 0.32% and Venezuela's from 20.4% to 16.8%.
• PMI Influence: Global PMI data contributed to the overall easing of credit risk concerns, particularly in China where the index rose to 51.7, indicating improved manufacturing and service activity.
• Mixed Outcomes in Europe: The Eurozone PMI rose to 53.7, but credit risk changes were mixed in peripheral European countries and largely unchanged in the core. Italy's credit risk declined due to a constitutional referendum, while Hungary and Romania saw increases.
• Greece's High Risk: Greece's five-year Sovereign EDF measure remains the highest among European peers at 3.4%, followed by Ukraine at 2.8%.

Key Information

Asia-Pacific Region

Europe Region

Summary of Trends

• The OPEC production cut agreement positively impacted oil prices and reduced sovereign credit risk for major oil exporters.
• China's PMI rise contributed to a decline in its Sovereign EDF, while the UK's manufacturing survey fell, keeping its credit risk unchanged.
• In Europe, credit risk was mixed, with some countries showing improvement and others experiencing increases.
• Greece and Ukraine continued to have the highest sovereign credit risk in the region, with Greece's five-year EDF measure remaining at 3.4%.
• Bond and CDS implied ratings varied across countries, reflecting different credit risk perceptions and market conditions.