穆迪亚洲主权风险朝鲜半岛紧张局面使得基于市场的主权信用风险升高20170821SovereignRi

SOVEREIGNANDSUPRANATIONALSECTORIN-DEPTH21August2017Cont[e-mail]@moodys.comABOUTCAPITALMARKETSRESEARCHAnalysesfromMoody’sCapitalMarketsResearch,Inc.(CMR)focusonexplainingsignalsfromthecreditandequitymarkets.Thepublicationsaddresswhethermarketsignals,intheopinionofthegroup’sanalysts,accuratelyreflecttherisksandinvestmentopportunitiesassociatedwithissuersandsectors.CMRresearchthuscomplementsthefundamentally-orientedresearchofferedbyMoody’sInvestorsService(MIS),theratingagency.CMRispartofMoody’sAnalytics,whichisoneofthetwooperatingbusinessesofMoody’sCorporation.Moody’sAnalytics(includingCMR)islegallyandorganizationallyseparatedfromMoody’sInvestorsServiceandoperatesonanarm’slengthbasisfromtheratingsbusiness.CMRdoesnotprovideinvestmentadvisoryservicesorproducts.ViewtheCMRFAQContacttheCMRteamFollowusonTwitterSovereignRiskReportTensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedTheratchetingupofmilitarytensionsontheKoreanpeninsulahasliftedSouthKorea’smarket-basedmeasuresofsovereigncreditrisk.SouthKorea’sfive-yearsovereignEDF1,whichmeasurestheprobabilitythatthegovernmentwilldefaultonabondduringthenextfiveyears,roseto0.28%onMondayAugust14,beforeeasingthroughouttheweek.ThiswasthehighestreadingonSouthKorea’ssovereignEDFsince2013.Thespreadonthefive-yearCDScontract,whichistheprimarydriverofthefive-yearsovereignEDF,peakedat71bponMonday.Byweek’send,thesovereignEDFhadfallento0.25%.Exhibit1SouthKorea'sOne-andFive-YearSovereignEDFMeasures(%)Source:CreditEdgeTensionsbetweenNorthandSouthKoreahaveincreasedinrecentweeks,amplifiedbydisplaysofbrinkmanshipfromthegovernmentsofNorthKoreaandtheUS.Intheeventofamilitaryconflict,SouthKoreawouldbecaughtinthecrossfireandwouldsuffersevereMoody’sAnalyticsmarketsanddistributesallMoody’sCapitalMarketsResearch,Inc.materials.Moody’sCapitalMarketsResearch,Inc.isasubsidiaryofMoody’sCorporation.Moody’sAnalyticsdoesnotprovideinvestmentadvisoryservicesorproducts.Forfurtherdetail,pleaseseethelastpage.MOODY'SANALYTICSSOVEREIGNANDSUPRANATIONALeconomicandhumancosts.Inonescenario,forexample,iftheNorthKoreangovernmentcollapsed,theSouthKoreangovernmentwouldbeforcedtotakecontroloftheentireKoreanpeninsula,imposingenormouscostsonitsgovernment.GovernmentdebtinSouthKorearemainsrelativelylowat39%ofGDP,whichhashelpedtopreventamoredramaticincreaseinitssovereigncreditrisk.Ifweconvertthefive-yearsovereignEDFtoamarket-impliedrating,itnowsitsatBaa1.Thissuggeststhatitisstillcomfortablyinvestmentgrade,althoughthismetricisfivenotchesbelowitsMoody’sInvestorsServiceagencyratingofAa2.221August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL321August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL421August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL521August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL621August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL721August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL821August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL921August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL1021August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL1121August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL1221August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL1321August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL1421August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONALEndnotes1SovereignEDFTM(ExpectedDefaultFrequency)creditmeasuresareforward-lookingprobabilitiesofdefaultextractedfromcreditdefaultswapspreads.SpotCDSspreadsareadjustedforloss-givendefaultandthemarketpriceofrisktoarriveatestimatesofactualfuturedefaultrisk.1521August2017SovereignRiskReport:TensionsontheKoreanPeninsulaKeepMarket-BasedSovereignCreditRiskElevatedMOODY'SANALYTICSSOVEREIGNANDSUPRANATIONAL©2017Moody’sCorporation,Moody’sInvestorsService,Inc.,Moody’sAnaly