SOVEREIGN AND SUPRANATIONALSECTOR IN-DEPTH 18 MAY 2015ANALYST CONTACTSGlenn Levine +Assc Dir-Sr Research Analyst glenn.levine@moodys.comXian Li Research Analyst xian.li@moodys.comABOUT CAPITAL MARKETS RESEARCHAnalyses from Moodys Capital Markets Research, Inc. (CMR) focus on explaining signals from the credit and equity markets. The publications address whether market signals, in the opinion of the groups analysts, accurately reflect the risks and investment opportunities associated with issuers and sectors. CMR research thus complements the fundamentally-oriented research offered by Moodys Investors Service (MIS), the rating agency.CMR is part of Moodys Analytics, which is one of the two operating businesses of Moodys Corporation. Moodys Analytics (including CMR) is legally and organizationally separated from Moodys Investors Service and operates on an arms length basis from the ratings business. CMR does not provide investment advisory services or products.View the CMR FAQ Contact the CMR team Follow us on TwitterMoodys Analytics markets and distributes all Moodys Capital Markets Research, Inc. materials. Moodys Capital Markets Research, Inc. is a subsidiary of Moodys Corporation. Moodys Analytics does not provide investment advisory services or products. For further detail, please see the last page.Sovereign Risk ReportSovereign Risk Measures Unmoved as Greece Teeters on Default Greeces market-based sovereign risk measures have stabilized in recent weeks, despite fears that the government is facing a liquidity crunch and could soon miss one of its scheduled creditor payments. According to the one-year Sovereign EDF' (Expected Default Frequency) 1, there is a 5.17% probability that the Greek government will default in the next 12 months. This confirms Greeces elevated risk profile, as also seen in the EDF-implied rating of Caa2, yet this risk has cooled slightly in recent weeks. The one-year Sovereign EDF jumped to 12% in mid-April, but has fallen steadily since then and now sits near its lowest level since mid-March. The five-year Sovereign EDF has broadly tracked the one-year gauge, easing to 4.94% in the week ending May 15.FIGURE 1. GREECES ONE-AND FIVE-YEAR SOVEREIGN EDFThe relative calm seen in Greeces Sovereign EDF measures contrasts with the governments near-daily scrambling to meet deadlines and repayments. On Friday, the government made its bi-monthly wage and pension payment, worth around ª500 million. Earlier in the week, the Greek government raided its Special Drawing Rights account with the IMF a rainy day fund that countries can draw on in an emergency and promptly used the ª650 millionMOODY'S ANALYTICS SOVEREIGN AND SUPRANATIONAL2 18 MAY 2015 SOVEREIGN RISK REPORT : SOVEREIGN RISK MEASURES UNMOVED AS GREECE TEETERS ON DEFAULTwithdrawn to make a scheduled ª750 million payment to the IMF. There is no strict deadline on the SDR funds, and they can be repaid over several months....
