20180105-穆迪服务-Brazil_s_Sovereign_Credit_Risk_at_Year_s_Best_17页_1mb

报告摘要

Brazil's Sovereign Credit Risk at Year's Best

Core Content

This document from Moody's Analytics provides an analysis of Brazil's sovereign credit risk as of January 4, 2018, and compares it with other countries in the Asia-Pacific and Europe regions. The focus is on the market-based credit risk indicators, specifically the Expected Default Frequency (EDF), and how they reflect the creditworthiness of sovereigns and related entities.

Key Information

Brazil

5-Year EDF: Reached 0.62%, the lowest in 16 months.
Improvement: The EDF has been on a consistent but bumpy downtrend since July of the previous year.
Scandal Impact: A scandal involving President Michel Temer on May 18 caused the EDF to jump from 0.68% to 1.01%, a 48% worsening.
Petrobras Influence: The performance of Petrobras, a major oil company, and the rise in oil prices have contributed to the improvement in Brazil's EDF.
Settlement Impact: On January 3, Petrobras agreed to pay $2.95 billion to settle a US class action suit related to Operation Car Wash, which positively influenced investor sentiment and led to a notable drop in Brazil's sovereign EDF.

Asia-Pacific

Australia

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.05%, down 1 bps from a year ago
CDS Implied-Rating: Aa1 (up 2 from a year ago)
Bond Implied-Rating: Aaa (no change)
Senior Rating: Aaa (no change)

China

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.21%, down 17 bps from a year ago
CDS Implied-Rating: Baa1 (up 2 from a year ago)
Bond Implied-Rating: A2 (up 2 from a year ago)
Senior Rating: A1 (down 1 from a year ago)

Hong Kong

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.12%, up 6 bps from a year ago
Senior Rating: Aa2 (down 1 from a year ago)

Indonesia

1-Year EDF: 0.03%, down 3 bps from a year ago
5-Year EDF: 0.38%, down 17 bps from a year ago
CDS Implied-Rating: Ba1 (no change)
Bond Implied-Rating: Baa2 (up 1 from a year ago)
Senior Rating: Baa3 (no change)

Japan

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.10%, up 2 bps from a year ago
CDS Implied-Rating: Aa2 (up 1 from a year ago)
Bond Implied-Rating: Aaa (no change)
Senior Rating: A1 (no change)

Korea

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.23%, down 13 bps from a year ago
CDS Implied-Rating: Baa2 (down 4 from a year ago)
Bond Implied-Rating: A2 (down 3 from a year ago)
Senior Rating: Aa2 (no change)

Malaysia

1-Year EDF: 0.01%, down 3 bps from a year ago
5-Year EDF: 0.23%, down 21 bps from a year ago
CDS Implied-Rating: Baa2 (no change)
Bond Implied-Rating: Baa2 (up 2 from a year ago)
Senior Rating: A3 (no change)

Philippines

1-Year EDF: 0.01%, down 2 bps from a year ago
5-Year EDF: 0.23%, down 9 bps from a year ago
CDS Implied-Rating: Baa2 (no change)
Bond Implied-Rating: Baa1 (down 3 from a year ago)
Senior Rating: Baa2 (no change)

Thailand

1-Year EDF: 0.01%, down 1 bps from a year ago
5-Year EDF: 0.16%, down 5 bps from a year ago
CDS Implied-Rating: A3 (no change)
Bond Implied-Rating: Baa3 (no data)
Senior Rating: Baa3 (no change)

Vietnam

1-Year EDF: 0.04%, down 1 bps from a year ago
5-Year EDF: 0.49%, down 3 bps from a year ago
CDS Implied-Rating: Ba2 (no change)
Bond Implied-Rating: Baa3 (up 2 from a year ago)
Senior Rating: B1 (no change)

Europe

Austria

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.05%, down 2 bps from a year ago
CDS Implied-Rating: Aaa (up 3 from a year ago)
Bond Implied-Rating: Aaa (no change)
Senior Rating: Aa1 (no change)

Belgium

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.06%, down 2 bps from a year ago
CDS Implied-Rating: Aaa (up 3 from a year ago)
Bond Implied-Rating: Aaa (no change)
Senior Rating: Aa2 (no change)

Bulgaria

1-Year EDF: 0.01%, down 2 bps from a year ago
5-Year EDF: 0.32%, down 12 bps from a year ago
CDS Implied-Rating: Ba1 (no change)
Bond Implied-Rating: Baa1 (up 6 from a year ago)
Senior Rating: Baa3 (no change)

Croatia

1-Year EDF: 0.02%, down 4 bps from a year ago
5-Year EDF: 0.36%, down 19 bps from a year ago
CDS Implied-Rating: Ba1 (up 1 from a year ago)
Bond Implied-Rating: Baa3 (up 4 from a year ago)
Senior Rating: Ba2 (no change)

Cyprus

1-Year EDF: 0.03%, down 6 bps from a year ago
5-Year EDF: 0.57%, down 31 bps from a year ago
CDS Implied-Rating: Ba2 (up 3 from a year ago)
Bond Implied-Rating: Baa2 (up 4 from a year ago)
Senior Rating: Ba3 (no change)

Czech Republic

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.13%, up 1 bps from a year ago
CDS Implied-Rating: A1 (up 1 from a year ago)
Bond Implied-Rating: Aaa (no change)
Senior Rating: A1 (no change)

Estonia

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.20%, up 1 bps from a year ago
CDS Implied-Rating: A3 (no change)
Bond Implied-Rating: Aa2 (no change)
Senior Rating: A3 (no change)

Finland

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.06%, down 1 bps from a year ago
CDS Implied-Rating: Baa1 (down 2 from a year ago)
Bond Implied-Rating: Aaa (no change)
Senior Rating: Aa1 (no change)

France

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.06%, down 4 bps from a year ago
CDS Implied-Rating: Aa1 (up 3 from a year ago)
Bond Implied-Rating: Aaa (down 3 from a year ago)
Senior Rating: Aa2 (no change)

Germany

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.03%, down 2 bps from a year ago
CDS Implied-Rating: Aaa (up 2 from a year ago)
Bond Implied-Rating: Aaa (no change)
Senior Rating: Aaa (no change)

Greece

1-Year EDF: 0.37%, down 91 bps from a year ago
5-Year EDF: 2.23%, down 159 bps from a year ago
CDS Implied-Rating: B3 (up 2 from a year ago)
Bond Implied-Rating: B3 (up 4 from a year ago)
Senior Rating: Caa2 (up 1 from a year ago)

Hungary

1-Year EDF: 0.01%, down 2 bps from a year ago
5-Year EDF: 0.33%, down 7 bps from a year ago
CDS Implied-Rating: Ba1 (down 1 from a year ago)
Bond Implied-Rating: Baa1 (up 1 from a year ago)
Senior Rating: Baa3 (no change)

Iceland

1-Year EDF: 0.01%, down 1 bps from a year ago
5-Year EDF: 0.29%, down 1 bps from a year ago
CDS Implied-Rating: Baa2 (no change)
Bond Implied-Rating: A1 (up 3 from a year ago)
Senior Rating: A3 (no change)

Ireland

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.10%, down 8 bps from a year ago
CDS Implied-Rating: Aa2 (up 4 from a year ago)
Bond Implied-Rating: Aaa (down 1 from a year ago)
Senior Rating: A2 (up 1 from a year ago)

Italy

1-Year EDF: 0.03%, down 2 bps from a year ago
5-Year EDF: 0.50%, down 4 bps from a year ago
CDS Implied-Rating: Ba2 (down 1 from a year ago)
Bond Implied-Rating: A3 (down 2 from a year ago)
Senior Rating: Baa2 (no change)

Latvia

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.15%, down 1 bps from a year ago
CDS Implied-Rating: A3 (no change)
Bond Implied-Rating: Aa2 (no change)
Senior Rating: A3 (no change)

Lithuania

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.19%, up 4 bps from a year ago
CDS Implied-Rating: Baa1 (down 1 from a year ago)
Bond Implied-Rating: Aa1 (up 4 from a year ago)
Senior Rating: A3 (no change)

Netherlands

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.05%, down 2 bps from a year ago
CDS Implied-Rating: Aaa (up 3 from a year ago)
Bond Implied-Rating: Aa1 (no change)
Senior Rating: Aaa (no change)

Norway

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.04%, down 1 bps from a year ago
CDS Implied-Rating: Aaa (up 1 from a year ago)
Bond Implied-Rating: -- (no data)
Senior Rating: Aaa (no change)

Poland

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.17%, down 6 bps from a year ago
CDS Implied-Rating: Baa1 (up 1 from a year ago)
Bond Implied-Rating: Aa2 (up 4 from a year ago)
Senior Rating: A2 (no change)

Portugal

1-Year EDF: 0.02%, down 8 bps from a year ago
5-Year EDF: 0.46%, down 46 bps from a year ago
CDS Implied-Rating: Ba2 (up 4 from a year ago)
Bond Implied-Rating: Baa1 (up 3 from a year ago)
Senior Rating: Ba1 (no change)

Romania

1-Year EDF: 0.02%, down 1 bps from a year ago
5-Year EDF: 0.36%, down 1 bps from a year ago
CDS Implied-Rating: Ba1 (no change)
Bond Implied-Rating: A3 (up 2 from a year ago)
Senior Rating: Baa3 (no change)

Russian Federation

1-Year EDF: 0.03%, down 1 bps from a year ago
5-Year EDF: 0.55%, up 3 bps from a year ago
CDS Implied-Rating: Ba2 (no change)
Bond Implied-Rating: Baa2 (no change)
Senior Rating: Ba1 (no change)

Slovakia

1-Year EDF: 0.01% (no change)
5-Year EDF: 0.15%, up 2 bps from a year ago
CDS Implied-Rating: Baa2 (no change)
Bond Implied-Rating: Baa3 (no data)
Senior Rating: Baa3 (no change)

Main Points

Brazil's sovereign EDF improved significantly, indicating a more positive outlook on its credit risk.
The improvement is linked to economic recovery, favorable oil prices, and the resolution of legal issues involving Petrobras.
The EDF is a forward-looking measure derived from credit default swap (CDS) spreads.
In the Asia-Pacific region, most countries showed a downward trend in EDF, except for China and Hong Kong, where the 5-Year EDF improved notably.
In Europe, most countries experienced a decline in EDF, but some, like Greece and Lithuania, saw significant improvements.
The document highlights how market sentiment and economic conditions influence sovereign credit risk metrics.

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