Brazil country risk

Country Risk

Updated in December 2004, with data up to September 2004

Frequently

Asked Questions

S e r i e s

Investor Relations Group

Country Risk

This paper is part of the Banco Central do Brasil’s “Frequently

Asked Questions” series. This series, which is produced by the BCB’s

Investor Relations Group (Gerin), provides background information

and analysis on economic data and issues of interest to investors and

the general public.

The Banco Central do Brasil is producing this series as part of

its ongoing efforts to enhance the transparency of the Brazilian

economy and economic policy, and to improve its communication with

the private sector.

Contents

1. What is the Brazil risk? ......................................................... 72. Is this indicator the Embi+? ................................................... 73. What is the C-Bond? ............................................................. 84. For which countries the Embi+ is calculated? ..................... 95. How is the Embi+ calculated? .............................................. 96. Which criteria are followed to add and drop securities

in the Embi+ portfolio? ........................................................ 107. How does the Embi+ differ from the Embi? ...................... 118. What is the composition of the Embi+?.............................. 119. How has been the Brazil risk evolving, as compared to

other Latin American countries? ........................................ 1210 . Are there other indicators for the country risk? Which

are they and how could they be obtained? ......................... 1411 . In each case, is the risk proportional to the tenure of

the securities that are part of the Embi+? ......................... 1612 . When the Brazil risk increases, is there an increase in

the expenses incurred by the country with the paymentof interest related to the external debt bonds? .................. 18

13 . What is the relation between the Brazil risk and theexchange rate? ..................................................................... 19

14 . Where further information on the country risk maybe obtained? ......................................................................... 19

Appendix ...................................................................................... 20

7

Frequently Asked Questions

Country Risk

1. What is the Brazil risk?

The Brazil risk is an indicator which intends to express objectivelythe risk to which foreign investors are submitted when investing inthe country. In the international market, the most used indicator withthis objective measures the average return of a hypothetical portfoliocomposed of securities issued by Brazil abroad, over the return ofU.S. Treasuries with a compatible tenure, considered risk-free. Thehigher the risk, the lower the attractiveness of the country to foreigncapital. As a consequence, the higher the premium its debt instrumentsmust pay to compensate investors to take the risk.

2. Is this indicator the Embi+?

No. The Embi+ (Emerging Markets Bond Index Plus), calculatedby the J.P.Morgan Chase, is an index number measuring the returnrate of the securities that are part of the hypothetical portfoliomentioned above for the investor since the inception of the portfolioto date, or to a reference date. For the majority of the portfolios ofthe Embi+, the basis (an index number equal to 100) is December 31,1993, when the Embi+ started to be calculated. The country risk, asdescribed, is the spread of this country’s hypothetical portfolio return,over the U.S. Treasury. Technically, is this portfolio’s spread overTreasury.

The country risk intends to capture the “pure” sovereign risk.As some of the securities issued by emerging countries offerguarantees to the investor (as some Bradies, guaranteed by U.S.Treasuries), these securities are treated specifically to neutralize theimpact of the collateral in the risk. So, the country risk is the averagesovereign spread of the securities in the Embi+ portfolio, weighted byits market value.

8


Currently, the Embi+ Brazil portfolio comprehends 23 securitiesissued abroad, including the C-Bond and 20 different denominationsof global bonds, maturing from 2006 to 2040.

3. What is the C-Bond?

The C-Bond (Front-Loaded Interest Reduction Bond withCapitalization) is the most liquid Brazilian security in the internationalmarket, and the second highest weight in the Embi+. On August 31,2004, the C-Bond weighted 13.7% of the Embi+ Brazil and 3.2% ofthe Embi+. The C-Bond is part of the Brady Bonds, or Bradies, a setof securities created in 1992, when the Brazilian external debt wasrestructured, involving the exchange of the debt owed by the publicsector for seven new bonds issued by the Republic, each one with itspeculiarities. The C-Bond issuance in April 1994 totaled US$7.4 billion.Its main characteristics are:

– maturing in 2014;– period of grace up to 2004, when biannual amortizations start

to be paid;– increasing interest rates up to 2001, when they were fixed at

8%p.a.;– interest partially capitalized in the first six years;– no collateral for principal and interest.

The market value for the C-Bond has been oscillating around97% of its face value. Due to its high liquidity, it reflects almostinstantaneously changes in the risk perception that investors haveregarding the Brazilian economy. Graph 1 presents the evolution ofthe Brazil risk and the C-Bond price, evidencing mirrored behaviors.The higher investors are willing to pay for the C-Bond, the lower therisk they perceive.

9


300

600

900

1,200

1,500

1,800

2,100

2,400

Jan95

Aug95

Mar96

Oct96

May97

Jan98

Aug98

Mar99

Oct99

Jun00

Jan01

Aug01

Mar02

Oct02

May03

Dec03

Aug04

30

40

50

60

70

80

90

100

%

Embi+ Brazil C-Bond

spread over US Treasuries (bps)

Graph 1 – Embi+ and C-Bond (Jan 1995-Sep 2004)

Source: Banco Central do Brasil

4. For which countries the Embi+ is calculated?

Besides Brazil, which weighted 23.3% in the index on August2004, the Embi+ covers external currency debt of 18 emergingmarkets. The highlights, according to their relative importance, arethe securities issued by Mexico (weighting 19.7%) and Russia (16.8%),followed by Turkey (7.9%), Venezuela (6.0%) and Philippines (5.7%).Argentina was an important issuer in the Embi+, but the market valueof their securities dropped and the participation of Argentina in theindex decreased to 1.7%. The countries, instruments, and weightsfor the Embi+ as of August 31, 2004, are listed in the Appendix.

5. How is the Embi+ calculated?

The Embi+ is constructed as a composite of the following debtinstruments of emerging countries: Bradies, eurobonds, and loans. A dailytotal return for each single instrument is computed; for each market, anarithmetic, market-capitalization-weighted average of the daily total returnsis constructed; and the same is done for the three markets. The result is

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a composite return for the overall Embi+ market, in basis-points over theU.S. Treasury.

Besides the overall Embi+, some subindices are released bycountry, region and debt instrument (Bradies, eurobonds, and loans).

6. Which criteria are followed to add and drop

securities in the Embi+portfolio?

Instruments in the Embi+ must initially meet four eligibility criteria:(i) a minimum of US$500 million outstanding; (ii) a BBB+/Baa1 or belowrating requirement for the issuer country; (iii) more than a year remainingto maturity; and (iv) negotiability in the international market. Once thesecriteria are met, liquidity criteria are applied. The five Embi+ liquidityratings are:L1: US$2 billion equivalent face amount outstanding minimum, average

bid/ask spread lower or equal to 3/8 point and quoted by alldesignated interdealer brokers;

L2: US$1 billion equivalent face amount outstanding minimum, average bid/ask apread lower or equal to ¾ point and quoted by at least half of the designated interdealer brokers;L3: US$500 million equivalent face emount outstanding minimum, average

bid/ask spread lower or equal to 1 1/2 point, and quoted by at least¼ of the designated interdealer brokers;

L4: US$500 million equivalent face amount outstanding minimum, averagebid/ask spread lower or equal to 3 points, and quoted by at least

one designated interdealer broker;L5: US$500 million equivalent face amount outstanding minimum, average

bid/ask spread higher than 3 points, or not quoted by any designated interdealer broker.

These liquidity ratings are used to determine when the instruments areadded to or dropped from the Embi+. To be added, instruments must be ratedas L1, L2 or L3. Instruments are added at the end of the first month in whichthey achieve an L1 rating, at the end of the third consecutive month in whichthey achieve an L2 rating, or at the end of the sixth consecutive month inwhich they achieve an L3 rating or higher. Instruments are dropped at the

11


end of the first month in which they fall to an L5 rating or at the end of thesixth consecutive month in which they are rated L4. A bond can only beadded to the Embi+ as long as its remaining maturity is greater than 2.5 yearson the date at which it qualifies for inclusion in the index. When a countryreceives a rating A-/A3 or higher from both S&P and Moody’s, it is droppedfrom the index at the next month-end rebalancing.

7. How does the Embi+ differ from the Embi?

In August 2004, the Embi+ tracked 112 instruments issued by 19emerging countries, with a total face value of US$187.7 billion and totalmarket value of US$197.4 billion. The Embi has lower liquidity restrictions,covering 175 U.S.dollar-denominated debt instruments issued by emergingmarkets sovereign and quasi-sovereign entities across 31 countries. Itsmarket value totaled US$248.0 billion on August 31. Then, the Embi+represents a more liquid and selected set of investment opportunities inemerging countries. Notwithstanding, Embi and Embi+ are highlycorrelated.

8. What is the composition of the Embi+?

On August 31, 2004, the Embi+ was basically composed by eurobonds(74.9%) and Bradies (24.6%). Loans weighted as low as 0.5% of the index.The instruments are concentrated on issuers from Latin America (60.0%),followed by Europe (28.9%), especially represented by Russia and Turkey.

Only 3 out of the 112 instruments of the Embi+ (including the BrazilianC-Bond and Global 2040) were rated L1 at the end of August. On the samedate, the L2 rating applied to 27 instruments, most of them from Mexico.

12


0

500

1,000

1,500

2,000

2,500

Jan95

Jul95

Jan96

Jul96

Jan97

Jul97

Jan98

Jul98

Jan99

Jul99

Jan00

Jul00

Jan01

Jul01

Jan02

Jul02

Jan03

Jul03

Jan04

Jul04

Brazil Latin America


9. How has been the Brazil risk evolving, as compared

to other Latin American countries?

Graph 2 presents the evolution of Brazil risk and Latin Americarisk since 1995. Both curves tend to behave similarly and in the samedirection, although with different magnitudes, since Brazil respondsfor 38.8% of the Embi+ in the region (as of August 2004). In 2002,Brazil risk reached record highs due to uncertainties about thegovernmental transition. As soon as the new governmentmacroeconomic policy was defined, the spread fell consistently in2003, reaching levels below 500 points in December 2003, Januaryand August 2004 (highlights in the graph), showing the resume ofinvestors confidence in the Brazilian economy fundamentals.

Graph 2 – Embi+: spread Brazil and Latin America (Jan 1995-Sep 2004)

The evolution of the country risk for Brazil and Argentina isshown in Graph 3. Until mid-2001, both curves behaved closely,although presenting short periods of decoupling in specific times (forinstance, in 1995, due to uncertainties about the sustainability of thecurrency board in Argentina after the Mexican crisis, and in the

Source: Reuters

13


beginning of 1999, due to the exchange rate crisis in Brazil). From thesecond half of 2001 on, the risks decouple from each other. With thedefault on its debt, risk for Argentina passed to oscillate above 4500basis points along 2002, and 5400 bps in September 2004.

Graph 3 – Embi+: spread Brazil and Argentina (Jan 1995-Sep 2004)

Source: Reuters

Graph 4 compares the evolution, in the last four years, of the countryrisks of Brazil, Mexico, and Venezuela, respectively the first, second, andthird most important Latin American issuers in the set considered by theEmbi+. The risk attributed to the Venezuelan securities surpassed Brazilrisk in the fourth quarter of 2001 and remained higher up to mid-2002,when the latter increased substantially. Since the definition of the electoralmainframe, the behavior of Brazil risk assumed a strongly declining trend.From the beginning of 2003, Brazilian risk has been lower than theVenezuelan, although they are very close in 2004.

Regarding Mexico, its sovereign spread has been oscillating between150 and 250 points, relatively imune to the instability that has been acharacteristic of other Latin American issuers in the recent past.

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

Jan 95 Jan 96 Jan 97 Jan 98 Jan 99 Jan 00 Jan 01 Jan 02 Jan 03 Jan 04Brazil Argentina


14


Graph 4 – Embi+: spread Brazil, Mexico and Venezuela (Apr 2000-Sep 2004)

Source: Reuters

10. Are there other indicators for the country risk?

Which are they and how could they be obtained?

Yes. There are other indicators used to measure the countryrisk, but the Embi+ is the most frequently mentioned by the press,mainly because it is released on a daily basis.

The international rating agencies, for example, evaluate thesovereign risk of issuers, rating them according to specific scales,and indicating their outlooks (positive, negative or stable). It isimportant to highlight that these ratings are not restrict to emergingeconomies. The Table 1 shows the scales used by the biggest ratingagencies: Standard&Poors (www.standardandpoors.com), Moody’s(www.moodys.com) and Fitch Ratings (www.fitchratings.com). Theratings are ordered according to the credit risk: the issuer rated asAAA (S&P and Fitch) or Aaa (Moody’s) represents the lowest riskfor the investor. Table 2 presents the ratings given by the agencies toa selected group of countries.

0

500

1,000

1,500

2,000

2,500

Apr00

Jul00

Oct00

Jan01

Apr01

Jul01

Oct01

Jan02

Apr02

Jul02

Oct02

Jan03

Apr03

Jul03

Oct03

Jan04

Apr04

Jul04

Brazil Venezuela Mexico


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Table 1 – Rating Scales

Sources: Moody’s, Standard&Poors e Fitch Ratings

Moody's S&P Fitch

Aaa AAA AAAAa1 AA+ AA+Aa2 AA AAAa3 AA- AA-A1 A+ A+A2 A AA3 A- A-Baa1 BBB+ BBB+Baa2 BBB BBBBaa3 BBB- BBB-

Ba1 BB+ BB+Ba2 BB BBBa3 BB- BB-B1 B+ B+B2 B BB3 B- B-Caa1 CCC+ CCCCaa2 CCC CCCaa3 CCC- CCa CC DDDC SD DD

D D

Investment Grade

Sub-Investment

Grade

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Table 2 – Long-Term Foreign Currency Rating (as of September 2004*)

Sources: Moody’s, Standard&Poors and Fitch Ratings

11. In each case, is the risk proportional to the tenure

of the securities that are part of the Embi+?

Graph 5 shows different patterns for combinations between riskand average life of securities placed by the most frequent issuersparticipating in the Embi+. Argentina was excluded since its currentrisk is high enough to distort any graphic analysis. The graph alsopresents exponential trends for each country and their rating accordingto Moody’s. Even considering that average life and risk are positively

Rating Outlook Rating Outlook Rating OutlookArgentina Caa1 Stable SD na DDD naBrazil B1 Stable BB- Stable BB- StableBulgaria Ba2 Under revision BBB- Stable BBB- StableChile Baa1 Stable A Stable A- PositiveChina A2 Stable BBB+ Positive A- PositiveColombia Ba2 Negative BB Stable BB StableEcuador Caa1 Stable CCC+ Stable CCC+ StableEgypt Ba1 Stable BB+ Negative BB+ StableHong Kong A1 Stable A+ Stable AA- StableJapan Aaa Stable AA- Stable AA NegativeMalaysia Baa1 Under revision A- Stable BBB+ PositiveMexico Baa2 Positive BBB- Stable BBB- StableMorocco Ba1 Stable BB Positive na naPanama Ba1 Stable BB Negative BB+ StableParaguay Caa1 Stable B- Stable nd naPeru Ba3 Stable BB Stable BB- PositivePhilippines Ba2 Negative BB Stable BB StablePoland A2 Stable BBB+ Negative BBB+ StableRussia Baa3 Stable BB+ Stable BB+ StableSouth Africa Baa2 Positive BBB Stable BBB StableSouth Korea A3 Stable A- Stable A StableTurkey B1 Stable BB- Stable B+ PositiveUkraine B1 Positive B+ Stable B+ StableUnited Kingdom Aaa Stable AAA Stable AAA StableUnited States Aaa Stable AAA Stable AAA StableUruguay B3 Negative B Stable B StableVenezuela B2 Stable B Stable B+ Stablena: not available.

* As of 9/29/2004

CountryMoody's S&P Fitch

17


correlated for all countries, risk is usually higher, given an averagelife, when the issuer is rated lower.

Graph 5 – Stripped Spread vs. Average Life by Instrument – Countries withat Least 6 Securities in the Embi+ – Exponential Trend and Rating(Moody’s) – As of August 31, 2004

Sources: Reuters, J.P.Morgan Chase and Banco Central do BrasilBrazil: excludes Pars-Z and Discounts-Z; Venezuela: excludes Par Bonds

Graph 6, in the next page, shows average life and stripped spreadfor each country in the Embi+, except Argentina. The position of thecountries in the graph confirms the positive correlation between riskand average life for the securities issued by each country: the longerthe bonds, the highest the risk.

0

4

8

12

16

20

24

28

32

36

0 100 200 300 400 500 600

VenezuelaB2

TurkeyB1

BrazilB1

ColombiaBa2

MexicoBaa2

PhilippinesBa2

Embi+ (stripped spread in bps)

Average life (years)

18


Graph 6 – Stripped Spread vs. Average Life by Issuer

Elaboration: Banco Central do Brasil

12. When the Brazil risk increases, is there an increase in

the expenses incurred by the country with the payment

of interest related to the external debt bonds?

No. Interest paid by the Republic regarding each bond issued in theinternational market is set at the time of their issuance. Then, investorswho bought the bond Brazil issued with interest at 10% p.a. maturing in2007 will be remunerated with interest at 10% p.a. until the maturity.Changes in the country risk will reflect only the average return to whichnew investors who buy this bond in the secondary market will be subject.If the risk reaches 900 points and the Treasuries yield 5%p.a., marketprice of these bonds will be adjusted in relation to the face value in orderto guarantee 14% p.a. as the return. If the risk falls to 800 points, marketprice will have increased, as to assure a new return of 13% p.a. to theinvestors who buy the bond. The country, however, does not have additionalcosts paying interest. Nonetheless, the risk indicator is a reference tonew sovereign and private issuances in the international market.

Brazil

Bulgaria

Ecuador

Malaysia

Mexico

Ukraine

Morocco

Nigeria

Panama

Peru

Philippines

Poland

South Africa

Russia

Egypt

Turkey

Venezuela

Colombia

0

3

6

9

12

15

18

21

150 300 450 600 750 900

Average life (years)

Embi+ (stripped spread in bps)

19


13. What is the relation between the Brazil risk and the

exchange rate?

Graph 7 suggests that Brazil risk and the exchange rate (R$/US$) arehighly correlated. Indeed, changes in the perception of sovereign risk aregenerally followed by changes in the net capital inflows, what contributes toappreciate or to depreciate the exchange rate. This is very clear when lookingat the trend of both curves for the second half of 2001 and 2002.

Graph 7 – Brazil Risk and the Exchange Rate R$/US$ (Apr 1999-Sep 2004)

Sources: Reuters and Banco Central do Brasil

14. Where further information on the country risk may

be obtained?

The methodology for calculating the Embi+ was consolidated from theJ.P.Morgan Chase reports: Introducing the Emerging Markets Bond IndexPlus - Embi+, of 7/12/95, and Embi+/Embi rules for adding and droppingissues, of 9/30/98, obtained in www.jpmorgan.com or inwww.morganmarkets.com.br, after signing in. Daily Embi+ is released byinformation providers such as Reuters and Bloomberg, and some daily news.

0

500

1,000

1,500

2,000

2,500

Apr 99 Sep 99 Mar 00 Sep 00 Feb 01 Aug 01 Feb 02 Aug 02 Jan 03 Jul 03 Jan 04 Jul 04

1.401.601.802.002.202.402.602.803.003.203.403.603.804.00

R$/US$

Embi+ Brazil Exchange Rate


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Appendix

Composition of the Embi+(as of August 31, 2004)

Country/Instrument Face value Market Weight in Liquidity Spread over AverageSecondary Mkt value the Embi+ U.S. Treasuries life

(US$ million) (US$ million) (%) (bps) (years)

Argentina 9 675 3 366 1,71 5 258 10,9Par bonds 2 260 1 152 0,58 L3 4 677 18,6Republic 11 3/4% due 15 623 196 0,10 L3- 3 808 10,8Republic 11 3/8% due 17 1 730 549 0,28 L3 3 353 12,4Republic 7% step-up due 08 3 165 923 0,47 L3 8 997 3,0Republic 12 1/4% due 18 1 898 546 0,28 L3 2 901 12,8Brazil 43 941 46 016 23,31 521 13,5C bonds 6 228 6 287 3,18 L1 508 4,9DCBs 3 570 3 247 1,64 L2 422 3,9Discounts-Z 1 342 1 145 0,58 L3 654 19,6Eligible Interest bonds 987 993 0,50 L3 119 0,9New Money bonds 1994 1 042 1 011 0,51 L3 282 2,4Pars-Z 1 539 1 351 0,68 L3+ 683 19,6Republic 10 1/4% due 06 1 500 1 653 0,84 L3 112 1,4Republic 10% due 07 1 000 1 111 0,56 L3 269 2,4Republic 11 1/4% due 07 1 500 1 715 0,87 L3 334 2,9Republic 11 1/2% due 08 1 250 1 493 0,76 L3 377 3,5Republic 14 1/2% due 09 2 000 2 631 1,33 L3 485 5,1Republic 12% due 10 1 000 1 199 0,61 L3 498 5,6Republic 9 1/4% due 10 1 500 1 614 0,82 L3 466 6,1Republic 10% due 11 1 250 1 328 0,67 L3 508 6,9Republic 11% due 12 1 250 1 404 0,71 L3 509 7,4Republic 10 1/4% due 13 1 250 1 365 0,69 L3 513 8,8Republic 12 3/4% due 20 1 000 1 225 0,62 L3 574 15,4Republic 8 7/8% due 24 2 150 2 030 1,03 L3 533 19,6Republic 8 7/8% due 24 - B 826 779 0,39 L3 533 19,6Republic 10 1/8% due 27 3 500 3 641 1,84 L3 546 22,7Republic 12 1/4% due 30 1 600 1 972 1,00 L3 574 25,5Republic 8 1/4% due 34 1 500 1 285 0,65 L3 519 29,4Republic 11% due 40 5 157 5 536 2,80 L1- 567 36,0Bulgaria 2 854 3 153 1,60 126 7,0FLIRBs-A 646 646 0,33 L4+ 123 4,2IABs 938 938 0,48 L4+ 124 4,5Republic 8 1/4% due 15 1 271 1 569 0,79 L3 128 10,4Colombia 6 675 7 667 3,88 408 9,0Republic 10 1/2% due 06 500 569 0,29 L3 114 1,8Republic 7 5/8% due 07 750 802 0,41 L3 187 2,5Republic 9 3/4% due 09 765 881 0,45 L3 351 4,6Republic 10 1/2% due 10 507 589 0,30 L3 374 5,9Republic 10% due 12 900 1 013 0,51 L3 402 7,4Republic 10 3/4% due 13 750 873 0,44 L3 425 8,4Republic 11 3/4% due 20 1 075 1 312 0,66 L3 466 15,5Republic 9 3/4% due 11 (WB) 792 930 0,47 L3 291 3,7Republic 10 3/8% due 33 635 699 0,35 L3 478 28,4Ecuador 3 750 3 234 1,64 813 20,0Republic 12% due 12 1 250 1 262 0,64 L2- 858 8,2Republic Step-up due 30 2 500 1 973 1,00 L2- 794 26,0Egypt 1 000 1 214 0,61 141 6,9Republic 8 3/4% due 11 1 000 1 214 0,61 L3- 141 6,9Malaysia 3 250 3 905 1,98 79 5,9Republic 8 3/4% due 09 1 500 1 836 0,93 L3 77 4,7Republic 7 1/2% due 11 1 750 2 069 1,05 L3 81 6,9

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Composition of the Embi+(as of August 31, 2004) (cont.)



Mexico 33 410 38 944 19.73 183 11.8UMS FRN due 09 1 500 1 527 0.77 L2 72 4.4UMS 8 1/2% due 06 1 500 1 633 0.83 L2 32 1.4UMS 9 7/8% due 07 1 500 1 747 0.88 L2 60 2.4UMS 4 5/8% due 08 1 500 1 546 0.78 L2 116 4.1UMS 8 5/8% due 08 1 500 1 792 0.91 L2 96 3.5UMS 10 3/8% due 09 1 925 2 397 1.21 L2 118 4.5UMS 9 7/8% due 10 2 000 2 500 1.27 L2 132 5.4UMS 8 3/8% due 11 2 500 2 971 1.50 L2 142 6.4UMS 7 1/2% due 12 1 500 1 711 0.87 L2 152 7.4UMS 6 3/8% due 13 2 000 2 117 1.07 L2 163 8.4UMS 5 7/8% due 14 1 815 1 851 0.94 L2 163 9.4UMS 6 5/8% due 15 1 000 1 054 0.53 L2 177 10.5UMS 11 3/8% due 16 2 400 3 637 1.84 L2 169 12.0UMS 8 1/8% due 19 2 635 3 068 1.55 L2 205 15.3UMS 8% due 22 1 285 1 494 0.76 L2 217 18.1UMS 11 1/2% due 26 545 836 0.42 L3 238 21.7UMS 8.3% due 31 3 250 3 740 1.89 L2 233 27.0UMS 7 1/2% due 33 3 055 3 324 1.68 L2 223 28.6Morocco 1 031 1 015 0.51 173 2.3Consolidated Tr A 1 031 1 015 0.51 L3 173 2.3Nigeria 1 450 1 368 0.69 697 16.2Par bonds 1 450 1 368 0.69 L4+ 697 16.2Panama 2 225 2 484 1.26 361 17.8Republic 9 5/8% due 11 750 860 0.44 L3 313 6.4Republic 8 7/8% due 27 975 1 046 0.53 L3 384 23.1Republic 9 3/8% due 29 500 579 0.29 L3 355 24.6Peru 4 834 4 941 2.50 357 7.6FLIRBs 1 150 1 020 0.52 L3 374 8.6PDI bonds 1 011 942 0.48 L3 341 6.7Republic 9 1/8% due 08 500 566 0.29 L3 206 3.4Republic 9 1/8% due 12 1 423 1 562 0.79 L3 353 7.5Republic 9 7/8% due 15 750 849 0.43 L3 398 10.4Philippines 10 569 11 329 5.74 438 10.7Republic 8 7/8% due 08 748 849 0.43 L3 250 3.6Republic 8 3/8% due 09 944 1 042 0.53 L3 335 4.5Republic 9 7/8% due 10 600 691 0.35 L3 394 5.5Republic 8 3/8% due 11 1 500 1 527 0.77 L3 435 6.5Republic 9% due 13 1 000 1 035 0.52 L3 449 8.5Republic 8 1/4% due 14 1 700 1 685 0.85 L3 453 9.4Republic 9 3/8% due 17 1 000 1 065 0.54 L3 435 12.4Republic 9 7/8% due 19 1 100 1 167 0.59 L3 492 14.4Republic 9 1/2% due 24 677 772 0.39 L3 379 20.1Republic 10 5/8% due 25 1 300 1 497 0.76 L3 493 20.5Poland 2 400 2 611 1.32 58 8.5Republic 6 1/4% due 12 1 400 1 570 0.80 L3 54 7.8Republic 5 1/4% due 14 1 000 1 041 0.53 L3 62 9.4

22


Composition of the Embi+(as of August 31, 2004) (cont.)

Source: J.P.Morgan Chase



Russia 30 474 33 230 16.83 299 12.2Ministry Fin 10% due 07 2 400 2 769 1.40 L2 197 2.8Ministry Fin 11% due 18 3 467 4 565 2.31 L3 306 13.9Ministry Fin 12 3/4% due 28 2 500 3 855 1.95 L3 329 23.8Republic 8 1/4% due 10 2 717 3 064 1.55 L2 217 3.6Republic Step-up due 30 19 390 18 978 9.61 L1 299 12.8South Africa 2 500 2 971 1.50 136 5.9Republic 7 3/8% due 12 1 000 1 146 0.58 L3 147 7.6Republic 9 1/8% due 09 1 500 1 825 0.92 L3 125 4.7Turkey 12 950 15 524 7.86 342 10.8Republic 11 3/8% due 06 1 000 1 175 0.60 L3- 155 2.2Republic 9 7/8% due 08 1 350 1 574 0.80 L3 296 3.5Republic 10 1/2% due 08 1 100 1 265 0.64 L3 284 3.4Republic 12 3/8% due 09 1 250 1 577 0.80 L3 316 4.8Republic 11 3/4% due 10 1 500 1 883 0.95 L3 324 5.8Republic 11 1/2% due 12 1 000 1 243 0.63 L3 354 7.4Republic 11% due 13 1 500 1 845 0.93 L3+ 352 8.4Republic 9 1/2% due 14 1 250 1 425 0.72 L2 356 9.4Republic 11 7/8% due 30 1 500 2 060 1.04 L2- 382 25.4Republic 8% due 34 1 500 1 476 0.75 L3+ 344 29.4Ukraine 2 456 2 587 1.31 312 5.6Republic 11% due 07 856 945 0.48 L3 139 1.3Republic 6 7/8% due 11 600 615 0.31 L3 314 6.5Republic 7.65% due 13 1 000 1 027 0.52 L3 341 8.8Venezuela 12 256 11 851 6.00 550 16.0DCBs-DL 911 898 0.45 L3 221 1.8Par bonds 2 358 2 290 1.16 L3 853 15.6Republic 5 3/8% due 10 1 500 1 316 0.67 L2- 441 5.9Republic 10 3/4% due 13 1 487 1 690 0.86 L2- 526 9.0Republic 7% due 18 1 000 824 0.42 L3 499 14.2Republic 9 1/4% due 27 4 000 3 903 1.98 L2 546 23.0Republic 9 3/8% due 34 1 000 930 0.47 L3 560 29.4

By instrument

Bradies 51 288 48 565 24.60 447 11.0Eurobonds 135 381 147 832 74.88 434 12.4Loans 1 031 1 015 0.51 173 2.3

By region

Latin America 116 766 118 504 60.03 524 12.8Others 70 934 78 908 39.97 303 10.5

Embi+ 187 700 197 412 100.00 436 12.0

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“Frequently Asked Questions” SeriesBanco Central do Brasil

1. Lending Interest Rates and Bank Spreads2. Price Indices3. Copom4. Fiscal Data5. Regulated Prices6. Public Debt Management and Open

Market Operations7. Brazilian Payment System8. External Accounts9. Country Risk

TeamAndré Barbosa Coutinho MarquesCarolina Freitas PereiraCésar Viana Antunes de OliveiraLuciana Valle Rosa RoppaMaria Claudia G. P. S. GutierrezMaurício Gaiarsa SimõesRiva Rossini y Albernaz

Deputy Governor for EconomicPol icyAfonso Sant’Anna BevilaquaCoordinatorPedro Fachada

Design and desktop publishing:Secretaria de Relações InstitucionaisBrasília – DF – Brazil

Brazil country risk

Business

Transcript of Brazil country risk