Spanish bonds' ECB haircut now hinges once and for all on DBRS

AVFMS's picture

From 14 June 2012

The guys at Moody’s were behind their peers’ curve anyway (see 11 Jun post “Unfinished Sympathy”), but have now taken the lead by putting the Kingdom right away on junk outlook. ECB Haircut increase from 4 to 9 % in 10 YRS and probably worse from 1.5 to 6.5% in LTRO-laden 3 YRS paper (ECB link p.73) is thus now hinging on DBRS’ views (Eurosystem credit assessment framework ECAF link).

Spain at AL neg since 08 Aug 2012

Haircut table download

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AVFMS's picture

It's solely the DBRS rating that keeps ECB haircuts at the lower level

GoldmanSux's picture

Dominion Bond Rating Service?

AVFMS's picture

Yes, the Canadian rating agency. They're the ones on whose shoulders the LTRO's holding haircuts depend

Nobody For President's picture