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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Wed, 10/10/2012 - 18:52 | 2876391 bank guy in Brussels
bank guy in Brussels's picture

Huh? Wha?

Wed, 10/10/2012 - 18:54 | 2876396 AVFMS
AVFMS's picture

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

Wed, 10/10/2012 - 19:53 | 2876501 GoldmanSux
GoldmanSux's picture

Dominion Bond Rating Service?

Thu, 10/11/2012 - 01:48 | 2877075 AVFMS
AVFMS's picture

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

Thu, 10/11/2012 - 01:48 | 2877073 Nobody For President
Nobody For President's picture





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