/RATINGS: Citi On Upcoming Ratings Reviews For Greece

Citi note that “following Moody’s constructive assessment of Greece last week, Greece’s rating will be reviewed by DBRS this Friday and by Moody’s next Friday.”

• “We think the case for rating upgrades has strengthened following the recent elections, already driving IG upgrades from Scope and R&I rating agencies.”
• “From DBRS, a one-notch upgrade would take Greece to IG territory and result in reduced haircuts on collateral with the ECB.”
• “However, index inclusion requires IG upgrades from at least two among Moody’s, S&P and Fitch.”
• “Out of these, given Moody’s still rates Greece three notches below IG, GGB index inclusion will likely be driven by upgrades from S&P and Fitch (both one notch below IG); they review Greece on 20 October and 1 December, respectively.”
• “Overall, we remain long 10yr GGBs vs PGBs targeting a spread of 40bp.”