FT Alphaville schreef:
Moody's Investors Service has published its revised methodology on the way it rates the hybrid securities and subordinated debt instruments issued by banks. The new methodology is in line with changes proposed by the rating agency earlier this year and largely removes previous assumptions of systemic support for these securities. In addition, the ratings will differentiate among hybrid instruments based on certain features that affect the risk to investors. The ratings of securities potentially affected by this methodology change will be placed under review for possible downgrade and announced via a separate press release within the next two days.
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Citi analysts forecast that about 40 per cent of the hybrids Moody's covers will be downgraded by a notch as a result of the revised methodology. A quarter could go down by three or four notches, and 10 per cent could go down by five levels or more. That's something that will have a big impact on the holders of such subordinated debt: Fixed income funds and, curiously, many insurance companies.
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Moody's report notes, "the ratings will differentiate among hybrid instruments based on certain features that affect the risk to investors" - things like geography. Thus the hybrid bonds from banks in one country may end up worse off than those in others under the new methodology.
ftalphaville.ft.com/blog/2009/11/17/8...