The memo discusses a large block of illiquid 5-month Greek sovereign paper with a 2.5x leverage yielding 10%. The seller, a Greek bank, is reducing its balance sheet ahead of AQR and stress tests. The bond is issued under local law, excluded from PSI, and primarily held by Greek banks. It is illiquid, with a risk of restructuring, and available for well-capitalized clients with a 40% haircut at Euribor + 270bp.
doj/DataSet10/EFTA01450726.pdf
{"key_people":["Juan Landazabal","Mitch Matharu","Nav"],"document_type":"correspondence","key_locations":["Greece"],"document_subtype":"memo","key_organizations":["ECB","Greek banks","IMF"],"reference_numbers":["DB-SDNY-0106548","SDNY_GM_00252732","EFTA01450726"]}