Moody’s Pitches Counterparty Criteria Tweaks

Moody’s Investors Service is seeking industry feedback on proposed changes to the way it assesses swap and bank counterparty risk in securitizations, as market officials warn the shrinking pool of eligible counterparties threatens a ratings squeeze on many securitized tranches.

  • 03 Jul 2012

Moody’s Investors Service is seeking industry feedback on proposed changes to the way it assesses swap and bank counterparty risk in securitizations, as market officials warn the shrinking pool of eligible counterparties threatens a ratings squeeze on many securitized tranches.

Moody’s issued two requests for comment relating to counterparty ...

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Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 Bank of America Merrill Lynch (BAML) 6,415 22 12.84
2 Citi 5,781 17 11.57
3 BNP Paribas 3,530 14 7.06
4 Credit Suisse 2,783 8 5.57
5 Rabobank 2,633 4 5.27

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3 Wells Fargo Securities 70,282.48 216 9.45%
4 JPMorgan 51,967.93 167 6.99%
5 Credit Suisse 41,545.25 126 5.59%