Moody’s gets tough on amending rating triggers in ABS documentation

The amendment of securitisation transaction documents to get around swap or other counterparty triggers is credit negative, according to a new report from rating agency Moody’s.

  • 09 Aug 2012

The spate of counterparty downgrades has led to trigger breaches for swap providers, account providers and back-up servicers. As of July 31, Moody’s estimates that 235 ABS and 420 RMBS transactions have breached rating triggers of some sort.

The counterparties can either be replaced, stump up extra collateral ...

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2 Rabobank 35.35
3 Morgan Stanley 11.45
4 BNP Paribas 5.95
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Rank Lead Manager Amount $m No of issues Share %
  • Last updated
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1 CITIC Securities 1,560.67 2 10.70%
2 SG Corporate & Investment Banking 1,445.74 4 9.92%
3 Wells Fargo Securities 1,187.61 3 8.15%
4 Rabobank 1,081.86 1 7.42%
5 Bank of America Merrill Lynch 831.08 4 5.70%