Moody’s readies axe for mezz and junior, four notch cut ahead

Moody’s could downgrade a swathe of junior and mezzanine tranches in European structured finance transactions by up to four notches under a new ratings approach that it is consulting on.

  • 24 Aug 2012

The changes are intended to account for the impact of a sharp fall in a sovereign’s credit quality.

The revised approach increases the potential impact of "low probability, severe events" across the capital structure of structured finance transactions, and not just on senior tranches.

Moody’s will do this by ...

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Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 BNP Paribas 4,486 16 13.62
2 Citi 4,347 16 13.20
3 Lloyds Bank 3,158 6 9.59
4 Morgan Stanley 3,066 8 9.31
5 Bank of America Merrill Lynch (BAML) 2,771 10 8.42

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1 Citi 59,774.40 197 10.64%
2 JPMorgan 52,017.12 155 9.26%
3 Wells Fargo Securities 42,153.78 123 7.51%
4 Bank of America Merrill Lynch 41,657.82 137 7.42%
5 Credit Suisse 38,415.30 121 6.84%