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 15,084 31 17.18
2 Bank of America Merrill Lynch (BAML) 9,637 29 10.97
3 Citi 8,093 21 9.22
4 Lloyds Bank 7,329 24 8.35
5 JP Morgan 6,580 10 7.49

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1 Citi 128,786.28 373 11.20%
2 Bank of America Merrill Lynch 102,784.89 298 8.94%
3 JPMorgan 100,935.67 292 8.78%
4 Wells Fargo Securities 91,306.23 262 7.94%
5 Credit Suisse 75,962.58 202 6.61%