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 12,508 23 18.18
2 Bank of America Merrill Lynch (BAML) 8,059 25 11.72
3 Lloyds Bank 5,761 18 8.38
4 Citi 5,606 15 8.15
5 JP Morgan 5,007 7 7.28

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3 JPMorgan 72,172.60 208 8.38%
4 Wells Fargo Securities 69,859.54 198 8.12%
5 Credit Suisse 58,056.32 149 6.74%