Moody’s gives first glimpse of new swap framework

Moody’s waded into the issue of swap counterparties on Tuesday, revealing its plans for a new assessment framework. The agency is looking to refine, rather than overhaul, the way it assesses swap counterparties — which may disappoint some ABS borrowers, for whom the topic has become a bugbear.

  • 03 Jul 2012
Moody’s is proposing to assess swap linkage based on several factors, including: the rating of the counterparty; the extent of inconsistencies with the de-linkage framework; the type and duration of the swap; the amount of credit enhancement supporting the notes; the size of the relevant tranche; and the ...

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GlobalCapital European securitization league table

Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 BNP Paribas 14,443 29 18.07
2 Bank of America Merrill Lynch (BAML) 8,264 27 10.34
3 Lloyds Bank 7,329 24 9.17
4 Citi 6,748 19 8.44
5 JP Morgan 5,220 8 6.53

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1 Citi 117,261.12 337 11.09%
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3 JPMorgan 92,612.23 269 8.76%
4 Wells Fargo Securities 82,597.19 239 7.81%
5 Credit Suisse 69,442.99 183 6.57%