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 Bank of America Merrill Lynch (BAML) 1,284 2 30.09
2 Barclays 633 1 14.82
3 BNP Paribas 509 1 11.91
4 Citi 467 1 10.94
5 Morgan Stanley 455 1 10.66

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1 Citi 9,113.97 30 12.52%
2 Barclays 7,732.29 21 10.62%
3 Bank of America Merrill Lynch 7,473.95 24 10.26%
4 JPMorgan 7,225.34 25 9.92%
5 Wells Fargo Securities 6,258.35 24 8.59%