Moody's bank swap ratings may halt ABS downgrades

A new methodology for rating bank derivatives liabilities may save ABS vehicles facing downgrades, and open up new counterparties for asset managers

Moody's changes may rescue stricken ABS vehicles

A recent update to Moody's bank rating methodology could rescue structured finance vehicles with poorly rated swap counterparties.

"When I first saw this, I thought, ‘Wow, Christmas has come early'," says one asset-backed securities (ABS) structurer at a European bank in London.

ABS issuers and dealers are celebrating a change in the way Moody's assesses the counterparty credit risk of derivatives trades, which it believes are unlikely to be bailed-in if a bank enters resolution proceedings.

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