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’The repo spaniel that didn’t bark?
Posted by Joseph Cotterill on Feb 06 15:20. Comment.Ratings triggers, forced sales, systemic cliff risk, et al. Still a feature in some eurozone periphery bonds, despite the rally. Portugal for instance.
Though not always…
Presenting an interesting (at least we think so) Italy vs Spain tale of resilience. More…
Banks downgraded; fun’s over
Posted by Kate Mackenzie on Nov 30 08:45. Comment.Rally over?
Who knows, but Wednesday’s early drop is being pinned largely on S&P downgrading a bucket load of big banks — several of which will, as a result, need to boost their capital reserves. More…
S&P downgrades Belgium
Posted by Joseph Cotterill on Nov 25 18:03. Comment.One-notch ratings cut from AA+ to AA. Don’t mention Dexia!
The lowering of Belgium’s long-term rating reflects our view of the potential heightened risks to the sovereign’s creditworthiness emanating from: More…
About that France “downgrade”…
Posted by Neil Hume on Nov 10 17:03. Comment.… We don’t know whether there were any bullets in the revolver at the time:
LONDON (Standard & Poor’s) Nov. 10, 2011–As a result of a technical error, a message was automatically disseminated today to some subscribers of S&P’s Global Credit Portal suggesting that France’s credit rating had been changed. This is not the case: More…
A safe haven for repos
Posted by Kate Mackenzie on Aug 01 08:50. Comment.The deal on the US debt ceiling limit reached last night still leaves several questions — excluding whether it will actually pass in time to avoid some kind of default.
Assuming it does pass, though, More…
Alternatives to the USAAA – there’s not much
Posted by Tracy Alloway on Jul 27 11:55. Comment.Still seeking something else to buy should the US be downgraded after its debt ceiling folly?
The world’s pool of AAA-rated material is rapidly dwindling, and any destruction of the US triple-A will mean it shrinks even further. More…
Moody’s downgrades Greece to Ca from Caa1
Posted by Izabella Kaminska on Jul 25 08:04. Comment.Happy Monday morning
In the first ratings move after Thursday’s EFSF debt deal, Moody’s has decided to downgrade Greece.
The statement, with our highlights:
London, 25 July 2011 — Moody’s Investors Service has today downgraded Greece’s local- and foreign-currency bond ratings to Ca from Caa1 and has assigned a developing outlook to the ratings. More…
Leaky (sovereign ratings) buckets
Posted by Tracy Alloway on Jul 21 12:52. Comment.The written and oral evidence from the House of Lords inquiry into rating agencies is a veritable goldmine of information. Including the nitty gritty of how rating changes are made and disseminated.
On that note, More…
The UK economy: it’s the supply, stupid
Posted by Kate Mackenzie on Jul 18 11:00. Comment.Don’t panic.
With all the talk of ratings downgrades for the US, and actual real-life here-and-now downgrades in some of the eurozone peripherals, have we all been sufficiently worried about the UK? It was not so long ago that it was the subject of a negative outlook from S&P’s, More…
The AAA bubble
Posted by Tracy Alloway on Jul 15 11:23. Comment.This, we think, could well be the most important chart in the world right now:
It comes from a new report, issued by the BIS and Basel Committee’s joint forum, on the subject of securitisation incentives. More…
Repairing risk-weightings … with ratings
Posted by Tracy Alloway on Jul 13 12:34. Comment.It’s not a great time to recommend more reliance on ratings.
But that’s just what Barclays Capital are discussing in a 29-page note on Risk-Weighted Assets (RWAs), which have become a hot-button topic in recent weeks. More…
Ratings deleveraging
Posted by Tracy Alloway on Jul 11 12:20. Comment.As goes Europe’s central bank, so go financial markets?
The ECB decided last week that it would drop its minimum rating requirements for Portuguese collateral, after credit rating agency Moody’s downgraded the eurozone peripheral four notches to Ba2. More…
Ratings logic at the European Commission — in selective default
Posted by Joseph Cotterill on Jul 06 13:07. Comment.What with the ECB on Greece, and Moody’s on Portugal, it’s been a week to remember the ancient adage (ahem) that “ratings don’t kill sovereigns, ratings users do.”
Predictably, the European Commission didn’t care on Wednesday: More…
Does Portugal’s downgrade matter?
Posted by Neil Hume on Jul 06 10:15. Comment.For Credit Suisse’s Andrew Garthwaite it doesn’t.
He’s fired off an entertaining note to spell out precisely why. And it doesn’t pull any punches.
He starts off by looking at the downgrade from the ECB’s perspective, More…
Portuguese covered bonds and collateral damage
Posted by Tracy Alloway on Jul 06 09:32. Comment.Portugal’s credit rating is now decidedly non-investment grade at Moody’s.
Assets linked to their respective domiciles have a habit of following in the steps of sovereign ratings, first the banks and then bank-issued debt like covered bonds. More…
Shadow ratings go dark at S&P
Posted by Tracy Alloway on Jul 05 14:36. Comment.Rating agency Standard & Poor’s might be making headlines when it comes to Greece, but it’s also been roiling a much smaller corner of the market — Collateralised Loan Obligations (CLOs).
Creditflux’s Mike Peterson has a great scoop on a letter sent last month by S&P’s head of US credit. More…
The French proposal, c’est un défaut sélectif, says S&P
Posted by Neil Hume on Jul 04 08:20. Comment.This isn’t very helpful.
S&P says the French proposal to collateralise a Greek rollover – so popular it’s been likened to a toxic CDO – would amount to selective default under its criteria.
Selected highlights from Monday’s statement (emphasis ours): More…
Tail risk italiano
Posted by Tracy Alloway on Jul 01 08:48. Comment.Italian banks have had a rough ride recently.
Stocks have been falling and CDS spreads are rising as the banks grapple with a Moody’s warning, various capital increases, concern about contagion, and various corporate governance issues. More…
Danske Bank breaks up with Moody’s over mortgages
Posted by Tracy Alloway on Jun 28 11:01. Comment.Last week, from Bloomberg:
Danske Bank A/S’s mortgage lending unit Realkredit Danmark told Moody’s Investors Service to discontinue its ratings of the company as it creates a separate capital unit for its adjustable-rate mortgages. More…
+++Vienna Plus+++
Posted by Tracy Alloway on Jun 20 09:32. Comment.Introducing the latest in eurozone debt crisis terminology. ‘Vienna Plus’ — brought to you by Fitch.
The FT reports on Monday that European ministers were expected to back a plan, supported by the European Central Bank, More…
Fitch on a brave new (bank funding) world
Posted by Tracy Alloway on Jun 16 14:04. Comment.Here it comes. The first rumbling from a rating agency on secured funding.
We’ve been harping on about it for months now — but what the heck. Here’s some more. And specifically, extracts from Fitch Ratings in their special report on trends in bank funding profiles: More…
Sovereign ratings still relevant – but mostly when they go negative
Posted by Tracy Alloway on Jun 01 11:25. Comment.Just in case you were wondering.
Bond markets still react to sovereign ratings announcements, though they tend to react more when the rating agencies say something negative. That’s the conclusion of a new working paper from the European Central Bank, More…
Surprise – Moody’s accidentally rates a bond too low
Posted by Tracy Alloway on May 13 13:24. Comment.Is there a Type III ratings error category? Where rating agencies completely misidentify what kind of bond they’re rating? Awkward:
(H/T Sam Jones of Moody’s rating error fame)
A not-so-CLO ratings reversal
Posted by Tracy Alloway on May 03 11:21. Comment.Type II ratings errors — where agencies prove too pessimistic in their assessment of bonds and securitisations — rarely generate much noise compared to their too-optimistic Type I cousins.
So here’s a chart you might have missed from Expect[ed] Loss: More…
Losing my (AAA) religion
Posted by Tracy Alloway on Apr 19 09:25. Comment.Alright, it’s waaayyy premature. But we thought we’d show the below — from RBC in response to Monday’s S&P action — showing change in 10-year bond yields after losing a triple-A:
US Treasuries – they are a-changing
Posted by Tracy Alloway on Apr 18 15:56. Comment.The below chart and commentary come from the IMF’s global financial stability report released last week (picked up by Macroman and Barry Ritholtz) — and they show recent trends in US debt:
In sum, this analysis suggests that fiscal concerns do not appear to have led to a higher cost of funding during the most recent run-up in nominal bond yields. More…
S&P goes negative on the United States of AAA/A-1+merica
Posted by Tracy Alloway on Apr 18 14:17. Comment.Fresh from Standard & Poor’s on Monday — a bit of a headache for the United States:
We have affirmed our ‘AAA/A-1+’ sovereign credit rating on the United States of America.
· The economy of the U.S. More…
Strange Spanish structured finance data
Posted by Tracy Alloway on Apr 15 08:28. Comment.“Standardisation of disparate Spanish investor reporting would enhance transaction data quality” is a nice way of saying “Stop jerking us around with your weirdo Spanish structured finance data!”
It’s also the title of a piece by Ludovic Thebault and Ariel Weil in Moody’s latest Credit Insight. More…
ESM contingent liabilities, quantified
Posted by Tracy Alloway on Apr 12 08:47. Comment.From Standard & Poor’s on Monday — a little Q&A on the European Stabilisation Mechanism:
Will the ESM mechanism have implications for the creditworthiness of the ‘AAA’ rated sovereign guarantors?
We consider the ESM, More…
Ratings don’t kill sovereigns, ratings users do
Posted by Joseph Cotterill on Mar 30 15:18. Comment.This week in messenger-shooting:
(Reuters) – The European Commission said on Wednesday it had some doubts and concerns about how credit rating agencies function, but said it had no comment on individual credit ratings of countries… More…