Blue Sky Asset Management has released the first Counterparty Observer on its web site, a monthly overview of the major credit rating and CDS changes impacting the counterparties used by the provider.
"We are placing exceptional emphasis upon advancing the working knowledge and understanding of counterparties, in terms of role and relevance in structured investments, and with regard to increasing the due diligence considerations and evaluation capabilities of wealth managers and investors," said director Chris Taylor.
The first issue highlights the major downgrade of Lloyds TSB Bank Plc by Standard & Poor's in early March, from AA- to A+, following a downgrade from AA to AA- in mid-January. Also of note for UK advisers and providers, is the two-grade downgrade in March of Investec Bank UK Ltd and its parent Investec from Baa1 to Baa3, by Moody's. Investec accounted for 22% of UK issuance in February, noted Blue Sky, referencing SRP data.
The report also includes a piece on CDS spreads, in which Blue Sky illustrates the fact that the five-year CDS spread has widened for all but three of the counterparties on its counterparty platform, despite increasing equity market fortunes in March. The CDS spread widened the most for Citigroup, whilst it narrowed for SocGen, UBS and Credit Suisse.