Expanding CDO market exposes new FX risks

One such potential risk, said analysts at Fitch Ratings’ structured finance division, is in the combination of euro and non-euro assets in European cashflow arbitrage CDOs. These combinations may create a mismatch between the assets and liabilities of the CDO. That leaves the purchasing investor open to the risk of shifting exchange rates between the two currencies in which assets and liabilities are denominated, and the risk of interest rate divergence between the two currencies upon comple

To continue reading...

You need to sign in to use this feature. If you don’t have a FX Week account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: