17 Apr 2007, Alexander Campbell, Risk magazine
Fitch found that 72 CDOs - 9% of all rated CDOs - were exposed to subprime residential mortgage-backed securities. However, most of the riskiest exposure was in US CDOs - 72% of US exposure was rated BBB or lower, compared with only 6% of European exposure.
The agency warned, however, that the full impact would not be clear until better mortgage performance information becomes available, in the second half of this year.
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