However, CDOs could be exposed to some level of event risk. The underlying credit default swaps are triggered by debt restructuring, as well as bankruptcy and failure to pay. Weaker credits among automotive parts suppliers rather than the automotive companies would be more vulnerable to these credit events, Fitch said.
The rating agency’s research included a variety of synthetic CDO transactions, with a particular focus on CDOs of CDOs, also known as CDO squared. Within the rating agency’s global synthetic index, which consists of more than 350 CDOs, exposure to the automotive sector in this year's deals is just over 7%.