Credit looks to forward curves

Nick Sawyer
01 Sep 2005

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Structured credit dealers are increasingly borrowing trade ideas from the exotic interest rate market to create value for investors in the tight credit spread environment. In particular, a new collateralised debt obligation (CDO) product has emerged that aims to take advantage of steep forward curves in the credit default swap (CDS) market.

The CDO is referenced to a portfolio of forward-starting CDSs, giving investors an opportunity to benefit from the upward-sloping nature of the credit

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