Risk.net

Derivative Fitch criticises first-generation CPDOs

    • Anna Gordon-Walker
  • LinkedIn  
  • Save this article
  • Print this page  
The agency, which refuses to rate CPDOs, said they are sensitive to very minor movements in their key risk parameters, namely spread volatility, roll-down benefit and bid offer levels. It also warns that they depend on historical performance data going back only four years in benign conditions, for structures with maturities of 10 years.

“These deals wouldn’t survive in high investment-grade stresses,” said one of the report’s authors, Stefan Bund, London-based head of European structured credit at Derivative Fitch. However, he did welcome CPDOs as an innovation in the structured credit market.

He also said second-generation CPDOs had improved significantly on the weaknesses of the earlier model, including offering more flexible index rolling and name replacement prior to downgrade.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Copyright Infopro Digital Limited. All rights reserved.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net

Copyright Infopro Digital Limited. All rights reserved.

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net

More on Risk management

Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

You need to sign in to use this feature. If you don’t have a Risk.net 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 individual account here