Firms Examine FX Risk In CDOs

  • 12 Aug 2002
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Credit Suisse First Boston and JPMorgan are looking at ways to reduce the foreign exchange risk in synthetic collateralized debt obligations to improve the efficiency of the structure. At the moment CDO structurers get a conservative rating where deliverable obligations can be in several currencies, because a shift in the exchange rate could alter the real recovery rate, said Irene Ho-Moore, managing director at Standard & Poor's in London.

Officials at JPMorgan said it has started to address the issue using quantoed credit-default swaps. This is a credit-default swap with an embedded foreign exchange option, which is delta hedged. The firm already uses asset swaps in true sale transactions, which convert all interest and principal payments into the required currency at a set rate.

An official at CSFB said it is looking at this now and would hope to bring out deals in the coming weeks with new models. The official declined to elaborate on the model.

  • 12 Aug 2002

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 16 Jan 2017
1 Citi 22,118.13 61 9.00%
2 Barclays 20,987.41 55 8.54%
3 JPMorgan 17,406.75 53 7.08%
4 HSBC 16,333.52 48 6.64%
5 Goldman Sachs 15,454.74 49 6.29%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 17 Jan 2017
1 Commerzbank Group 114.00 1 66.16%
2 CaixaBank 37.05 1 21.50%
3 UniCredit 10.62 1 6.17%
3 BNP Paribas 10.62 1 6.17%
Subtotal 172.30 3 100.00%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 17 Jan 2017
1 SG Corporate & Investment Banking 770.06 2 16.80%
2 Goldman Sachs 656.16 2 14.32%
3 JPMorgan 527.28 4 11.50%
4 Emirates NBD PJSC 408.38 1 8.91%
5 Deutsche Bank 321.53 3 7.01%