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
  • 18 Jul 2017
1 Citi 244,235.70 910 8.87%
2 JPMorgan 223,767.95 1021 8.13%
3 Bank of America Merrill Lynch 211,276.97 750 7.68%
4 Barclays 166,062.82 634 6.03%
5 Goldman Sachs 162,877.27 537 5.92%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 25,385.87 103 7.10%
2 Deutsche Bank 25,125.19 81 7.03%
3 Bank of America Merrill Lynch 22,023.57 59 6.16%
4 BNP Paribas 18,766.65 109 5.25%
5 Credit Agricole CIB 18,157.63 105 5.08%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 18 Jul 2017
1 JPMorgan 12,578.87 55 8.17%
2 Citi 11,338.07 71 7.36%
3 UBS 10,682.06 44 6.93%
4 Goldman Sachs 10,419.53 53 6.76%
5 Morgan Stanley 10,194.88 57 6.62%