Fitch Ratings plans to publish a study of all the credit events triggered in collateralized debt obligations it rates. The absolute euro amount of credit events increased to EUR709 million (USD866 million) in 2003 from EUR477 million the previous year. Shin Yukawa, associate director in credit products at Fitch Ratings in New York, said this rise is likely attributable to the increased number of CDOs it rates. The dollar figures decreased to USD402.8 million from USD504 million. Yukawa thinks the difference between the euro and dollar figures reflect the increased number of deals executed in Europe.
The study also analyzes the valuation process in CDOs and finds that CDOs which require more than 10 prices have the highest recovery rates.
In addition, Fitch publishes a case study of British Energy that analyzes the additional risks that credit derivatives players face in comparison to their cash investing contemporary, noted Yukawa.
