Credit & liquidity risk

Credit risk

Underlying obligors may default, delay, or restructure payments. Recoveries depend on collateral, jurisdiction, and servicing effectiveness.

Prepayment and extension

Cash flows may differ from models due to prepayment, extension, or renegotiation of underlying loans.

Liquidity risk

Hold-to-maturity framing means no liquid secondary market for underlying claims is assumed. Internal liquidity features, if any, may be thin, paused, or withdrawn.

FX risk

Where exposures are not in your functional currency, FX movements may reduce realized returns.

Regulatory and legal refinement. Stress scenarios and ratings (if any) belong in formal disclosures.