Spread widening causes first CPDO unwind
Massive spread widening in financial credits has resulted in the first forced unwind of a constant proportion debt obligation (CPDO), realising enormous losses for investors. The Series 103 Tyger notes, first issued by UBS at the start of July with a rating of Aaa from Moody's Investors Service, were downgraded to C on November 21 after the net asset value of the deal fell to 10%, causing the product to automatically liquidate.
Three further CPDOs issued by UBS were downgraded by Moody's to Baa2
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 print this content. Please contact info@risk.net to find out more.
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 Credit derivatives
Regulation
FCA proposes using CME’s term SOFR for synthetic US Libor
IBA agrees to use rival’s ARRC-endorsed benchmark to avoid bifurcating the market
Receive this by email
Most read on Risk.net
- Podcast: Piterbarg and Antonov on alternatives to neural networks
- Climate risk managers debate role of client transition plans
- Equities clearing and CCP resilience: protecting post-trade from geopolitical turmoil
- FCA proposes using CME’s term SOFR for synthetic US Libor
- GFMA mulls FX determinations committee