CPDO ratings criticised by Derivative Fitch

First-generation constant proportion debt obligations (CPDOs) do not deserve AA or AAA ratings, according to a report by rating agency Derivative Fitch. The agency, which refuses to rate CPDOs, warned that these structures are sensitive to very minor movements in their key risk parameters - namely, spread volatility, roll-down benefit and bid-offer levels.

It also warned that the analysis of these products is based on four years of historical data, at a time of benign credit conditions. Most of

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...


You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: