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

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