iTraxx roll date poses first test for CPDOs

The iTraxx investment-grade index will roll from series 6 to series 7 on March 20, providing a new test of the nascent market in constant proportion debt obligation transactions.

CPDO issuance has reached $1.4 billion since ABN Amro launched the first deal last August and there has been speculation that traders might trade against CPDO managers who have to switch exposure from the old index to the new index when it rolls.

"ABN Amro's view since the end of last year has been that March 20 will be a

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