Things that look too good to be true generally are. When they originally burst on to the scene in the summer of 2006, CPDOs were hailed in some quarters as the most important innovation in the market for a number of years.
A product that held out the highly appetising prospect of a spread of 200bp over Libor together with a triple-A rating on both coupon and principal was unsurprisingly very attractive to a diverse range of investors.
CPDOs would also appeal, said Citigroup, to "new classes of inv
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quantile, TriOptima face off in cleared swaps compression battle
- Quants stymied by lack of alternative risk premia flows data