CPDOs: Dynamic leverage with a triple-A rating

11. CPDOs

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

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