"Each year, it seems, the structured credit market rolls out the "new next big thing" in synthetic risk transfer," notes a report published by Standard & Poor's in February 2006. "In 2004, it was the CDO-squared product. In 2005, it was the turn of leveraged super-senior transactions. Among the contenders for 2006 is credit-based constant proportion portfolio insurance (CPPI)."
Credit CPPI products are designed to protect investors' principal while simultaneously offering them upside potentia