A new twist



When ABN Amro launched Surf, the first constant proportion debt obligation (CPDO), last July, it was hailed as a stunning piece of alchemy. The bank had combined exposure to five-year credit derivatives indexes with a leverage formula to create credit market gold: AAA-rated paper paying a coupon of 200 basis points. However, the intervening months have taken some of the shine off the product, with criticism being levelled at the mechanical rules underpinning it.

"There were a lot of people wh

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