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 who

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here