CPDOs hit by ratings reviews

Investors in constant proportion debt obligations (CPDOs) were given an unwanted early Christmas present by rating agencies on December 20, as both Standard & Poor's (S&P) and Moody's Investors Service put the ratings of billions of dollars of CPDO notes on review for a possible downgrade.

All 29 of S&P's public CPDO ratings are now under threat. The agency pointed to factors such as spread volatility and rising correlation as being detrimental to the net asset values (NAVs) of the notes it plac

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