Credit Risk

Introduction

Since ABN Amro's Surf CPDO made waves in July, garnering as much criticism as it did praise, rival structurers have been trying to copy it. Few have yet succeeded, but as Risk was going to press, at least four managed CPDO transactions were being marketed and were close to being priced (see page 30). ABN Amro, the structure's inventor, Deutsche Bank, Merrill Lynch and UBS are all vying to debut the first managed deal.

While CPDOs have been dominating the headlines, structured credit dealers haven't been devoting all their energy to copying Surf. There have been considerable resources put towards developing fund derivatives for credit - an area of the market that is quietly heating up (see page 34).

Using techniques pioneered on fund and equity derivatives desks, a new breed of structured credit products have been created. For example, UBS has teamed up with London-based credit specialist BlueBay Asset Management on a structure that goes long one of the manager's funds and short its benchmark to strip out and isolate outperformance.

One manager known for its performance and innovation is Axa Investment Managers. This month, Pierre-Emmanuel Juillard, head of structured finance, speaks to Risk about the firm's approach to the credit markets and some of its recent projects (see page 37).

Rachel Wolcott, Editor, Credit Risk supplement.