Credit Risk
No product is allowed to rest on its laurels in the structured credit market. No matter how innovative or unique, structurers can't resist fiddling with products and putting their own spin on them. Such is the case with the constant proportion debt obligation (CPDO).
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
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