Rating knock-outs

Constant proportion debt obligations


Constant proportion debt obligations (CPDOs) excite feelings few other structured credit products can match. "I hated the CPDO," opines one London-based former credit structurer. For some, the products have come to encapsulate all the hubris of structured credit innovation, investing and rating they say gripped the market prior to the US subprime mortgage crisis.

The original CPDO, dubbed Surf, was unveiled by ABN Amro in July 2006. Offering a coupon of 200 basis points and rated AAA by New York

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