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ABN Amro rejects criticism of CPDOs after index roll fails to dent structures

Fears that the September 20 roll of the CDX and iTraxx indices would put CPDO structures under pressure have so far proved unfounded, with the indices tightening less than expected

The market in constant proportion debt obligations has negotiated its second index roll, which, like the last one, was seen by observers as a test of the product's resilience.

In a nutshell, CPDOs provide investors with exposure to a variety of assets via a basket of credit default swaps. The first deals were static, referencing indices only, while more recently the market has expanded to include

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