
Derivative Fitch criticises first-generation CPDOs
“These deals wouldn’t survive in high investment-grade stresses,” said one of the report’s authors, Stefan Bund, London-based head of European structured credit at Derivative Fitch. However, he did welcome CPDOs as an innovation in the structured credit market.
He also said second-generation CPDOs had improved significantly on the weaknesses of the earlier model, including offering more flexible index rolling and name replacement prior to downgrade.
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