Australian CPDO judgment reveals S&P and ABN Amro's errors

An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of a triple-A rating to ABN Amro’s Surf constant proportion debt obligation in 2006. Lukas Becker reports


In late 2006, the head of securitisation at a large European bank attended a Moody’s Investors Service conference on structured finance. One presentation extolled the benefits of a complex, new product called a constant proportion debt obligation (CPDO) that boasted a triple-A rating despite being based on indexes containing BBB-rated corporates. It promised to pay an incredible 200 basis points above Libor.

That didn’t make sense to the securitisation head. “I thought at the time that it was

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here