ABN offers a credit derivative option for the masses
ABN AMRO continues to lead credit derivative innovation with its first-ever
Constant Proportion Debt Obligation
ABN AMRO this week launched its first public constant proportion debt obligation CPDO.
This new form of synthetic credit investment carries a full AAA rating from Standard Poors on both principal and coupon.
It uses elements from both CDO and CPPI technology to produce a new non-principal-protected, fixed-income, credit-investment tool.
The CPDO generates returns through exposure to a portfolio of credit default swaps CDS which is linked to highly liquid CDS indices. The size of the portfolio is adjusted...
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