... and criticises first-generation CPDOs

News

First-generation constant proportion debt obligations (CPDOs) do not deserve AA or AAA ratings, says a report released in April by Derivative Fitch, rating agency Fitch's derivatives analysis and rating arm.

The agency, which refuses to rate CPDOs, says these products are sensitive to very minor movements in their key risk parameters, namely spread volatility, roll-down benefit and bid/offer levels. It also warns that they depend on historical performance data going back only four years in benign

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net 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 Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net 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