CPDO ratings criticised by Derivative Fitch

First-generation constant proportion debt obligations (CPDOs) do not deserve AA or AAA ratings, according to a report by rating agency Derivative Fitch. The agency, which refuses to rate CPDOs, warned that these structures are sensitive to very minor movements in their key risk parameters - namely, spread volatility, roll-down benefit and bid-offer levels.

It also warned that the analysis of these products is based on four years of historical data, at a time of benign credit conditions. Most

To continue reading...

You must be signed in to use this feature.

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 indvidual account here: