First Generation CPDO : Case Study on Performance and Ratings : April
نویسندگان
چکیده
Hong Kong Rachel Hardee +852 2263 9918 rachel.hardee @derivativefitch.com Introduction Constant proportion debt obligations (CPDOs) are one of the latest product innovations seen in the structured credit markets. Like other more recent structured credit products, the performance of the issued debt obligations is highly dependent on the mark-to-market (MtM) impact of changes in credit spreads. Credit risk as measured by defaults and recovery rates becomes secondary. The market value of the exposure is typically driven by the credit default swap (CDS) premium to be paid for protection on a portfolio of names with credit risk, or a credit index such as iTraxx or CDX.
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