Hats off to ABN Amro, whose structurers came up with the idea of constant proportion dynamic obligations. Managing to get a triple-A 10-year security to offer Libor plus 200 basis points, with the extra bonus of having no direct correlation risk, is impressive. Investors will bite the hand off anyone offering a product like this. And given that CPDOs are remarkably straightforward it is no surprise that various market participants have rushed to follow up (see structured finance news).
Apparently having approved the structure, the rating agencies took another look following the sharp rally in...
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