Six deals that changed the market in 2006
ABN Amro’s constant proportion dynamic obligation deal was somewhat fittingly called Surf as it created a wave of curiosity, controversy and copycat transactions. Dealer and investor interest was naturally piqued by the creation of a credit instrument that offered a triple-A rating on coupon and principal for a 10-year security that offered 200 basis points over Libor. The genesis for the trade came out of ABN’s marketing of constant proportion portfolio insurance (CPPI), and synthetic CDO product. “We constantly listen to what investors require. We had a range of investors who really liked the CPPI technology but who needed a coupon because they are fixed income buyers,” says Steve Lobb, head of structured credit marketing, ABN Amro....
