February 2007
Deals that changed the market in 2006: ABN Amro’s Surf constant proportion dynamic obligation
At the end of the summer ABN Amro’s constant proportion dynamic obligation (CPDO) created the biggest sense of excitement in the structured credit sector in well over a year.
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....
The rest of this article is only available to subscribers
If you are already a subscriber please log in now to view this article, by entering your username (email address) and password at the top right-hand side of this page.
If you are not a subscriber just subscribe today for full access to this article. You can do this either by clicking the link or calling +44 (0)207 779 8999.
If you are a trialist or subscriber, please enter your username and password at the top right-hand side of euromoney.com
Subscribers to Euromoney benefit from:
- 12 months access in print and online - on euromoney.com, read the latest issue early online, search for specific developments by region or sector, interrogate the results of Euromoney's benchmark polls, and view the archive dating back to 1996
- More than 30 specialist research guides free
- The results of Euromoney’s polls and surveys
- Tailored RSS news feeds direct to your desktop
- News delivered directly to your mobile device or PC
- Personalised email newsfeed of 'Top stories' and 'Breaking news'
Click here to subscribe