Una nuova prospettiva
La prima constant proportion debt obligation è stata salutata dai mercati con trepidazione e interesse insieme. A sei mesi dal primo esperimento, gli strutturatori del credito sembrano ora pronti a offrire una nuova versione di questo prodotto innovativo
Duncan Wood
Quando in luglio ABN Amro ha lanciato Surf, la prima constant proportion debt obligation (CPDO), i mercati hanno accolto il prodotto come un sorprendente miracolo alchemico. La banca era riuscita a combinare l'esposizione a indici di derivati creditizi a cinque anni con una particolare formula di leverage creando l'equivalente aureo per i mercati del credito: un titolo che unisce un rating elevato (AAA) a una cedola di 200 punti base (pb). I mesi successivi, tuttavia, hanno un po'
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