ABN Amro CPDO panned by Australian judge for ‘deceptive and negligent’ practices
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of a triple-A rating to ABN Amro’s Surf constant proportion debt obligation in 2006
In late 2006, the head of securitisation at a large European bank attended a Moody’s Investors Service conference on structured finance. One presentation extolled the benefits of a complex new product called a constant proportion debt obligation (CPDO) that boasted a triple-A rating despite being based on indexes containing triple-B rated corporates. It promised to pay an incredible 200 basis points above Libor.
That didn’t make sense to the securitisation head. “I thought at the time that it was
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