You knew it was coming. Several CPDOs that reference the ABX.HE indices are in the oven, according to industry sources. Just a short time after this type of deal's debut, the CPDO structure - a new spin on CPPI - is garnering a lot of attention.

CPDOs essentially allow investors to sell leveraged protection on the equity tranche of a synthetic CDO using a total return swap. The notional value of the swap fluctuates in order to maintain a constant degree of leverage. This CDO spin on CPPI helps to revise some of the rating and valuation challenges posed by the constantly changing nature of CPPI - a move that is expected to garner a wider investor base and thus more liquidity for the sector. In fact, at least three deals have come to market in just the last two weeks. So far, all of the deals have referenced the broad corporate synthetic indices.

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