After much talk, it appears that Cairn Capital will produce the first managed CPDO, to be sold by arranger JPMorgan Chase & Co. The deal is among the latest in a string of variations on ABN Amro's flagship CPDO product, Surf, which debuted last Fall. While a number of investors are still scratching their heads as to how, exactly, the structure works, arrangers are cooking up plans for all sorts of CPDOs, including managed deals, those that reference the ABX indices and those that reference bespoke portfolios.

BNP Paribas recently came to market with its Recipes CPDO, referencing the iTraxx and DJ CDX. The Moody's Investors Service triple-A rated notes yield 100 basis points over three-month Euribor. ABN is also in the market with its Chess deal, carrying a triple-A from Standard & Poor's. While the first CPDO deals yielded some 200 basis points over Libor, compressed index spreads have currently diminished returns, making it more difficult to earn a triple-A rating at the juicy returns promised months ago.

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