Yes my CPDO is burnt

Completely predictable news of the week from the FT:

Moody’s [...] said on Monday that eight financial-company focused constant proportion debt obligations (CPDOs), most of which are currently rated AAA, had been put on review after their net asset values had been hurt by credit-market volatility.

[...]

Two of the deals facing downgrades are from ABN, the other six are from UBS.

Obviously ABN (the inventor of the CPDO) has had a certain amount of stick about this: see for instance Mark Gilbert who points out

One of the ABN CPDOs, called Chess III, went on sale in July priced at 100 percent of face value with that golden Aaa rating. This week, it was worth about 41.5 percent of face value, according to ABN prices.

So why hasn't it been downgraded already?

Anyway, apparently

The UBS deals were the first to face downgrades in the late summer and had all been either downgraded or restructured in September.

So some of these deals have been restructured once already and they are on review for the second time in four or five months. Impressive, huh?

Update. Moody's did the decent thing on the UBS deal according to Alea and downgraded it from AAA to C. In one go. Because, you see, investors have taken a 90% loss. That's the kind of risk you get in AAA investments. Oh yes.