 In doing so, it incurs rollover risk, in that the leaving index may by than the new index.The first CPDO deal was issued in 2006 by ABN-AMRO and was rated AAA/Aaa.Many analysts were initially skeptical of the rating assigned, partly because the CPDO note paid interest of Libor plus 200bp but also since the deal contained a majority of market risk (spread risk) rather than credit risk - an exposure not normally rated by rating agencies.