http://ftalphaville.ft.com/blog/2008/02/18/10980/credit-markets-beware-cpdos-on-the-cusp-of-forced-deleveraging/

Not exactly unexpected, a number of people were dubious that something rated AAA could return 200bps over risk free asset

http://alephblog.com/2008/02/22/a-small-victory-lap-on-cpdos/

There was also a very good article on Wilmott a while ago. CPDO's sell on the run protection (currently Series 8) and therefore receive a revenue stream. They are typically levered 15X - which starts to become a problem when you are marking to market in a widening market. They operate using a martingale betting system

http://en.wikipedia.org/wiki/Martingale_(betting_system)

but eventually they reach their limits - be it NAV or leverage. 18 months ago when a raft of CPDOs were launched, this glut of protections selling drove index protection down

http://www.noelwatson.com/blog/PermaLink,guid,38888779-0383-42bb-bcbb-f7f2723bc6c1.aspx

Now it appears the opposite may be happening