The product also supports a wide range of constraints that can be defined with increasingly fine granularity.

Constraints include:

• Fixed or optimizable number of underlying CDOs
• Fixed or optimizable thickness of underlying CDO tranches
• Rating resilience (via attachment point cushion and/or robustness in the face of specifiable number of rating downgrades)
• Fixed or optimizable number of underlying credits
• Fixed or optimizable notional for underlying credits
• Concentration limits for arbitrary groupings of underlying credits
• Count limits for arbitrary groupings of underlying credits
• Weighted average rating factor (WARF) and spread
• Overlap constraints (pair wise inter-CDO, maximum overlaps by name or arbitrary grouping, average)
• Related names mutual exclusion