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Synthetic CDO

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A synthetic collateralised debt obligation is a derivative created from the securitization of a portfolio of credit default swaps sold by a financial institution party to a special purpose vehicle (SPV). The SPV issues securities collateralised by the portfolio of bonds or loans.

See also: Derivatives, http://www.federalreserve.gov/Pubs/feds/2004/200436/200436pap.pdf