Synthetic CDO

1
Synthetic CDO

2
Investors
CDO
CM
Senior
80
Collateral
SPV
TRANCHES
CM
CM
CM
Mezzanine
Debt
100
100
15
100
Debt
CM
Equity
5
Bank
Sale of Debt
3
Investors
Synthetic CDO
CM
Senior
Portfolio Default Swap
78.4
(80)
CDO Cash Flow
SPV
TRANCHES
CM
Premium
Bank
Mezzanine
Protection
98
14.7
(15)
(losses in excess of 2)
Protection
98
100
CM
CM
Equity
AAA Bonds
4.9
(5)
Loans
Interest Principal on AAA Bonds Premium -
Losses in Excess of 2