Integrating credit derivatives and securitisation technology: the collateralised synthetic obligation

By Moorad Choudhry

This article was first published as a chapter in Credit Derivatives, by Risk Books.

This chapter is an analysis of the synthetic collateralised debt obligation (CDO), or collateralised synthetic obligation (CSO). We focus on the key drivers of this type of instrument, from an issuer and investor point of view, before assessing the mechanics of the structures themselves. The latter takes the form of a case study-type review of selected innovative transactions. Finally, we propose a new structure