Robeco’s synthetic age

Managed synthetic collateralised debt obligations are growing in popularity in Europe and the US. This case study looks at an innovative transaction recently completed by JP Morgan and Netherlands-based asset management firm Robeco.

Actively managed synthetic collateralised debt obligations (CDOs) – introduced in 2001 to the rapidly evolving credit derivatives market – are expected by most pundits to see a surge in popularity in 2002. Indeed, according to figures from Goldman Sachs, at least seven actively managed deals with a total dollar notional of $7.24 billion were completed last year, and the firm expects as many as 15 in 2002, with a notional amount of $1 billion each. With each new deal, this product evolves one

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