= Synthetic CDO
{wiki}
= Synthetic collateralized debt obligation
{synonym}
A <synthetic collateralized debt obligation> creates <portfolio> credit exposure using <credit default swaps> rather than necessarily owning a pool of cash loans or bonds. Losses are allocated to tranches with different attachment and exhaustion levels. A tranche can be funded, unfunded or partly funded depending on structure. Individual <default> probabilities alone do not price it: dependence among defaults and recovery outcomes changes the <portfolio> loss distribution.
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