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Synthetic CDO

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Synthetic CDO. Investors. CDO. C&M. Senior. $80. Collateral. SPV. TRANCHES. C&M. C&M. C&M. Mezzanine. Debt. $100. $100. $15. $100. Debt. C&M. Equity. Bank. $5. Sale of Debt. Investors. Synthetic CDO. C&M. Senior. $78.4. Portfolio Default Swap. (80%). CDO* Cash Flow.

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Synthetic CDO

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  1. Synthetic CDO

  2. Investors CDO C&M Senior $80 Collateral SPV TRANCHES C&M C&M C&M Mezzanine Debt $100 $100 $15 $100 Debt C&M Equity Bank $5 Sale of Debt

  3. Investors Synthetic CDO C&M Senior $78.4 Portfolio Default Swap (80%) CDO* Cash Flow SPV TRANCHES C&M Premium Bank Mezzanine Protection $98 $14.7 (15%) (losses in excess of 2%) C & M $98 $100 C&M C&M Equity AAA Bonds $4.9 (5%) Loans *Interest & Principal on AAA Bonds + Premium - Losses in Excess of 2%

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