期刊名称：Financial Stability Review / Reserve Bank of Australia
印刷版ISSN：1449-3896
电子版ISSN：1449-5260
出版年度：2005
卷号：SEP
出版社：Reserve Bank of Australia
摘要：Introduction
Collateralised debt obligations (CDOs) are securities that are exposed to the credit risk of a
number of corporate borrowers. In the simplest form of a CDO, this credit risk exposure is
generated in the same way as for any asset-backed security (ABS): the CDO is backed by outright
holdings of corporate debt, such as corporate bonds and corporate loans. Increasingly, however,
the exposure to corporate credit risk is synthesised through the use of credit derivatives. Unlike
other forms of ABS, where the collateral pools usually consist of loans with broadly similar
characteristics, CDO reference pools are typically quite heterogeneous, with exposures to a
variety of borrower types and credit ratings and across a number of countries. A CDO will
usually have exposures to between 50 and 200 bonds or large corporate loans, or up to 2 000
loans to small and medium-sized businesses.
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