Overview . . . . . . . . . . . . . . . . . . . . 1

Introduction . . . . . . . . . . . . . . . . . . . 2

Assets, Tranches, Purposes, Credit

Structures . . . . . . . . . . . . . . . . . . . . 4

Typical Structures . . . . . . . . . . . . . . 8

Why Do CDOs Exist and Why Do

Investors Buy Them? . . . . . . . . . . . 11

Market Value Credit Structure . . . . 15

Cash Flow Credit Structure . . . . . . 18

Synthetic CDOs . . . . . . . . . . . . . . 24

Parties to a CDO . . . . . . . . . . . . . . 27

Legal Considerations . . . . . . . . . . . 31

Accounting Considerations . . . . . . 37

Tax Considerations . . . . . . . . . . . . 40

Glossary and Notes . . . . . . . . . . . . 42

Rating Agency Publications . . . . . . 49

Asset Managers and Sellers . . . . . . 50