担保债务凭证（CDO）是一种不受监管的资产支持型结构化信贷产品。CDO由一组固定收益资产构成的投资组合组成。这些资产根据发行人对其所赋予的价值被划分为不同的份额（tranche）：高级份额（评级为AAA）、夹层份额（评级从AA到BB）以及权益份额（未评级）。损失按优先级的相反顺序承担，因此次级份额提供更高的票息（利率），以补偿所增加的违约风险。自2007年中期起，CDO因美国次级抵押贷款市场的崩溃而声名狼藉。一些人将2007至2008年信贷紧缩的金融困境归咎于CDO产品的复杂性，以及信用评级机构所用风险和回收模型未能准确评估这些产品的价值。一些购买CDO的机构缺乏监测信用表现和/或估算预期现金流的能力。另一方面，一些学者认为，由于这些产品并非由公开市场定价，证券所涉风险并未体现在其成本之中，因而无法真实反映潜在购买者所面临的风险程度。31

Collateralized debt obligations (CDOs) are an unregulated asset-backed and structured credit product. CDOs are constructed from a portfolio of fixed-income assets. These assets are divided into different tranches according to the value placed on the assets by the issuer: senior tranches (rated AAA), mezzanine tranches (AA to BB), and equity tranches (unrated). Losses are applied in reverse order of seniority and so junior tranches offer higher coupons (interest rates) to compensate for the added default risk. CDOs have risen to infamy on the back of the sub prime mortgage melt down led from the US since mid 2007. Some blame the financial woes of the 2007-2008 credit crunch on the complexity of CDO products, and the failure of risk and recovery models used by credit rating agencies to accurately value these products. Some institutions buying CDOs lacked the competency to monitor credit performance and/or estimate expected cash flows. On the other hand, some academics maintain that because the products are not priced by an open market, the risk associated with the securities is not priced into its cost and is not indicative of the extent of the risk to potential purchasers31.

由于CDO产品应按盯市（mark to market）基础估值，即证券在资产负债表中按当前市场价格计价，加之信贷市场陷入停滞、这些产品的流动性枯竭，2007年出现了大规模减记。此外，市场对评级机构为CDO分级（tranche）授予信用评级所用流程的有效性，也普遍失去信心，这种信心缺失一直延续到2008年。研究机构Celent估计，到2006年底，全球CDO市场规模已接近2万亿美元。 CDO的结构和基础资产各不相同，但其基本原理是一致的。从本质上讲，CDO是一种证券，用于以资产作为抵押进行构造，并将这些资产产生的现金流打包出售给投资者。它是一种实现债务证券化的手段。随着市场对CDO及其他高收益证券投资需求的增长，银行看到了机会，将次级抵押贷款与优质抵押贷款及其他债务打包进同一工具之中。CDO投资者持有的是一个具有既定风险与收益特征的实体中的权益，而非直接持有基础资产（例如抵押贷款）。因此，投资的价值取决于用于界定各分级风险与收益的指标和假设的质量。许多CDO事后被证明存在严重的价值高估问题，原因在于其中包含的大量基础抵押贷款质量低劣，以及美国房地产泡沫及随后的房价下跌。

As CDO products should be valued on a mark to market basis (where securities are marked in balance sheets at current market price), this coupled with the paralysis in the credit markets and the collapse of liquidity in these products led to substantial write-downs in 2007. Additionally a major loss of confidence has occurred in the validity of the process used by ratings agencies to assign credit ratings to CDO tranches and this loss of confidence has persisted through 2008. Research firm Celent estimated the size of the CDO global market at close to $2 trillion by the end of 2006. CDOs vary in structure and their underlying assets, but the basic principle is the same. Essentially a CDO is a security constructed to hold assets as collateral and to sell packages of cash flows from those assets to investors. It is a means to securitise debts. With growing demand for CDOs and other high yielding securities investment, banks saw an opportunity to package up sub prime mortgages together with higher grade mortgages and other debts into one vehicle. A CDO investor takes a position in an entity that has a defined risk and reward, not directly in the underlying assets (eg the mortgage). Therefore, the investment is dependent on the quality of the metrics and assumptions used for defining the risk and reward of the tranches. Many CDOs have been proven to be hopelessly overvalued in light of the poor quality of underlying mortgages included in many of them and in light of the US housing bubble, and subsequent price slide.

CDO的发行人通常是投资银行，他们在发行时赚取佣金，并在CDO存续期间收取管理费。投资者往往利用贷款进行高杠杆操作，以从CDO各级份额的高收益与其借款成本之间的正利差中获利。

CDO issuers, usually the investment banks, earn commissions at time of issue and management fees over the life of the CDO. Investors have often been highly leveraged using loans to benefit from the positive spread between the high returns on tranches of CDOs and their cost of borrowing.

许多机构为了追求高额回报而过度杠杆化。一个简单的例子就能说明这一点。一家拥有100万美元资本的银行,借入2900万美元,用以购买3000万美元的结构性产品,例如以住房抵押贷款债务为基础的担保债务凭证(CDO)。这3000万美元CDO的利息收入远高于2900万美元借款的成本。如果其中20%(600万美元)的抵押贷款违约,回收率又很低(假设为三分之二,即400万美元),就会产生200万美元的资本损失。这将彻底吞噬最初的100万美元资本,并造成100万美元的净亏损(资本为负100万美元,资产为2800万美元且持续下跌,负债为2900万美元)。当这个例子以数十亿美元的规模真实发生时,问题的严重程度便可见一斑。在借贷杠杆与当前严重的房地产市场低迷的双重作用下,这类产品造成了灾难性的损失。甚至一些高评级的债务分级也遭受了重大损失。时任美国第五大证券公司的贝尔斯登(Bear Stearns)(现已倒闭)于2007年7月18日表示,由于用于押注次级抵押贷款的证券价值出现"空前的下跌",其两只已经失败的对冲基金的投资者几乎无法收回任何资金。

Many institutions became vastly over-leveraged in the seeking of high returns. A simple example demonstrates this. A bank with $1 million of capital would borrow $29 million to then buy $30 million of structured product like a CDO, for example written over mortgage debt. The interest payments on the CDO of $30 million are much higher than the cost of borrowing on the $29 million. Twenty percent ($6 million) of the mortgages go into default, with a poor recovery rate (say 2 thirds or $4 million). This leaves a capital loss of $2 million which wipes out completely the original $1 million of capital and leaves a net loss of $1 million (capital of minus $1 million, assets of $28 million which are falling, and liabilities of $29 million). When the above example becomes real, but is in billions of dollars then the scale of the problem can be felt. With the mix of borrowings (leveraging) and now severe housing market downturn, the losses have been catastrophic on these products. And even the higher quality tranches of debt have suffered significant losses. The now defunct Bear Stearns, which at the time was the fifth-largest U.S. securities firm, said on July 18, 2007 that investors in its two failed hedge funds will get little if any money back after “unprecedented declines” in the value of securities used to bet on subprime mortgages.