Risk Latte - A BISTRO for CDO?


Rahul Bhattacharya
Feb 24, 2005

BISTRO was the first static synthetic balance sheet CDO (collateralized debt obligation). It was the first synthetic securitization vehicle that was brought to the market by J P Morgan in 1997. The transaction was designed to remove the credit risk on a portfolio of corporate credits held on J P Morgan's books, with no funding or balance sheet impact. The overall portfolio was $9.7 billion, with $700 million of notes issued, in two tranches, by the BISTRO special purpose vehicle.

(Taken from Moorad Choudhary's book on Synthetic CDO)

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