My Manhattan Project - How I helped build the bomb that blew up Wall Street.

“I asked my colleagues, what was a CDO exactly? Like CMOs, they were structured products, but the underlying collateral was not limited to home mortgages. They could be anything—corporate bonds, subprime-mortgage bonds, swaps, or simply air, like the synthetic CDOs: They could be CDOs underwritten by the bonds of other CDOs, CDOs squared. Chicken, pork, offal, chitterlings, tofu salad, fish guts—anything could be run through the grinder. “Diversity of collateral” was the pitch. Some things could go bad, but not everything at once. It never has, except during the Depression, and we’re so much smarter now. That could never happen again.”