Suppose you set up an SPV, and put a CDS contract in it. The CDS "reference entity," instead of being an operating company, could be an existing CDO or MBS. If the SPV were to then sell debt securities to investors, what might this look like? Are there any special risks to be concerned about here? What if you take a bunch of CDOs that you own and put them into an SPV. If the SPV were to then sell debt securities to investors, what might this look like? What if instead of owning the CDOs, you own CDS contracts that reference the CDOs? What if you kept repeating this process (putting CDS contracts in SPVs that reference CDOs that are made up of CDS contracts that reference CDOs . . . )?

Lubben, Stephen. Corporate Finance, Third Edition. [2020] Asset Securitization pg. 529 - 573