Collateralized Debt Obligation, sort of like a bond that's composed from many loans on something you can repossess, like houses or boats. They're notorious because they were involved in the 2008 financial crisis.
The Big Short also has an earlier explanation of a non-synthetic CDO ("we just repackage it [low-quality risky debt] along with a bunch of other shit that didn't sell and put it into a CDO"):
https://www.investopedia.com/terms/c/cdo.asp
Or if you prefer the Big Short explanation:
https://youtube.com/watch?v=EEXTqtH-Oo4