CHICAGO — The Securities and Exchange Commission has launched a review of a failed investment by five southeastern Wisconsin school districts in collateralized debt obligations that were intended to establish trusts to pay the districts’ non-pension retiree health care benefits.

The probe comes as the districts’ boards are weighing whether to include in their fiscal 2011 budgets the money needed to repay a collective $165 million of asset-backed notes, backed by the trusts, sold to Depfa Bank Plc to fund participation in the investment in the CDOs. The CDOs included credit default swaps.

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