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CDO collateral
For investing synthetic CDO/CLN, why the SPV buys AAA or AA collateral? If that collateral downgrades (e.g. AIG), does it affect the rating of the tranche?
CDO collateral
You can find a good replay in Global Cash Flow and Synthetic CDO criteria (S&P site) or in Moody's approach to rating synthetic CDO that you can read on your own
Last edited by silvione on March 31st, 2005, 10:00 pm, edited 1 time in total.