CDO collateral
Posted: March 31st, 2005, 11:55 pm
by yoyogi
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
Posted: April 1st, 2005, 7:58 am
by silvione
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