8. A fully funded CDO is a structure where the credit risk of the entire portfolio is...
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8. A fully funded CDO is a structure where the credit risk of the entire portfolio is transferred to the SPV via a credit default swap. In a fully funded synthetic CDO the issuer enters into the credit default swap with the SPV, which itself issues credit-linked notes to the entire value of the assets on which the risk has been transferred.
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Related Book For
Measuring And Controlling Interest Rate And Credit Risk
ISBN: 9780471268062
2nd Edition
Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry
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