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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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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