A CDO structure comes with a special clause for the A tranche whereby early amortization occurs if
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A CDO structure comes with a special clause for the A tranche whereby early amortization occurs if more than three issuers default within the first two years of the CDO. What happens to the value of the A tranche as we increase the number of issuers in the collateral?
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There are two offsetting effects that occur in this scenario A...View the full answer
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