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And then, defaults are cumulated by value of coupon and capital lost to determine what tranche they hit.

Ok so it's not purely time of default based, and capital lost plays a role according to you, so not exactly what I understood from linca.

I guess the devil is in the details of each CDO but it's hard to judge what's going on. My questions resolve around wether the holder of loan+CDO can make money in case of default or not (payment of CDO + payment from selling the house > original price of loan + original price of CDO).


by Laurent GUERBY on Mon Aug 20th, 2007 at 04:19:46 AM EST
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