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Credit-Sensitive ABS as an Asset Class for CDOs: Abridged from "Collateral Debt Obligations" by Meredith C. Hill, ABS analyst at Bank of America Securities

On average, the asset coupon of a triple-B rated ABS in a CDO portfolio is Libor +175-225 with a funding level of Libor +45-50 on the triple-A rated class. Compare this to a high yield CDO, whose average asset coupon is Libor +275-325 with a funding level of Libor...

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