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Hi David, thank you much for the clarification. It is reassuring to see the explanation from you and now I’m happy with the essence of the case study. Thanks again!!

Hi, re the discussions on CDO tranche spreads with respect to correlation between the assets in the CDO, I am referring to page 125 of Chapter 7 of Market Risk Measurement & Management 2022 edition, it states: "Importantly, the correlation of the bonds in CDOs (which originally were only...