Valuing CDOs of ABSs


In this article, we value tranches of CDOs of asset-backed securities (ABSs), with particular focus on CDOs of subprime residential mortgage-backed securities (RMBSs).

CDOs of ABSs are more difficult to value than CDOs referenced to corporate credits. This is because:

- The assets in the CDO collateral pool are themselves tranches of ABS deals, which in turn are supported by collateral pools containing the ultimate underlying assets, for example, subprime mortgages. A CDO of ABSs is therefore two

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here