ABSTRACT
Collateralized debt obligations constitute an important class of socalled asset backed securities (ABS), which are securities backed by a pool of assets. Depending on the underlying asset class, ABS include various subclasses, for example residential or commercial mortgage backed securities (RMBS, CMBS), trade receivables ABS, credit card ABS (often in the form of so-called Master Trusts), consumer loan ABS, and so on. Some years ago it started that ABS were also structured based on pools of derivative instruments, like credit default swaps and other derivative instruments. In the first-mentioned case such ABS transactions are often called collateralized swap obligations (CSO). In general, one can say that ABS can be based on any pool of assets generating a cash flow suitable for being structured in order to meet investor’s risk and return preferences.
