Credit structures
Beyond the seniority and subordination of CDO liabilities, CDOs have additional structural credit
protections, which fall into the category of either cash flow or market value protections. The credit quality
of a market value CDO derives from the ability of the CDO to liquidate its assets and repay debt tranches. Because the market value credit structure is less often used, it will not be reviewed here [For a discussion
of the market value credit structure, see Lucas et al. (2006)].