QuoteOriginally posted by: dvl84sure, let's say this.. say you got 5 inner CDO's - those all got a tranche of 3-5% and using those 5 tranches a new CDO it 'built' where you got a 12-15% tranche. Instead of modelling all these CDO's where do you go wrong if you would model a single portfolio (consisting of all the 5 inner portfolio's) and adjust the tranche size. As I said, in case you got x-sub you get slightly off if there is almost none subordination left in any of the inner CDO's but if you are looking for a quick and dirty way - I'd do it like this.Oh that makes sense. Thats a pretty easy way to get a back of the envelope calculation. Thanks.