This excerpt taken from the ALL 10-Q filed Oct 31, 2007.
ABS CDOs are securities collateralized by a variety of other securities, including residential mortgage-backed securities that may be sub-prime. As of September 30, 2007, this portfolio had unrealized losses of $54 million, compared to unrealized losses of $7 million at June 30, 2007. During the third quarter of 2007, $25 million of a Aaa rated tranche of one ABS CDO was liquidated and we received full return of principal and interest, and one ABS
CDO with a value of $1 million was downgraded from A to Ba.