This excerpt taken from the ALL 8-K filed Jul 24, 2008.
Other CDO totaled $1.7 billion and 97.3% are rated investment grade at June 30, 2008. Other CDO consist primarily of obligations secured by high yield and investment grade corporate credits including $1.0 billion of collateralized loan obligations; $193 million of synthetic CDOs; $158 million of primarily bank trust preferred CDOs; $108 million of market value CDOs; $44 million of CDOs that invest in other CDOs (CDO squared); and $30 million of collateralized bond obligations. As of June 30, 2008, net unrealized losses on the other CDO was $574 million. Other CDO with a fair value less than 70% of amortized cost totaled $390 million, or 24.2% of the total Other CDO at June 30, 2008, with unrealized losses of $335 million.