An asset-backed security (ABS) is one where the cashflows due to the holder of the security are covered specifically by cashflows due to the security’s issuer from specific assets. The credit risk which concerns the holder of the asset-backed security is therefore these assets ‘behind’ the security, rather than the issuer.
A mortgage-backed security (MBS) is an ABS where the specific assets behind the security are mortgages.
A collateralised debt obligation (CDO) is an ABS where the specific assets behind the security are bonds, often a pool of MBS.
A covered bond is a one where the bond issuer is obliged always ...