In this work, collateralization of various assets in the form of collateralized debt obligations or CDO is described. Usually, a CDO is legally a special purpose vehicle. The properties of a CDO can be divided into four parts, which are assets, obligations, purpose and credit structure. CDO buys assets and then the cash flow from that assets is repackaged to the so-called tranches. After they have been graded with credit rating according to subordination of the debt by the Rating agencies, they are sold to investors. They receive the cash flow from their tranche if no default to that tranche happens. If defaults do happen, they carry with them certain consequences. The range of the consequence is determined with the severity of the default. Numerical simulations are used to show how the dependence between the assets affects the sizes of the tranches. In the case of independent assets, the tranche with the highest grade is consequently larger then in the case where the assets are dependent.
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