By combining them together and tranching, you could make a large pool of BBB assets yield further tranches of AAA securities. Once you had done that you could then go one step further. You could take the low-rated mezzanine slices of the CDO and pool and tranche them once more to create CDO-squared. And once again by the logic of independent risks and the good graces of the ratings agencies, a portion even of those securities would warrant an AAA rating.
