Newly Collateralized Bond Obligation stands in the spotlight of financial market. It is thought to provide the financial market with sizable amount of liquidity. It needs, however, much more research about this new instrument. I use binomial tree in calculation of default probability and recovery rate, and with those parameters, get the present value of CBO asset pool. The fair value of CBO is equal to the summation of present value of asset pool and credit enhancement. Credit enhancement, especially credit line is a kind of American-style put option. When we consider the floating costs, the sum of present value of CBO and floating costs should be equal to that of present value of asset pool and credit enhancement.