A donkey with a ferret's tail must be worth something! (5)
I believe the answer is:
asset
'something' is the definition.
(I have seen 'Something of worth ' mean 'asset' so perhaps 'something' could also mean 'asset')
'a donkey with a ferret's tail must' is the wordplay.
'a donkey' becomes 'ass' (ass is a term for a donkey).
'with' says to put letters next to each other.
'a ferret's' becomes 'e' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'tail' indicates one should take the final letters.
The last letter of 'must' is 't'.
'ass'+'e'+'t'='ASSET'
'be worth' acts as a link.
I am not very happy about this link. Some or all of it may be part of another bit of the clue.
Can you help me to learn more?
(Other definitions for asset that I've seen before include "valuable sort" , "Valuable person" , "Valuable item" , "Help" , "Useful item" .)