Sub-prime mortgage portfolio assigned to the senior

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Reference no: EM132018877

Suppose that a sub-prime mortgage portfolio assigned to the senior, mezzanine,and equity tranches is 70%, 20%, and 10% for both the ABS and the ABS CDO. If the losses to the principal are 10%, 13%, 17%, or 20%, what would be thelosses to mezzanine of ABS, to equity tranche of ABS CDO, mezzanine trancheof ABS CDO, and equity tranche of ABS CDO, respectively.

Reference no: EM132018877

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