Tranche of the abs and the abs cdo

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An ABS, based on portfolios of subprime mortgages, consists of a senior tranche (owed 25% of the cash flow), a mezzanine tranche (owed 35%) and an equity tranche (owed 40%). The mezzanine tranche is itself an ABS CDO with a senior tranche (owed 10% of the cash flow), a mezzanine tranche (owed 50%) and an equity tranche (owed 40%). If the subprime portfolios incur a loss of 60%, what are the percent losses to each tranche of the ABS and the ABS CDO?

Reference no: EM133067885

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