1.A CMO is issued from a 200 mil. pool of mortgages. It has 4 tranches listed below. 12 million in losses are incurred in the pool of mortgages. (Assume no principal repayments have occurred.)

AAA-rated Tranche$140 million

A-rated Tranche$ 40 million

B-rated Tranche$ 10 million

Unrated Tranche$ 10 million

What is the loss rate on the B-rated tranche in percentage points? (5% would be "5.00".)

2.Identify which type of securitized product would most likely havemortgage loanassets in the pool backing the securities (ABS, MBS, CMO, CLO, CDO, or none). There should be at least two answers in that choices.??

ABS

MBS

CMO

CLO

CDO

None