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5. Suppose that ABSs are created from portfolios of subprime mortgages with the following allocation of the principal to tranches: senior 75%, mezzanine 20%, and
5. Suppose that ABSs are created from portfolios of subprime mortgages with the following allocation of the principal to tranches: senior 75%, mezzanine 20%, and equity 5%. An ABS CDO is then created from the mezzanine tranches with the same allocation of principal. Losses on the mortgage portfolio prove to be 16%. What, as a percent of tranche principal, are losses on (i) The equity tranche of the ABS (ii) The mezzanine tranche of the ABS (iii)The senior tranche of the ABS (iv)The equity tranche of the ABS CDO (v) The mezzanine tranche of the ABS CDO (vi) The senior tranche of the ABS CDO
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