Mortgage$-$backed assets

are financial instruments based on mortgages that are pooled together, with shares in the pool sold to

investors.

Consider a traditional pass$-$through security and a collateralized mortgage obligation $($CMO$)$ with three tranches. Suppose $6\%$ of the borrowers do not

repay their loans. Which of the following statements are accurate? Check all that apply.

Only the bottom tranche of CMO holders will lose $6\%$ of their money.

Only the top two tranches of CMO holders will lose their money.

Only $6\%$ of pass$-$through holders will lose their money.

All holders of pass$-$through will lose $6\%$ of their money.