Suppose that ABS are created from portfolios of subprime mortgages with the following allocation of the principal to tranches: senior 70%, mezzanine 20%, and equity 10%. An

CDO is then created from the mezzanine tranches with the same allocation of principal. Loss on the mortgage portfolio turn out to be 15%. What, as a percent of tranche principal, are le

(gas this perranine tranche o the ABS CDO.

A) 75%

B) 50%

C) 25%

D) 80%

E) 100%