Suppose that the principal assigned to the senior, mezzanine, and equity tranches for the ABSs and ABS CDO in Figure 6.4 is 60%, 30%, and 10% instead of 75%, 20%, and 5%. How are the results in Table 6.1 affected?

This is a blank table with the following titles. The percentages below are the first column of data for title one in the table. (Losses to subprime portfolio) :

Losses to subprime portfolio Losses to Mezz tranche of ABS Losses to equity tranche of ABS CDO Losses to Mezz tranche of ABS CDO Losses to senior tranche of ABS CDO

10%

15%

20%

25%

(Figure 6.4)

Subprime Mortgages ABSs

Senior Tranches (75%) AAA ABS CDO

MezzaineTranches (20%) BBB Senior Tranches (75%) AAA

Equity Tranches (5%) Not Rated Mezzanine tranches (20%) BBB

Equity Tranche (5%)