Suppose that the principals assigned to the senior, mezzanine, and equity tranches are 70%,20% and 10% instead of 75%,20% and 5% for both ABSs and ABS CDOs in Figure 6.4 How are the results in Table 6.1 affected? Subprime mortgages ABSs Senior tranches (75%) AAA ABS CDO Senior tranche (75%) AAA Mezzanine tranches (20%) BBB Mezzanine tranche (20%) BBB Equity tranches (5%) Not rated Equity tranche (5%) Figure 6.4 Creation of ABSs and an ABS CDO from Subprime Mortgages (simplified) Table 6.1 Losses to Tranches in Figure 6.4 Losses to Losses to Losses to Subprime Mezzanine Equity Tranche Portfolios Tranche of ABS of ABS CDO Losses to Mezzanine Tranche of ABS CDO Losses to Senior Tranche of ABS CDO 10% 15% 20% 25% 25% 50% 75% 100% 100% 100% 100% 100% 100% 100% 100% 100% 0% 33% 67% 100% Suppose that the principals assigned to the senior, mezzanine, and equity tranches are 70%,20% and 10% instead of 75%,20% and 5% for both ABSs and ABS CDOs in Figure 6.4 How are the results in Table 6.1 affected? Subprime mortgages ABSs Senior tranches (75%) AAA ABS CDO Senior tranche (75%) AAA Mezzanine tranches (20%) BBB Mezzanine tranche (20%) BBB Equity tranches (5%) Not rated Equity tranche (5%) Figure 6.4 Creation of ABSs and an ABS CDO from Subprime Mortgages (simplified) Table 6.1 Losses to Tranches in Figure 6.4 Losses to Losses to Losses to Subprime Mezzanine Equity Tranche Portfolios Tranche of ABS of ABS CDO Losses to Mezzanine Tranche of ABS CDO Losses to Senior Tranche of ABS CDO 10% 15% 20% 25% 25% 50% 75% 100% 100% 100% 100% 100% 100% 100% 100% 100% 0% 33% 67% 100%