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Suppose that the principals assigned to the senior, mezzanine, and equity tranches for the ABSs and ABS CDO in Figure 6.4 are 70%, 20%, and
Suppose that the principals assigned to the senior, mezzanine, and equity tranches for the ABSs and ABS CDO in Figure 6.4 are 70%, 20%, and 10% instead of 75%, 20%, and 5%. How are the results in Table 6.1 affected? Please show me the steps. Thank you for your help.
Losses on Subprime Portfolios Losses on Mezzanine Tranche of ABS Losses on Equity Tranche of ABS CDO Losses on Mezzanine Tranche of ABS CDO Losses on Senior Tranche of ABS CDO 10% 25% 100% 100% 0% 15% 50% 100% 100% 33.3% 20% 75% 100% 100% 66.7% 25% 100% 100% 100% 100% Losses on Subprime Portfolios Losses on Mezzanine Tranche of ABS Losses on Equity Tranche of ABS CDO Losses on Mezzanine Tranche of ABS CDO Losses on Senior Tranche of ABS CDO 10% 25% 100% 100% 0% 15% 50% 100% 100% 33.3% 20% 75% 100% 100% 66.7% 25% 100% 100% 100% 100%
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