Suppose that the structure for an asset-backed security transaction is as follows:

Senior tranche $600 Million

Subordinated tranche 1 $100 Million

Subordinated tranche 2 $ 50 Million

The value of the collateral for the structure is $860 Million. Subordinated tranche 2 is

the first loss tranche.

a. How much is the overcollateralization in this structure?

b. What is the amount of the loss for each tranche if losses due to defaults over the life of the structure total $150 Million?

c. What is the amount of the loss for each tranche if losses due to defaults over the life of the structure total $250 Million?

d. What is the amount of the loss for each tranche if losses due to defaults over the life of the structure total $360 Million?

e. What is the amount of the loss for each tranche if losses due to defaults over the life of the structure total $25 Million?