Suppose that the structure in Figure 8.1 is created in 2000 and lasts 10 years. There are no defaults on the underlying assets until the end of the eighth year when 17% of the principal is lost because of defaults during the credit crisis. No principal is lost during the final two years. There are no repayments of principal until the end. Evaluate the relative performance of the tranches. Assume a constant LIBOR rate of 3%. Consider both interest and principal payments.