1. Assume that, in the first securitisation round, we pull together 1,000 identical 1,000-loans, andsplitthemintodifferenttranches :800,000 in the senior tranche, 150,000intheme z z aninetranche, and 50,000 in the equity tranche. Further assume that we do this with 100 different mortgage portfolios, and we pull together the 100 resulting mezzanine tranches (adding up to $15,000,000) and re-securitise them. We create a CDO with a senior tranche of 10,000,000, a mezzanine tranche of 4,000,000, and an equity tranche of 1,000,000. If you buy the CDO mezzanine tranche, which is the maximum default rate of the underlying assets (assuming defaults are evenly spread across mortgage portfolios) that you can bear before suffering losses