Question: Given the ABS & ABS CDO below, what is the minimum foes on the portfolio of underlying assets when Mezzanine ABS CDO tranche has a
Given the ABS & ABS CDO below, what is the minimum foes on the portfolio of underlying assets when Mezzanine ABS CDO tranche has a 100% loss of principal? ABS Senior Tranche (70%) AAA ABS CDO Senior Tranche (70%) AAA Assets ABS Mezzanine Tranche (25%) BBB ABS CDO Mezzanine Tranche (25%) BBB ABS Equity Tranche (5%) Not Rated ABS CDO Equity Tranche (5%) Not Rated O 12.5 O 105 O 9.75% Od 13 Moving to another question will save those
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