Please explain and show steps ) Given the ABS ABS CDO shown below , what is the minimum loss on the portfolio of underlying assets when Lower two ABS tranches have a 100 loss of principal Senior ABS tranche a 50 has loss of principal Equity ABS CDO tranche has a 100 loss of principal Mezzanine ABS CDO tranche has a 100 loss of principal Senior ABS CDO tranche has a 50 loss of principal Senior ABS CDO tranche has a 100 loss of principal Why is it likely that the AAA rated tranche of this ABS CDO is more risky than the AAA rated tranche of the ABS Why are the risks in ABS CDOs misjudged by the market What did we learn about this in 2007 Why is it likely that the AAA rated tranche of this ABS CDO is more risky than the AAA rated tranche of the ABS Why are the risks in ABS CDOs misjudged by the market What did we learn about this in 2007 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 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

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Question: Please explain and show steps :) Given the ABS & ABS CDO shown below , what is the minimum loss on the portfolio of underlying

Please explain and show steps :)

Given the ABS & ABS CDO shown below , what is the minimum loss on the portfolio of underlying assets when:

Please explain and show steps :) Given the ABS & ABS CDO

1. Lower two ABS tranches have a 100% loss of principal?
1. Senior ABS tranche a 50% has loss of principal?
1. Equity ABS CDO tranche has a 100% loss of principal?
1. Mezzanine ABS CDO tranche has a 100% loss of principal?
1. Senior ABS CDO tranche has a 50% loss of principal?
1. Senior ABS CDO tranche has a 100% loss of principal?
2. Why is it likely that the AAA-rated tranche of this ABS CDO is more risky than the AAA-rated tranche of the ABS?
3. Why are the risks in ABS CDOs misjudged by the market? What did we learn about this in 2007?

1. Why is it likely that the AAA-rated tranche of this ABS CDO is more risky than the AAA-rated tranche of the ABS?
1. Why are the risks in ABS CDOs misjudged by the market? What did we learn about this in 2007?

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 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

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