Question: Problem 2 (10 points) Consider the following example of an ABS and ABS CDO created from a portfolio of loans. Assets Senior Tranche (80%) Senior

Problem 2 (10 points) Consider the following example of an ABS

Problem 2 (10 points) Consider the following example of an ABS and ABS CDO created from a portfolio of loans. Assets Senior Tranche (80%) Senior Tranche (70%) Mezzanine Tranche (15%) Mezzanine Tranche (20%) Equity Tranche (5%) Equity Tranche (10%) Consider the case when there is a 15% loss to the overall loan portfolio. Calculate the % losses, when applicable, to ALL the different tranches of the ABS and the ABS CDO. For example, if the equity tranche of the ABS CDO is wiped out, then the loss is 100%

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