Suppose that in Figure 27.6 the tranches have promised payments of $160 (senior), $50 (mezzanine), and $90
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In figure
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CDO A Senior Tranche Bond 1 Bond 2 Bond 3 Mezzanine Tranche Equity Tranche CDO B CDOsquared Senior Tranche Senior Tranche Bond 4 Bond 5 Bond 6 Mezzanine bond A Mezzanine bond B Mezzanine bond c Mezzanine Trancih Mezzanine Tranche Equity Tranche Equity Tranche CDO C Senior Tranche Bond 7 Bond 8 Bond 9 Mezzanine Tranche Equity Tranche
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