Profit and Risk under Subprime Mortgage Securitization

Table 2

Typical collateral composition of RMBS CDOs (%); source: Citigroup.

Typical collateral composition of RMBS CDOs (%)
	High-grade RMBS CDOs	Mezzanine RMBS CDOs
Subprime RMBS tranches	50%	77%
Other RMBS tranches	25	12
CDO tranches	19	6
Other	6	5