Discrete Dynamics in Nature and Society / 2011 / Article / Tab 2

Research Article

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

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