1. How does the shape of the portfolio possibilities curve for two assets differ when the correlation between them is +1 from when the correlation is 0.25?
2. if the loss on the underlying assets is 9%, how much is the loss to mazzanine tranche of the ABS CDO? 11.0% 66.7% 0% 33.3%
3. if the loss on underlying assets is 21%, how much is the loss to the mazzanine tranche of the ABS CDO? 100% 0% 33.3% 21.0%.