* A brief reminder: In thinking about these towers of debt, it's handy to simplify them into three floors: a basement, called the "equity," which takes the very first losses and is not an investment-grade security; the lower floor, called the "mezzanine," with triple-B rating; and the upper floor, with triple-A rating, and generally referred to as the "senior." In practice, the towers were far more finely sliced: a CDO might have fifteen different tranches, each with a slightly different rating, from triple-B-minus all the way up to triple-A: triple-B-minus, triple-B, A-minus, A, and so on. The double-A rating of the tranche shorted by Cornwall Capital implied that the underlying bonds, though slightly more risky than supposedly gold-plated triple-As, still had a less than 1 percent chance of defaulting.