An attachment point is the pool loss level at which a given layer starts to lose money. Below it, that layer is untouched. Above it, it is being eaten.

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How to read this

The originator’s deposit absorbs everything up to 15% of the pool. Only once it is exhausted does pALPHA begin to lose. Once pALPHA is exhausted, pCORE begins. The senior layer is last. This is why pALPHA is described as second loss: it does not take the first dollar of loss, and is not priced as though it does.

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Why the ranges are ranges

The boundaries move with how a particular pool is sized. An originator depositing 25% rather than 15% pushes every attachment point above it upward by ten percentage points, and every note above becomes safer without its rate changing. Pool one is a 25% pool.

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What an attachment point does not tell you

It tells you the order in which capital is destroyed. It says nothing about how likely any of those loss levels is.
PRISM’s expected loss rate of 4% has never been measured against real data. It is a placeholder that will be replaced by data from the shadow pool, or by the price a professional credit investor demands for holding pALPHA — whichever comes first. See Disclosures.
Attachment points also assume losses arrive as ordinary credit losses that the waterfall can see. They do not cover an originator diverting collections, which bypasses the waterfall entirely. See the originator problem.