Record that investors lack the portfolio data to estimate default probabilities themselves, that one agency error then reaches every pension fund and endowment at once, and that securitization's benefits were still real.
2
The perfectly correlated two-bond pool
Rebuild the tranche table with only two outcomes, derive the new default probabilities (senior 1% to 10%, junior 19% to 10%) and prices (both $900), and state that securitization then achieves nothing.
3
Housing as earthquakes in all fifty states
Record the national house-price downturn after mid-2006 as the event that turned uncorrelated mortgage defaults correlated, alongside the insurer analogy of diversifying across disaster types.
4
The Economist's anonymous Chief Risk Officer
Summarize his long-AAA, short-junior position and the losses on both legs, and show how the correlated-default example accounts for the price moves he called counter-intuitive.