The video demonstrates how Equity Tranches (as the name suggests) can very easily end up being worth nothing despite a correspondingly low level of defaults, due to the uneven way losses are applied.
This effect is, of course, magnified when/if leverage is involved. e.g. Bond Futures, broker Margin or Options.
So if trading using 10:1 leverage and if 50% write down => 100% loss in the Equity Tranches, a 5% loss rate can result in a 100% loss of principal.
Also some (synthetic) CDO’s have CDS's embedded in them