1. Given the ABS & ABS CDO shown, what is the minimum loss on the portfolio of underlying assets when:

a. Lower two ABS tranches have a 90% loss of principal?

b. Senior ABS tranche has a 60% loss of principal?

c. Equity ABS CDO tranche has a 95% loss of principal?

d. Mezzanine ABS CDO tranche has a 80% loss of principal?

e. Senior ABS CDO tranche has a 70% loss of principal?

ABS CDO Senior Tranche (70%) MMA ABS Senior Tranche (70%) AAA ABS CDO Mezzanine Tranche (25%) BBB Assets ABS Mezzanine Tranche 125%) BBB ABS CDO Equity Tranche (5%) Not Rated ABS Equity Tranche (5%) Not Rated ABS CDO Senior Tranche (70%) MMA ABS Senior Tranche (70%) AAA ABS CDO Mezzanine Tranche (25%) BBB Assets ABS Mezzanine Tranche 125%) BBB ABS CDO Equity Tranche (5%) Not Rated ABS Equity Tranche (5%) Not Rated