Question: Given the ABS & ABS CDO below, what is the minimum loss on the portfolio of underlying assets when Senior ABS CDO tranche has a

Given the ABS & ABS CDO below, what is the minimum loss on the portfolio of underlying assets when Senior ABS CDO tranche has a 50% loss of principal? ABS Senior Tranche (70%) ABS CDO Senior Tranche (70%) AAA AAA Assets ABS Mezzanine Tranche (25%) BBB ABS CDO Mezzanine Tranche (25%) BBB ABS Equity Tranche (5%) Not Rated ABS CDO Equity Tranche (5%) Not Rated 2125 002455 18

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