Problem 1 Given the following structure of an ABS CDO on a portfolio with $100 principal amount Senior Tranche of ABS: 75% of principal Senior tranche of ABS CDO 75% of 20%, or 15% of principal Loses if losses exceed 10% of principal Mezzanine Tranche of ABS: 20% of principal Loses if losses exceed 5% of principal Mezzanine tranche of ABS CDO 20% of 20%, or 4% of principal Loses if losses exceed 6% of principal Equity tranche of ABS CDO 5% of 20%, or 1% of principal Loses if losses exceed 5% of principal Equity Tranche of ABS: 5% of principal Fill out the following table: Losses to underlying portfolio Losses to equity tranche mezzanine of ABS CDO tranche of ABSCDO Losses to senior tranche of ABS Losses to CDO 5% 10% 15% 20% 25%