Suppose that mezzanine tranches of the ABS CDOs, similar to those in Figure 8.3, are resecuritized to form what is referred to as a “CDO squared.” As in the case of tranches created from ABSs in Figure 8.3, 65% of the principal is allocated to a AAA tranche, 25% to a BBB tranche, and 10% to the equity tranche. How high does the loss percentage have to be on the underlying assets for losses to be experienced by a AAA-rated tranche that is created in this way. (Assume that every portfolio of assets that is used to create ABSs experiences the same loss rate.)