An ABS CDO (or mezzanine CDO) on sub-prime mortgages is structured in the following way. Subprime Mortgages Senior Tranche (8096) Senior Tranche (80%) Mezzanine Tranche (15%) Mezzanine Tranche (15%) BBB Equity Tranche (5%) Equity Tranche (5%) If losses on the original sub-prime mortgage portfolio are 15%, calculate (in percent): Losses on the mezzanine tranche of the CD0 Losses on the senior tranche of the ABS CDO (CDO2)