An asset-back security consists of the following tranches:

ABS tranche	Credit rating	% of principal
Senior	AAA	60%
Mezzanine	BBB	20%
Equity	Unrated	20%

The mezzanine tranche was structured into its own ABS CDO with the following tranches:

ABS CDO tranche	Credit rating	% of principal
Senior	AAA	60%
Mezzanine	BBB	15%
Equity	Unrated	25%

1. What is the estimated percentage loss on the ABS CDO equity tranche if the underlying assets lose 24.5% of their value?

2. What is the estimated percentage loss on the ABS CDO mezzanine tranche if the underlying assets lose 26% of their value?

3. What is the estimated percentage loss on the ABS CDO senior tranche if the underlying assets lose 30% of their value?

4. What is the estimated percentage loss on the ABS senior tranche if the underlying assets lose 30% of their value?