Please Show all calculations.

Suppose that the principal (of a subprime portfolio of mortgages) assigned to the senior,

mezzanine, and equity tranches is 75%, 15%, and 10% in an ABS structure. Suppose also

that an ABS CDO is created from the mezzanine tranche of the ABS. The percentages of

the principal (i.e., the mezzanine tranche of the ABS) assigned to the senior, mezzanine,

and equity tranches of the ABS CDO is again 75%, 15%, and 10%. Complete the following

table:

Losses to Subprime Portfolios	Losses to Mezzanine Tranche of ABS	Losses to Equity Tranche of ABS CDO	Losses to Mezzanine Tranche of ABS CDO	Losses to Senior Tranche of ABS CDO
10%
13%
17%
20%