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A CDO invests in two $ 1 0 0 0 zero - coupon bonds. The CDO has two tranches, the Senior tranche gets paid $

A CDO invests in two $1000 zero-coupon bonds. The CDO has two tranches, the Senior tranche gets paid $1000 before the Junior Tranche gets anything. If a bond defaults, it is estimated that the payoff will be $0. It is estimated that the default probabilities are as follows.
\table[[,,Bond 1,],[,,No Default,Default,Total],[Bond 2,No Default,55%,10%,65%
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