Consider a simple collateralized debt obligation (CDO) consisting of 100 securities each of which pays nothing if they default and $1 million otherwise. The CDO is tranched into a senior tranche which pays the first $80 million, and a junior tranche that receives anything that is left. The price of the entire senior tranche is $77 million and the price of the entire junior tranche is $3 million. Now suppose that an investor goes short the senior tranche and long the junior tranche. For what number of defaults would this investor make a profit?