solve and show work to fill in the blanks for each part

3, (10 points) Imagine that you have two bonds that you are considering pool tranching into a CDO. Each bond pays out $1,000 at the end of the period (ignore interest), and each bond will default 6% of the time. In default, theres 8 no recovery value. Suppose you build a CDO with two tranches, each with a face value of $1,000. Senior tranche needs to be paid off before junior tranche can get paid. A) Suppose that the bond defaults are independent. Please fill in the following table B) Suppose that the bond defaults are perfectly correlated with each other. PI a the following table. C) You plan to take two identical junior tranches from part A) and pool and tranche them into a CDOsquared. Assume the defaults among these two junior tranches are independent. Please fill in the following table