If the corporate issuer becomes insolvent, liquidation of the issuer's assets would result in the bank receiving 35% of the price it initially paid for the bond.

If the corporate issuer defaults on a collateralized bond, the bank would take possession of an amount of collateral valued at 65% of the bond's face value.

At the time the bank purchases the bond, there is a 65% unconditional probability that the corporate issuer will not make full and timely payments on the bond.

If the corporate issuer defaults on the bond, the value of the bond shortly after default is expected to equal 35% of the bond's par value