one interesting fact the movie didn't mention about CDOs, IIRC, is that the repackaging makes sense only with the assumption that the underlying assets are independent variables.

I.e. if you have 2 independent bonds which will default with 50% probability you can combine 4 outcomes into a single one and issue two tranches.

The senior one should be payed back 3 times out of 4 (it's enough if one bond pays back) and the other will be paying back 1 time out of 4 (both need to work out).

But if the underlying things are correlated, they will fail or succeed at the same time, so when you buy the senior tranche your assumption that it's safer is wrong.

OTOH, buying the other one you'd get a good deal: you will pay for 25% chance of getting the money, but get something more than that.