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Highest likelihood of the occurrence of credit event

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Reference no: EM133113583

Note the following tranche schedule for this CDO.

 

Amount ($millions)

YTM

Term (Mos)

Rating

CDS Enhanced

Tranche A

$15

1.98%

30

AAA

no

Tranche B

$85

2.75%

60

AA-

no

Tranche C

$250

3.05%

120

AA-

no

Tranche D

$250

4.87%

240

A

yes

Tranche Z

$50

6.12%

360

A

yes

Based on the above information, which tranche has the highest likelihood of the occurrence of a credit event?

  1. Tranche A
  2. Tranche B
  3. Tranche C
  4. Tranche D
  5. Tranche Z

Reference no: EM133113583

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