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A standard synthetic CDO (basket credit default swap) references a portfolio of ten (10) individual corporate names. Assume the following:
●The total reference notional (basket notional) is X, and the term is Y years
●The reference notional per individual reference credit name is X/10 (i.e. equal weight per name)
●The default correlations between the individual reference credit names are all equal to one (1.0)
●The single-name credit default swap (CDS) spread for each individual reference credit name is 100 basis points, for a term of Y years
●The assumed recovery rate on default for all individual reference credits is zero in all cases
●The synthetic CDO comprises two tranches, a 50% junior tranche priced at a spread J, and a 50% senior tranche priced at spread S
All else held constant, if the default correlations between the individual reference credit names are reduced from 1.0 to 0.7, what is the effect on the relationship between the junior tranche spread J and the senior tranche spread S?
AThe relationship remains the same
BS increases relative to J
CJ increases relative to S
DThe effect cannot be determined given the data supplied
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