CDS CDS₂ E CDS100 CDX.NA.HY Super Senior 35-100% Junior Senior 25-35% Detachment point -15% Senior Mezz 15-25% Junior Mezz 10-15% Equity 0-10% Attachment point -10%
CDS CDS₂ E CDS100 CDX.NA.HY Super Senior 35-100% Junior Senior 25-35% Detachment point -15% Senior Mezz 15-25% Junior Mezz 10-15% Equity 0-10% Attachment point -10%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
20. The CDX.NA.HY Index (with 100 names) Tranches has an equity (absorbing the first 10% of defaults in the index), a junior mezzanine (absorbing the next 5%), a senior mezzanine (absorbing the next 10%), a junior senior (absorbing the next 10%) and a super senior tranche (absorbing the last 65% of defaults in the index). Assuming a name in the index defaults, with recovery rate 40%
1) Calculate the payout from the protection sellers of the equity tranche
2) Calculate the new detachment for equity tranche
Note:-
- Do not provide handwritten solution. Maintain accuracy and quality in your answer. Take care of plagiarism.
- Answer completely.
- You will get up vote for sure.
![CDS
CDS₂
E
CDS100
CDX.NA.HY
Super Senior 35-100%
Junior Senior 25-35% Detachment point -15%
Senior Mezz 15-25%
Junior Mezz 10-15%
Equity
0-10%
Attachment point -10%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F58bd1525-75ec-46a5-be25-53d8789ee850%2F581eaf39-cde4-4d10-84fb-ffc5ae7de190%2F8ru98kt_processed.png&w=3840&q=75)
Transcribed Image Text:CDS
CDS₂
E
CDS100
CDX.NA.HY
Super Senior 35-100%
Junior Senior 25-35% Detachment point -15%
Senior Mezz 15-25%
Junior Mezz 10-15%
Equity
0-10%
Attachment point -10%
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