The CDX.NA.HY Index (with 100 names) Tranches has an equity (absorbing the first 10% of defaults in
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- 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%
- Calculate the payout from the protection sellers of the equity tranche
- Calculate the new detachment for equity tranche
Related Book For
Financial Reporting and Analysis
ISBN: 978-0078025679
6th edition
Authors: Flawrence Revsine, Daniel Collins, Bruce, Mittelstaedt, Leon
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