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 points) 2) Calculate the new detachment for equity tranche ( 2 points)

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 points) 2) Calculate the new detachment for equity tranche ( 2 points)