Assume the following reference credit portfolio:

Credit 1: $ 100,000 notional, post-default value $ 30000

Credit 2: $ 200,000 notional, post-default value $ 55526

Credit 3: $ 250,000 notional, post-default value $ 72000

Credit 4: $ 260,000 notional, post-default value $76795

Given an $810,000 structure, if credits 4 and 2 default (in that order) in a first-to-default basket swap, how much will an investor receive?

(No decimal place and do not input $ in the solution box)

Answer rating: 100% (QA)

Heres how to calculate the payout the investor will receive Start with the structu... View the full answer