Assume the following: the face value of the pool of senior bonds is $500 million and junior
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Question:
Assume the following: the face value of the pool of senior bonds is $500 million and junior bonds $200 million. The principal payments are $20 million per month. No losses are expected for the senior tranche in the first year. Calculate monthly premiums for a buyer of CDS for the first six months if the notional value of the swap transaction is $1500 million and the swap spread is 8.5%.
500 =Face value of the senior tranche ;
300=Face value of the junior tranche;
20=Mortgage principal received each month;
1500=Notional value of swap transaction;
8.50%=Swap spread
Related Book For
Accounting Principles
ISBN: 978-0470533475
9th Edition
Authors: Jerry J. Weygandt, Paul D. Kimmel, Donald E. Kieso
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