Credit default swap calculation scenario Calculate net cash flows to the buyer of the CDS for the first six months Notional balance $2,000 million Senior tranche $750 million Junior tranche $150 million Monthly principal payments $30 million Monthly charge offs $60 million starting in Month 3 Swap ...

Credit default swap calculation scenario: Calculate net cash flows to the buyer of the CDS for the

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Credit default swap calculation scenario: Calculate net cash flows to the buyer of the CDS for the first six months

Notional balance: $2,000 million
Senior tranche: $750 million
Junior tranche: $150 million
Monthly principal payments: $30 million
Monthly charge offs: $60 million starting in Month 3
Swap annual rate: 5.5%

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Introduction To Corporate Finance

ISBN: 9781118300763

3rd Edition

Authors: Laurence Booth, Sean Cleary

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Posted Date: Sep 11, 2023 01:47 AM

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Introduction To Corporate Finance

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