20

A portfolio manager purchased $4.5MM of credit default swap protection for International Co. with a maturity of 5 years. International Cos credit spread was 380 basis points when initially purchased but it widened to 520 basis points at the end of the first year. Give the rough calculation of the profit for the portfolio manager (ignoring the time value of money).

Review Later

$252,000

$170,000

$420,000

$555,000