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A credit default swap requires a semiannual payment at the rate of 60 basis points per year. The principal is $300 million and the credit

A credit default swap requires a semiannual payment at the rate of 60 basis points per year.

The principal is $300 million and the credit default swap is settled in cash. A default occurs

after four years and two months, and the calculation agent estimates that the price of the

cheapest deliverable bond is 40% of its face value shortly after the default. List the cash

flows and their timing for the seller of the credit default swap.

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