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Assume the following reference credit portfolio: Credit 1: $ 100,000 notional, post-default value $ 30000 Credit 2: $ 200,000 notional, post-default value $ 59056 Credit
Assume the following reference credit portfolio:
Credit 1: $ 100,000 notional, post-default value $ 30000
Credit 2: $ 200,000 notional, post-default value $ 59056
Credit 3: $ 250,000 notional, post-default value $ 72000
Credit 4: $ 260,000 notional, post-default value $ 78809
Given an $810,000 structure, if credits 1 and 4 default (in that order) in a standard basket swap, how much will an investor receive?
(No decimal place and do not input $ in the solution box)
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