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CDS (credit default swap) calculation scenario Notional balance: $2,000 million Senior tranche: $750 million Junior tranche: $150 million Monthly principal payments: $30 million Monthly charge

CDS (credit default swap) calculation scenario

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%

Calculate net cash flows to the buyer of the CDS for the first six months

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