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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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