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Credit default swap calculation scenario: Calculate net cash flows to the buyer of the CDS for the first six months Notional balance: $2,000 million Senior
Credit default swap calculation scenario: Calculate net cash flows to the buyer of the CDS for the first six months
- 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%
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Authors: R. Manos , J. Gueyie, J. Yaron
1st Edition
