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During the 2007-2009 financial crisis, the recovery rate for the Washington Mutual senior debt was 43%. Assume that a CDS on the Washington Mutual senior
- During the 2007-2009 financial crisis, the recovery rate for the Washington Mutual senior debt was 43%. Assume that a CDS on the Washington Mutual senior debt had a $10M notional amount. How much should the CDS seller pay to the CDS buyer if the buyer chose cash settlement?
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