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Exhibit 5: Cash Flows from a Hypothetical CDS on MBS Transaction Mortgage Pool Assumptions 0 Mortgage pool receives $5 in principal each month :- Writedowns
Exhibit 5: Cash Flows from a Hypothetical CDS on MBS Transaction Mortgage Pool Assumptions 0 Mortgage pool receives $5 in principal each month :- Writedowns of $10/month associated with earlier defaults will begin in six months MBS Assumptions :- MBS consists only of a senior security S and a junior security I a Face value of S = $300; face value of J = $50 Credit Default Swap Assumptions 0 One-year CDS with reference bond S o Original notional value of swap transaction = $1,000 0 Swap spread = 7%
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