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The buyer of a 2-year CDS pays 5000 euros every quarter to the seller of...

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Accounting

The buyer of a 2-year CDS pays 5000 euros every quarter to the seller of the swap.

The notional principal of the CDS is 1 million euros. The recovery Rate is 60%.

The CDS spread in basis points is:

What is the average PD (in dicimals) over 2 years:

Assume that 5-year CDS for the same reference entity has a CDS spread of 250 bps. What is the average PD (in decimals) between year 2 and 5.

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Exercise 6 3 points possible (graded) The buyer of a 2-year CDs pays 5000 euros every quarter to the the seller of the swap. The notional principal of the CDS is 1 million euros. The Recovery Rate 60%. Again: round off to the 4th decimal place. The CDS spread in basis points is What is the average PD (in decimals) over 2 years? Assume that a 5-year CDs for the same reference entity has a CDS spread of 250 bps. What is the average PD (in decimals) between year 2 and 5? 0,1 Exercise 6 3 points possible (graded) The buyer of a 2-year CDs pays 5000 euros every quarter to the the seller of the swap. The notional principal of the CDS is 1 million euros. The Recovery Rate 60%. Again: round off to the 4th decimal place. The CDS spread in basis points is What is the average PD (in decimals) over 2 years? Assume that a 5-year CDs for the same reference entity has a CDS spread of 250 bps. What is the average PD (in decimals) between year 2 and 5? 0,1

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