Standard CDS Examples - ISDA CDS Standard Model

Standard CDS Examples - ISDA CDS Standard Model

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3 Example: Suppose the CDS from Table 1 is quoted at 2 points upfront. This means: Buyer pays clean price = 2% × $36mm notional = $720k Seller pays accrued = (# of riskless coupon days = 61)/360 × $36mm notional × 100bp rate = $61k

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