Sheet1
Notional $10,000,000
Risk-free Def Prob Def Prob Survival Premium Protection
Disc Fact (from today) (cumulative) Prob RPV01 Leg Leg
Recovery 0.4 1 0.990099 0.016393 0.016393 0.983607 0.973868 0.973868 0.009739 0.0100000037
2 0.980296 0.016125 0.032518 0.967482 0.948419 0.948419 0.009484 0.0100000037
Cond Def Prob 0.0163934485 3 0.970590 0.015860 0.048379 0.951621 0.923634 0.923634 0.009236 0.0100000037
Risk-free 0.01 4 0.960980 0.015600 0.063979 0.936021 0.899498 0.899498 0.008995 0.0100000037
5 0.951466 0.015345 0.079323 0.920677 0.875992 0.875992 0.008760 0.0100000037
RPV01 4.621411 PV Premium 4.621411
PV Protection 0.046214
Breakeven Spread (bp) 100.00
Spread 100.00
Coupon 100
Upfront $0 (received by protection seller)
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