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Business, 18.08.2021 03:30 bhenley

Assume the following reference credit portfolio: Credit 1: $10 million notional, postdefault price 40%
Credit 2: $10 million notional, postdefault price 30%
Credit 3: $10 million notional, postdefault price 50%

Required:
Given a $550,000 structure, if credits 2 and 3 default in a second-to-default basket (in that order), how much will an investor receive?

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