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For a credit default swap that settles on 12/31/16, the premium payments are made quarterly at 1.05% per annum, based on a 30/360 basis. The notional...

For a credit default swap that settles on 12/31/16, the premium payments are made quarterly at 1.05% per annum, based on a 30/360 basis. The notional amount of the swap is $25 million.


(a) What are the amounts of the quarterly premium payments on 12/31/16, 3/31/17, 6/30/17, and 9/30/17? 

(b) If a credit event occurs in April 2017, and the contract requires physical settlement, what transfer occurs as a result of the credit event?

(c) if a credit event occurs in April 2017, and the contract requires cash settlement, how is the payment determined?

(d) What is the amount of the premium payment after the occurrence of a credit event on a single name swap?

(e) How does an index CDS swap differ from a single name swap when a credit event occurs? 

(f) Given a recovery assumption of 40%, what is the implied default probability on the reference asset given the CDS pricing?


*any parts will help!*

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