Quarterly payment made by audrey before the bankruptcy

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XYZ Company files for bankruptcy, triggering payments on various CDS contracts written on its obligations. It has two series of senior unsecured bonds outstanding: Bond A trades at 50% of par, and Bond B trades at 30% of par. The CDS protection on bond A was negotiated at 200 bps credit spread, and the one on bond B at 150 bps. Audrey owns $5,000,000 of Bond A and owns $5,000,000 of CDS protection. Brendan owns $5,000,000 of Bond B and owns $5,000,000 of CDS protection.

What was the amount of the quarterly payment made by Audrey before the bankruptcy?

Reference no: EM133305938

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