A
AcadiFi
Credit Risk Measurement & ManagementMedium

Ashford Capital holds $25 million in protection through a 5-year credit default swap (CDS) referencing Vanguard Semiconductor bonds. The annual CDS premium is 185 bps paid quarterly. After 2 years, Vanguard experiences a credit event and the recovery rate is determined to be 32%. What is Ashford's net gain from the CDS position, ignoring accrued premium?