Suppose That an Investor Has Purchased $250 Million of Protection

Suppose that an investor has purchased $250 million of protection on the iTraxx Europe which is an equally-weighted index composed of 125 European investment-grade names.If one of the names in the index were to default,the protection seller compensates the buyer for the loss-given-default on that name on a notional of _________________,the index continue to trade on _______________ names;and all subsequent premium payments are based on a notional of______________.

A) 1 million;125;250 million
B) 2 million;125;248 million
C) 2 million;124;250 milliion
D) 2 million;124;248 million

Correct Answer:

Verified

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