Hi Karla.
I was reviewing the answers to the IDSCDR2 Inc assignment. I cannot find where you...

Question

Hi Karla.
I was reviewing the answers to the IDSCDR2 Inc assignment. I cannot find where you address, 
"For the sake of illustration, consider a situation where RestLife holds a $120 MM face value position with an IR DV01 of 73,828.09 and SPRD DV01 of 95, XXXXXXXXXXWhat position in an IRS and a CDS should be held if the IR DV01 and SPRD DV01 of $10 MM notional principal positions are as follows?"
Could you please help?
Thank You

Robert · Accepted Answer

For the sake of illustration, consider a situation where RestLife holds a $120 MM face value 
position with an IR DV01 of 73,828.09 and SPRD DV01 of 95,908.09. What position in an IRS 
and a CDS should be held if the IR DV01 and SPRD DV01 of $10 MM notional principal positions 
are as follows?

Hi Karla. I was reviewing the answers to the IDSCDR2 Inc assignment. I cannot find where you address, "For the sake of illustration, consider a situation where RestLife holds a $120 MM face value...

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