I'm trying to track the cash flows being exchanged in the CAT bond structure and am having trouble figuring out where the spread (paid by the insurer) goes. The diagram in the paper doesn't show the spread going anywhere outside of the SPR, yet I see the spread decreasing the LIBOR payment coming back from the Trust Account via the total return swap with the counterparty.
Thanks in advance!
Thanks in advance!
CAT Bond details
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