In solution to question 28.16, under the default scenario it says if Bond B does default then C will receive from A a net payment on default based on the face value of bond b less the recovery. How does this make sense, A wants credit risk protect on bond B, so it goes out to buy TRoRS, and when bond B default, it needs to pay the protection seller more money???
Good spot - looks like we have C and A mixed up in the final line! If Bond B defaults then A will pay C the recovery rate R in return for C paying A the par value 100, so a net payment of the loss in value (100-R) from Bank C to A. I will double check and sort out a correction. Thanks.
