Mariano, I am not sure how the formula is derived, but it does not seem right to me. When recovery is 100%, it is effectively the case there is no default, but the adjustment will be infinitely large according to the formula. Should it it be multiply instead of divide?

I learned the concept of invoice spread recently. I understand it analytically. However, I would like to know who are the major players of this type of trade and its market size. Thanks.