Just wondered what the consensus was on this? It's true that this not a formal credit event and that depending on where the acquried debt resides, this may well be a CDS Succesion event. Any thoughts welcome!

Thanks! I get it; what I was doing when I bootstrapped was to solve the year 1 P(D) such that the two legs of the swap (as defined by JPM) equated. I'll have a play with some numbers in a spreadsheet and see what I find

<t>One thing I've never understood is the relationship between the probability of default/survival and the recovery rate. I've never much liked the JPM paper because it over complicates something rather simple that can be explained intuitively. Yet there P(D) as well as a MER paper I read are a func...

<t>One thing I've never understood is the relationship between the probability of default/survival and the recovery rate. I've never much liked the JPM paper because it over complicates something rather simple that can be explained intuitively. Yet there P(D) as well as a MER paper I read are a func...