credit support value mg paperco find spreadsheet rough calculation value credit support mg paperco approach follows 1 assume contracts modelled financial swaps 2 spread notional trading volumes estimated swap tenors 3 calculate value defaulting period swap default option using black formula 4 treat value default options risky cash flows treat value like would annuity stream discounting back stream cash flows original risky rate risk reduced rate find value credit enhancement difference two npv please give comments especially makes sense stinson