Well jimbojim, you pretentious nonce, I specifically mentioned that I obtained this from a case study, and that I am learning about CDS trades, and would appreciate forum help. It is not for my 'midterm exam'...I have graduated and whilst I do not want to blow my own trumpet, I am an Oxford Physics graduate dealing with Mathematics far more challenging than this, so please do not patronise. HookNSinker, as I've mentioned, I've directly quoted this from a case study in a finance book, and so cannot be blamed for lack of clarity. Nonetheless, it turns I got the answer before any of you anyway. Here is my solution... I believe the reason I intially struggled was because the book was wrong. The answer is in fact 17K. Given 13k is the cost of the roll down, we assume for the max cost - 13k incurred. We are then told the break-even is when the ratio is down by 8 points, so 13/8 = 1.625 per point. After all, the fix part is fixed and not affected by the ratio changes. So for a 20 point improvement, you get 1.625*20 = 32.5k. Take 15.5k off and you get 17k. The possible 1 k difference is due to the spread cost, which is the fixed part (2.5k, so 1k is above mid spread), I suspect. Goodbye and goodnight.