// multi-utility computation suite · offline · instant · precise
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fin.cds-spread-pricing Calculator
Calculates the CDS spread pricing and annual premium for a credit default swap from probability of default and loss given default. CDS spreads are the market's real-time assessment of corporate credit risk — they often move before credit rating changes.
Inputs
Prob Default Pct
Reference formula or conversion factor shown for context.
Recovery Rate Pct
Amount per unit of time or per unit quantity. Check the denominator before interpreting.
Maturity Years
Reference formula or conversion factor shown for context.
Notional
Reference formula or conversion factor shown for context.
Results
CDS spread (bps)
Reference formula or conversion factor shown for context.
annual premium ($)
The price paid for the option or insurance coverage. Option premium = intrinsic value + time value + volatility premium.
5yr total premium
The price paid for the option or insurance coverage. Option premium = intrinsic value + time value + volatility premium.
LGD (loss given default)
The decrease or degradation from the baseline.
expected loss/yr
The decrease or degradation from the baseline.
spread = PD × LGD × 10000
Reference formula or conversion factor shown for context.