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fin.credit-default-swap-spread Calculator
Calculates CDS spread in basis points from probability of default, loss given default, and risk-free rate. CDS spreads imply market-derived probability of default — a 100bps spread on a 5-year CDS implies approximately 1.6% annual default probability at 60% recovery.
Inputs
Default Probability 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.
Risk Free Rate Pct
Return on a theoretically safe investment like a government T-bill. The baseline return everything else is compared against. Enter as a decimal (e.g. 0.05 for 5%).
Results
CDS spread (bps)
Reference formula or conversion factor shown for context.
loss given default LGD
The decrease or degradation from the baseline.
expected loss (%)
The decrease or degradation from the baseline.
credit yield spread (%)
Reference formula or conversion factor shown for context.
spread ≈ PD × LGD / (1-PD)
Reference formula or conversion factor shown for context.
investment grade benchmark
Reference value for comparison — the industry standard, historical average, or target that this result is measured against.