How is CDS spread related to default probability?

Approximate: CDS spread = probability of default x (1 - recovery rate). For CDS spread = 200 bps and recovery = 40%: implied annual PD = 2% / (1 - 0.4) = 3.33%. Exact calculation uses survival probability curve.

What is the standard CDS maturity and coupon?

ISDA 2009: standard coupons are 100 bps or 500 bps. Upfront payment = (fair spread - standard coupon) x risky annuity factor. Most liquid CDS are 5-year senior unsecured reference obligations.

CDS Credit Default Swap Spread Calculator

Calculate CDS fair spread, mark-to-market value, and implied default probability from market CDS quotes. Convert between running spread (quarterly) and upfront premium.

Principal ($)

Annual Rate (%)

Years

Compounding / Year

$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How It Works

Calculate CDS fair spread, mark-to-market value, and implied default probability from market CDS quotes. Convert between running spread (quarterly) and upfront premium

Each component has a specific meaning:

Market CDS quotes — The market cds quotes recorded for the scenario being assessed.

Note: Interpret the cds spread result against the thresholds and context described above.

How to Use

Enter the market CDS quotes for the scenario you are assessing. Calculate CDS fair spread, mark-to-market value, and implied default probability from market CDS quotes. Convert between running spread (quarterly) and upfront premium. Use the cds spread result to inform your calculation.

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