First-to-Default Swap Premium Calculator

Price a first-to-default (FTD) credit swap on a basket. Premium equals the spread that equates PV of protection leg to fee leg. More correlated names yield a lower 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.
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How to Use

Enter the values for the scenario you are assessing. Price a first-to-default (FTD) credit swap on a basket. Premium equals the spread that equates PV of protection leg to fee leg. More correlated names yield a lower premium. Use the first-to-default premium result to inform your calculation.

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Frequently Asked Questions