Why do CDS trade on upfront plus running coupon?

Post-2009 Big Bang, CDS standardized to fixed coupons (100bp IG, 500bp HY) with upfront payments to equate to the fair spread. This reduces counterparty risk and facilitates central clearing.

How is protection leg PV computed?

PV(protection) = (1-R) * sum_{i=1}^{n} (Q(t_{i-1}) - Q(t_i)) * D(t_i), where Q is survival probability, D is discount factor, and R is recovery rate (typically 40%).

Single-Name CDS Upfront Payment Calculator

Convert quoted CDS spread to upfront payment using ISDA standard model. Running coupon is fixed at 100bp or 500bp; upfront = PV(protection leg) - PV(fee leg with coupon).

Use the full interactive calculator below, or

Related Calculators

CDS Basis Spread

Finance Ultra-depth

CDX Roll Premium

Finance Ultra-depth

KMV EDF

Finance Ultra-depth

Single-Name CDS Upfront Payment Calculator

Related Calculators

Frequently Asked Questions

Why do CDS trade on upfront plus running coupon?

How is protection leg PV computed?