Coupon

PD 20.00%
PS 80.00%
RV 100%
RFR 5%
FV $ 100.00
Issue Price (% of par) 100%
Issue Price in USD $ 100.00

Coupon 5.00%
Spread over RFR 0.00%

Risk-neutral pricing means that coupon

is a function only of expected loss
 CDS Implied PD
PD1 6.00%
SP1 94.00%
PD2 7.41%
SP2 92.59%
RV 40% CDS1
LGD 60% CDS2
RFR1 5% Target
DF1 0.9524
RFR2 5%
DF2 0.9070
First Term on LHS 0.0343
Second Term on LHS 0.0379
First Term on RHS 0.0023
Second Term on RHS 0.0358
Third Term on RHS 0.0025
Last Term on RHS 0.0316
3.60%
4.00%
0.0000
 General
Tenor 0 1 2 3 4 5
Spread 7.00% 7.25% 7.50% 7.75% 8.00%
RFR 5% 5% 5% 5% 5%
DF 95.24% 90.70% 86.38% 82.27% 78.35%
PD 14.00% 15.11% 16.37% 17.85% 19.65%
1st Sigma 1.7324 2.3631 2.8653 3.2583
2nd Sigma 0.1333 0.2512 0.3545 0.4441
SP 1 86.00% 73.01% 61.05% 50.15% 40.30%

RV 50%
LGD 50%
eneral
6 7 8 9 10
8.25% 8.50% 8.75% 9.00% 9.25%
5% 5% 5% 5% 5%
74.62% 71.07% 67.68% 64.46% 61.39%
21.92% 24.96% 29.33% 36.33% 49.54%
3.5590 3.7826 3.9425 4.0500 4.1153
0.5213 0.5872 0.6431 0.6899 0.7290
31.47% 23.61% 16.69% 10.63% 5.36%
 4-yr CDS Revaluation
Tenor 0 1 2 3 4 10
Spread 2.75% 2.75% 2.75% 2.75% 2.75%
RFR 5% 5% 5% 5% 5%
DF 95.24% 90.70% 86.38% 82.27% 61.39%
PD 4.58% 4.58% 4.58% 4.58% 4.58%
1st Sigma 1.8178 2.6043 3.3190 6.4277
2nd Sigma 0.0437 0.0833 0.1194 0.2762
SP 1 95.42% 91.04% 86.87% 82.89% 62.55%
SPi-1 * DFi 95.24% 86.55% 78.65% 71.47% 40.25%

RV 40%
LGD 60%

MTM 2.4892%

"Riskless" MTM 2.6595%