Credit Unit Calculator

Calculate Credit Unit prices using Treasury yield curves and Z-spreads

Yield Curve Comparison

Treasury Curve

Treasury + Z-spread (Discount Rate)

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The gap between lines represents the300 bpscredit risk premium (Z-spread)

Z-Spread Input

Z-Spread (basis points)

bps

0 bps (AAA)300 bps (BBB)500+ bps (HY)

Quantity (Credit Units)

Each CU = $1,000 face value

Treasury Yields

Fallback Data

4.38%

4.21%

4.03%

3.95%

4.02%

10Y

4.32%

30Y

4.62%

Credit Unit Price

$70.51

per $1,000 face value

7.62%

Yield to Maturity

$705.06

Total (1 CU)

Yield Composition

30Y Treasury Rate4.62%

+ Z-Spread+300 bps

= Discount Rate (YTM)7.62%

Transaction Summary

Face Value$1,000.00

Purchase Price$705.06

Discount to Par$294.94

Annual Coupon$50.00 (5.00%)

Maturity30 years

How Z-Spread Pricing Works

- The Z-spread is a constant spread added to the Treasury curve at every maturity
- The red line shows the discount rate used to price the Credit Unit
- Higher Z-spread = higher yield = lower price (more credit risk compensation)
- Investment Grade (IG): typically 50-300 bps | High Yield (HY): typically 300-1000+ bps
- CU coupon is fixed at 5% annual ($25 per CU paid semi-annually)

Credit Event Accretion Calculator

Calculate the exact accreted value on any date for Credit Event terminations

Days from Trade Date

Enter number of days (0 = trade date, 10950 = 30 years)

Or Select Target Date

Termination Values at Day 0

Purchase Price (Buyer Maint)$705.06

Accreted Value$705.06

Gap (Accretion)$0.00

Seller Maintenance Required$25.00

Recovery Value (40%)$282.03

Credit Event Termination: If a credit event occurs on day 0, the buyer receives 40% of accreted value or $282.03.

Seller Maintenance Schedule

Shows how seller maintenance requirements grow over 30 years with auto-renewal

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Year	Accreted Value	Buyer Maint	Gap	Gap > $25?	Seller Maint	Total Escrow
0	$705.06	$705.06	$0.00	No	$25.00	$730.06
1	$708.86	$705.06	$3.80	No	$25.00	$730.06
2	$712.95	$705.06	$7.89	No	$25.00	$730.06
5	$727.23	$705.06	$22.17	No	$25.00	$730.06
10	$759.46	$705.06	$54.39	Yes	$79.39	$784.46
15	$806.29	$705.06	$101.23	Yes	$126.23	$831.29
20	$874.36	$705.06	$169.29	Yes	$194.29	$899.36
25	$973.29	$705.06	$268.23	Yes	$293.23	$998.29
30	$1000.00	$705.06	$294.94	Yes	$319.94	$1025.00

Seller Maintenance Formula

Gap = Accreted Value - Buyer Maintenance (purchase price)

IF Gap > $25 (semi-annual coupon):

Seller Maintenance = Gap + $25

ELSE:

Seller Maintenance = $25

The buyer's purchase price is locked in escrow. The seller only needs to fund the difference (gap) plus the next coupon payment. This ensures total escrow always covers accreted value + next coupon.