Credit Unit Calculator
Calculate Credit Unit prices using Treasury yield curves and Z-spreads
Yield Curve Comparison
Treasury Curve
Treasury + Z-spread (Discount Rate)
Loading chart...
The gap between lines represents the300 bpscredit risk premium (Z-spread)
Z-Spread Input
bps
0 bps (AAA)300 bps (BBB)500+ bps (HY)
Each CU = $1,000 face value
Treasury Yields
Fallback Data3M
4.38%
6M
4.21%
1Y
4.03%
2Y
3.95%
5Y
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)