overview

Calculate the default adjusted bond expected return using our below free to use web app. The expected return differs from the Yield to Maturity (YTM) by taking into account both the bond’s probability of future default and the recovery rate, the percentage of its principal that holders can expect to recover in the case of default. The calculator also takes into account the transition of the issuer from one state of creditworthiness to another. It assumes that at default the payoff would be the recovery percentage of face value and interest and after default the payoff would be zero.

Simply add the calculation inputs in the yellow cells to generate the results in the light blue cells and an updated chart showing the sensitivity of the recovery rate on the expected return. Please note that the none of the information will be saved once the webpage is closed, this data also cannot be retrieved. If you would like to save a copy of the output please print or take a screen shot of the webpage before closing. 

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Whilst every effort has been made to ensure the accuracy of the information and tools contained in all our web pages, we do not accept any liability for any direct, indirect, incidental or consequential losses of any kind arising out of or in connection with the use of the tools and information derived from this website. The tools and information in all our web pages are only meant as a guide, please use at your own risk and always seek professional advice before making any decisions. For full terms and conditions please click here

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