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Table 1 Twelve Month LIBOR Rate and CDS spread of different ratings (from May 1, 2009 to April 30, 2014)

From: Credit contingent interest rate swap pricing

 

LIBOR

CDS Spread

Date

12 Month

AAA

AA

A

BBB

BB

B

20140430

0.5490%

0.0938%

0.1670%

0.3881%

0.5722%

1.7952%

4.1154%

20140429

0.5490%

0.1105%

0.1679%

0.3985%

0.5913%

1.7995%

4.1502%

20140428

0.5495%

0.1113%

0.1685%

0.3992%

0.5894%

1.9206%

4.2556%

20140425

0.5495%

0.1113%

0.1673%

0.3826%

0.5697%

1.8139%

4.2349%

20140424

0.5495%

0.0968%

0.1676%

0.3807%

0.5806%

1.5016%

4.2173%

20140423

0.5483%

0.1111%

0.1686%

0.4037%

0.5774%

1.7221%

4.3761%

…

…

…

…

…

…

…

…

20090507

1.7813%

0.3075%

0.9621%

1.6332%

3.4747%

8.4460%

28.0827%

20090506

1.8200%

0.3599%

1.1833%

1.8355%

3.6819%

8.8693%

26.2862%

20090505

1.8589%

0.3695%

1.1359%

1.8929%

3.8222%

9.1412%

26.5660%

20090504

1.8644%

0.4343%

1.2053%

2.0017%

3.8649%

9.3918%

26.4036%

20090501

1.8644%

0.4366%

1.1579%

2.0539%

3.9778%

8.8810%

26.9790%

variance

0.0007%

0.0001%

0.0005%

0.0007%

0.0032%

0.0168%

0.2053%

mean

0.909%

0.2476%

0.5264%

0.7041%

1.0387%

2.7020%

7.4352%