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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%