Company | Rating | 1 Year Credit Spread (bp) | 3 Year Credit Spread (bp) | 5 Year Credit Spread (bp) | Volatility of σ (%) | Mean Reversion ? (%) |
1 | AAA | 0 | 7 | 28 | 32.1 | 3.29 |
2* | AA+ | 0 | 1 | 6 | 19.03 | 1.09 |
3 | AA | 0 | 2 | 11 | 26.98 | 0.1018 |
4* | AA | 0.2 | 7 | 18 | 5.31 | 10.3 |
5* | AA | 0.2 | 7 | 18 | 4.212 | 4.48 |
6* | AA | 0.4 | 12 | 29 | 7.153 | 0.0349 |
7* | AA | 0.2 | 6 | 15 | 3.31 | 1.2945 |
8 | AA− | 0 | 0 | 3 | 17.39 | 10.24 |
9 | AA− | 0 | 5 | 19 | 20.15 | 4.25 |
10 | A+ | 0 | 2 | 10 | 21.18 | 5.85 |
11 | A+ | 0.6 | 33 | 85 | 29.02 | 0.0205 |
12* | A+ | 0.4 | 7 | 17 | 3.13 | 4.61 |
13* | A+ | 0.7 | 15 | 36 | 7.33 | 1.5287 |
14* | A− | 0 | 8 | 21 | 4.13 | 0.0412 |
15 | A− | 0 | 6 | 24 | 23.6 | 3.77 |
16 | A− | 16 | 3 | 18 | 41.37 | 4.97 |
17* | BBB+ | 1.6 | 160 | 297 | 30.02 | 1.11 |
18* | BBB | 1.6 | 34 | 77 | 15.07 | 2.18 |
19* | BBB | 7.4 | 84 | 169 | 18 | 1.49 |
20* | BBB | 9.8 | 108 | 211 | 22.02 | 1.33 |