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