Table 4 CDS premia

From: A simple and precise method for pricing convertible bond with credit risk

Name Company X Company Y
6-month CDS spread 0.00324 0.01036
1-year CDS spread 0.00404 0.01168
2-year CDS spread 0.00612 0.01554
3-year CDS spread 0.00825 0.01924
4-year CDS spread 0.01027 0.02272
5-year CDS spread 0.01216 0.02586
7-year CDS spread 0.01388 0.02851
10-year CDS spread 0.01514 0.03003
15-year CDS spread 0.01544 0.03064
20-year CDS spread 0.01559 0.03101
  1. Note: This table displays the closing CDS premia as of 10 September 2012.