Source: bondsonline.com

Table 3.4 provides default spreads at a point in time, but default spreads not only vary across time but they can vary for bonds with the same rating but different maturities. From observation, the default spread for corporate bonds of a given ratings class seems to increase with the maturity of the bond. In Figure 3.i0 we present the default spreads estimated for an AAA, BBB and CCC rated bond for maturities ranging from i to i0 years in January 2004.

Figure 3.10: Default Spreads by Maturity

700 i

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