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Bond rating AAA AA A+ A ABBB BB B+ B BCCC CC C D Source:

Prob of default (within 10 years) 0.01% 0.28% 0.40% 0.53% 1.41% 2.30% 12.20% 19.28% 26.36% 32.50% 50% 65% 80% 100%

Yield Spread (over LT Treasuries) 0.20% 0.50% 0.80% 1% 1.25% 1.50% 2% 2.50% 3.25% 4.25% 5% 6% 7.50% 10%

spreadsheets on Aswath Damodaran's website www.stern.nyu.edu/~adamodar/spreadsheets also used in Damodaran's text "Appled Corporate Fianance" published by Wiley Some of the numbers are also from Altman and Kishore, "The Default Experience of US Bonds," 1996 NYU working paper.