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A review of ratings definitions published by Moodys and Standard and Poors reveals quite subjective descriptions. Is anyone aware of the existence of hard data describing default rates as a function of rating at the time of issue? Thank you.

Regards,
FMO
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Moody's puts out a report each year on corporate bond default and recovery rates.

Lots of good data on default rates, for example, default rates by industry, default rates by rating category at the time of default, etc. Unfortunately, I see nothing there that answers your question concerning default rates by rating category at the time of issue. Still, the article makes for interesting reading.

Here's a summary of Moody's February 2001 report. (It includes a link to download the complete report.) -
http://www.defaultrisk.com/pp_other_16.htm

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Hi,

This issue was addressed in post 2416, on this board.

Dan
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What would also be an interesting study is if the agencies' ratings drive the market price/yield, or if the price/yield anticipates changes to the ratings.

How much % does a bond typically drop in price from the time it enters a category to the time its rating is cut?
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