Stats › Waardering › Credit spread puzzle
Expected default losses explain almost none of an AAA spread and most of a B spread
| Rating, 3 to 5 years | Spread | Expected default loss | Residual |
|---|---|---|---|
| AAA | 63.86bp | 0.18bp | 63.68bp |
| AA | 71.22bp | 1.44bp | 69.78bp |
| A | 102.91bp | 2.78bp | 100.13bp |
| BBB | 170.89bp | 20.12bp | 150.77bp |
| BB | 364.55bp | 126.74bp | 237.81bp |
| B | 691.81bp | 400.52bp | 291.29bp |
Average option adjusted spreads and expected default losses in basis points, US corporate bond indices, January 1997 to August 2003. The residual column is the arithmetic difference, and the source states the AAA and B residuals directly as 64 and 291 basis points. These are sample averages, not regression estimates, and no significance tests are reported.
Expected default loss explains about one tenth of one percent of the AAA one to three year spread, about 12% of the BBB three to five year spread and about 58% of the B spread. The residual is compensation for something other than defaults.
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