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01-30-2008, 04:46 AM   #1
ngtridung

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Default Credit Rating to Credit Spread Conversion

hi everyone,

could someone help me to convert credit ratings (either or both S&P and Moodys rating) to credit spreads? (e.g. what is the typical spread for BBB bonds?)

the spread might change overtime so a time series of recent data would be great, otherwise the static version of the typical spread conversion table would also help.

thanks a lot,
TD.
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