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Corporate Bond Credit Spread To Default Probability Ratios, June 5, 2014

|Includes: Vanguard Total Bond Market ETF (BND), BOND, LQD


The graph shows the credit spread to default probability ratio on all corporate bond trades in the U.S. market which met the following conditions:

Maturity: 1 year or more

Trade volume: $5 million or more

Seniority: Senior debt

Callability: Non-call (except for "make whole" calls)

The credit spread is calculated by comparing the trade-weighted average yield to the matched maturity U.S. Treasury rate supplied by the U.S. Department of the Treasury to the Federal Reserve H15 statistical release. Calculations are by Kamakura Risk Information Services using data from TRACE. For more information please contact

Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.