An assessment of the credit worthiness of a borrower given by one of the Credit Rating agencies: S&P, Moody's, and Fitch.
Credit ratings express risk in relative order, giving broadly consistent indicators of relative vulnerability, rather than predictive indicators of actual default rates . Obligations that are highly-rated have lower credit risk than lower-rated obligations, but the individual ratings themselves are not intended to be predictive of a cardinal frequency of default or a percentage expected loss. Source: What Credit Ratings Mean by Fitch Ratings
We report the historical default rates and default loss rates observed in the high yield corporate bond market on our Statistics page.