There is an important discussion in the literature on the relationship between default risk premiums and term to maturity. The aim of this paper is to analy-ze the corporate fixed-income assets in the organized Spanish markets and olher related issues. We find that: (1) in general, agency rating supplies rele-vant information on the magnitude of corporate bond yield spreads; (2) there is a negative relationship between yield spreads and term to maturity; (3) this relationship may be caused by the loss of liquidity of fixed-income assets when approaching maturity.

Keywords: Spanish fixed-income assets, default risk, yield spread, time to maturity, liquidity.