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FDIC Working Papers Series

Table 11
Comparison of Market Information
BIF Only
  Baseline EDFS from Deposit Ratings EDFs from KMV KMV S&P Ratings
Expected Loss (EL) $1,029,281 $1,130,759 $3,241,537 $1,135,890
Unexpected Loss (UL) $2,964,964 $3,469,460 $8,531,030 $3,178,776
Solvency ($30 Billion) 99.82% 99.71% 98.43% 99.80%
Solvency ($40 Billion) 99.91% 99.84% 99.04% 99.90%
A Rating Solvency $44,730,823 $52,669,028 $117,729,928 $48,847,790
A- Rating Solvency $40,281,094 $50,391,163 $106,984,102 $43,513,512
BBB+ Rating Solvency $33,966,695 $43,999,126 $93,874,997 $35,844,012
BBB Rating Solvency $30,126,141 $37,368,571 $84,026,021 $31,238,261
BIF Balance 12/31/2000 $29,863,000 $29,863,000 $29,863,000 $29,863,000
Mean of EDF 0.26% 0.26% 0.27% 0.26%
Standard Deviation of EDF 0.00022 0.00019 0.00095 0.00018
BIF and SAIF Merged
  Baseline EDFs from Deposit Ratings EDFs from KMV KMV S&P Ratings
Expected Loss (EL) $1,348,092 $1,422,982 $4,036,797 $1,478,630
Unexpected Loss (UL) $3,967,074 $4,216,838 $10,095,162 $4,229,332
Solvency ($30 Billion) 99.74% 99.66% 97.85% 99.71%
Solvency ($40 Billion) 99.85% 99.84% 98.66% 99.83%
A Rating Solvency $55,106,919 $57,845,132 $133,540,821.19 $57,571,691
A- Rating Solvency $50,532,935 $52,406,777 $127,289,519.36 $52,606,527
BBB+ Rating Solvency $42,725,025 $44,213,931 $111,200,218.98 $46,444,241
BBB Rating Solvency $35,584,250 $38,751,914 $99,452,835.69 $39,008,221
BIF and SAIF Balance 12/31/2000 $40,591,000 $40,591,000 $40,591,000 $40,591,000
Mean of EDF 0.26% 0.26% 0.27% 0.26%
Standard Deviation of EDF 0.00031 0.00032 0.00093 0.00019

Last Updated 02/15/2002 insurance-research@fdic.gov

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