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FDIC Working Papers Series

Table 8
Comparison of Expected Default Frequencies
BIF Only
  Baseline Historical EDFs Logit EDFs Only S&P and Logit EDFs
Expected Loss (EL) $1,029,281 $1,639,147 $338,418 $347,866
Unexpected Loss (UL) $2,964,964 $5,130,944 $2,317,682 $2,130,876
Solvency ($30 Billion) 99.82% 99.44% 99.87% 99.91%
Solvency ($40 Billion) 99.91% 99.67% 99.92% 99.95%
A Rating Solvency $44,730,823 $76,840,452 $41,828,549 $35,811,218
A- Rating Solvency $40,281,094 $71,624,047 $36,347,644 $30,155,487
BBB+ Rating Solvency $33,966,695 $61,482,048 $29,501,005 $25,852,732
BBB Rating Solvency $30,126,141 $52,226,188 $25,262,962 $20,920,374
BIF Balance 12/31/2000 $29,863,000 $29,863,000 $29,863,000 $29,863,000
Mean of EDF 0.26% 0.26% 0.06% 0.06%
Standard Deviation of EDF 0.00022 n.a. 0.000033 0.000033
BIF and SAIF Merged
  Baseline Historical EDFs Logit EDFs Only S&P and Logit EDFs
Expected Loss (EL) $1,348,092 $2,033,287 $484,328 $527,947
Unexpected Loss (UL) $3,967,074 $6,187,109 $3,214,885 $3,021,281
Solvency ($30 Billion) 99.74% 99.25% 99.82% 99.85%
Solvency ($40 Billion) 99.85% 99.56% 99.88% 99.91%
A Rating Solvency $55,106,919 $92,763,008 $51,669,367 $43,733,125
A- Rating Solvency $50,532,935 $83,345,074 $46,162,110 $38,577,392
BBB+ Rating Solvency $42,725,025 $71,136,979 $36,902,057 $32,917,347
BBB Rating Solvency $35,584,250 $60,994,320 $29,650,221 $26,548,098
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% 0.07% 0.07%
Standard Deviation of EDF 0.00031 n.a. 0.000125 0.000125

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

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