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Federal Deposit
Insurance Corporation

Each depositor insured to at least $250,000 per insured bank



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FDIC Working Papers Series

Table 2
Comparison of Rating Calibrations with Moody’s Historical Default Rates
Moody’s Rating Historical One-Year Default Rates,
1983–1999
Oliver, Wyman & Company One-
Year Default Probability
Aaa 0.00% 0.01%
Aa1 0.00 0.02
Aa2 0.00 0.03
Aa3 0.07 0.04
A1 0.00 0.05
A2 0.00 0.07
A3 0.00 0.09
Baa1 0.04 0.13
Baa2 0.07 0.18
Baa3 0.31 0.34
Ba1 0.62 0.63
Ba2 0.53 1.21
Ba3 2.52 2.25
B1 3.46 4.21
B2 6.88 7.86
B3 12.23 12.95
"Sources: Historical one-year default rates, 1983-1999, are from Keenan et al (2000), 27; Oliver, Wyman & Company one-year default probabilities from FDIC (2000), 29"

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

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