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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 4
Rating Calibrations
Standard & Poor’s Credit
Rating
One-Year Default
Probability
Moody’s Credit Rating One-Year Default
Probability
AAA 0.01% Aaa 0.01%
AA+ 0.02 Aa1 0.02
AA 0.03 Aa2 0.03
AA- 0.04 Aa3 0.04
A+ 0.05 A1 0.05
A 0.07 A2 0.07
A- 0.09 A3 0.09
BBB+ 0.13 Baa1 0.13
BBB 0.18 Baa2 0.18
BBB- 0.31 Baa3 0.34
BB+ 0.53 Ba1 0.63
BB 0.93 Ba2 1.21
BB- 1.57 Ba3 2.25
B+ 2.64 B1 4.21
B 4.46 B2 7.86
B- 7.52 B3 12.95
Source: FDIC (2000), 29
Note: The one-year default probabilities reflect the methodology of Oliver, Wyman & Company

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

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