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FDIC Working Papers Series

Table 1
Comparison of Rating Calibrations with Standard and Poor抯
Historical Default Rates
Standard and Poor抯 Rating Historical One-Year Default Rates,
1981�99		 Oliver, Wyman & Company One-
Year Default Probability
AAA 0.00% 0.01%
AA+ 0 0.02
AA 0 0.03
AA- 0.03 0.04
A+ 0.02 0.05
A 0.05 0.07
A- 0.03 0.09
BBB+ 0.13 0.13
BBB 0.22 0.18
BBB- 0.29 0.31
BB+ 0.57 0.53
BB 0.89 0.93
BB- 1.14 1.57
B+ 2.66 2.64
B 8.46 4.46
B- 10.19 7.52
Sources: Historical one-year default rates, 1981�99, are from Brand and Bahar (2000), 15; Oliver, Wyman &
Company one-year default probabilities from FDIC (2000), 29

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

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