Credit rating agency/Addendum: Difference between revisions
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imported>Nick Gardner (→Fitch) |
imported>Nick Gardner No edit summary |
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==Sovereign ratings and implied default probabilities== | ==Sovereign ratings and implied default probabilities== | ||
:([[basis point]]s) | :::(January 2002–June 2006 in [[basis point]]s) | ||
===Moody's=== | ===Moody's=== | ||
| Line 8: | Line 8: | ||
::::::{|class="wikitable" | ::::::{|class="wikitable" | ||
| | | | ||
|Credit rating | |||
!Sovereign | !Sovereign | ||
!Corporate | !Corporate | ||
|- | |- | ||
|- | |- | ||
!Investment grade | |||
|align="center"|Aaa-AA | |align="center"|Aaa-AA | ||
|align="center"|0 | |align="center"|0 | ||
| Line 28: | Line 28: | ||
|align="center"|40.6 | |align="center"|40.6 | ||
|- | |- | ||
!Speculative grade | |||
|align="center"|Ba | |align="center"|Ba | ||
|align="center"|64.0 | |align="center"|64.0 | ||
| Line 43: | Line 43: | ||
::::::{|class="wikitable" | ::::::{|class="wikitable" | ||
| | | | ||
|Credit rating | |||
!Sovereign | !Sovereign | ||
!Corporate | !Corporate | ||
|- | |- | ||
|- | |- | ||
!Investment grade | |||
|align="center"|AAA-AA | |align="center"|AAA-AA | ||
|align="center"|0 | |align="center"|0 | ||
| Line 63: | Line 63: | ||
|align="center"|41.7 | |align="center"|41.7 | ||
|- | |- | ||
!Speculative grade | |||
|align="center"|BB | |align="center"|BB | ||
|align="center"|111.9 | |align="center"|111.9 | ||
| Line 78: | Line 78: | ||
::::::{|class="wikitable" | ::::::{|class="wikitable" | ||
| | | | ||
|Credit rating | |||
!Sovereign | !Sovereign | ||
!Corporate | !Corporate | ||
|- | |- | ||
|- | |- | ||
!Investment grade | |||
|align="center"|AAA-AA | |align="center"|AAA-AA | ||
|align="center"|0 | |align="center"|0 | ||
| Line 98: | Line 98: | ||
|align="center"|39.6 | |align="center"|39.6 | ||
|- | |- | ||
!Speculative grade | |||
|align="center"|BB | |align="center"|BB | ||
|align="center"|92.8 | |align="center"|92.8 | ||
| Line 108: | Line 108: | ||
|align="center"|125.3 | |align="center"|125.3 | ||
|} | |} | ||
(Source: Bank for International Settlements Quarterly Review, March 2007) | |||
Revision as of 14:49, 22 February 2010
Sovereign ratings and implied default probabilities
- (January 2002–June 2006 in basis points)
Moody's
Credit rating Sovereign Corporate Investment grade Aaa-AA 0 0 A 5.4 6.1 Baa 48.8 40.6 Speculative grade Ba 64.0 139.1 B 123.5 280.5
Standard and Poor
Credit rating Sovereign Corporate Investment grade AAA-AA 0 0 A 4.5 9.4 BBB 45.6 41.7 Speculative grade BB 111.9 139.3 B 266.4 315.7
Fitch
Credit rating Sovereign Corporate Investment grade AAA-AA 0 0 A 13.2 12.0 BBB 58.8 39.6 Speculative grade BB 92.8 90.9 B 142 125.3
(Source: Bank for International Settlements Quarterly Review, March 2007)