Credit rating agency/Addendum

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https://en.citizendium.org/wiki/index.php?title=Credit_rating_agency/Addendum&printable=yes
This addendum is a continuation of the article Credit rating agency.

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)

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