Table V. Ratings assigned by the Big 3... | Emerald Publishing

Table V.

Ratings assigned by the Big 3 and used in the Reg-model

Big 3			Reg-model
Moody’s	S&P	Fitch	PD (default)	Bucket	Label
Aaa	AAA	AAA	0.0000-0.0066	1	Aaa
Aa1	Aa+	Aa+	0.0067-0.0084	2	Aa1
Aa2	Aa	AA	0.0085-0.0107	3	Aa2
Aa3	Aa−	AA−	0.0108-0.0136	4	Aa3
A1	A+	A+	0.0137-0.0172	5	A1
A2	A	A	0.0173-0.0219	6	A2
A3	A−	A−	0.0220-0.0278	7	A3
Baa1	BBB+	BBB+	0.0279-0.0353	8	Baa1
Baa2	BBB+	BBB+	0.0354-0.0448	9	Baa2
Baa3	BBB-	BBB-	0.0449-0.0569	10	Baa3
Ba1	BB+	BB+	0.0570-0.0722	11	Ba1
Ba2	BB	BB	0.0723-0.0917	12	Ba2
Ba3	Bb−	Bb−	0.0918-0.1164	13	Ba3
B1	B+	B+	0.1165-0.1479	14	B1
B2	B	B	0.1480-0.1878	15	B2
B3	B−	B−	0.1879-0.2384	16	B3
Caa1	CCC+	CCC	0.2385-0.3028	17	Caa1
Caa2	CCC	CCC	0.3029-0.3845	18	Caa2
Caa3	CCC−	CCC	0.3846-0.4883	19	Caa3
Ca	CC	CCC	0.4884-0.6201	20	Ca1
Ca	C	CCC	0.6202-0.7875	21	Ca2
C	D	DDD	0.7876-1.0000	22	D
		DD		23
		D		24

Big 3			Reg-model
Moody’s	S&P	Fitch	PD (default)	Bucket	Label
Aaa	AAA	AAA	0.0000-0.0066	1	Aaa
Aa1	Aa+	Aa+	0.0067-0.0084	2	Aa1
Aa2	Aa	AA	0.0085-0.0107	3	Aa2
Aa3	Aa−	AA−	0.0108-0.0136	4	Aa3
A1	A+	A+	0.0137-0.0172	5	A1
A2	A	A	0.0173-0.0219	6	A2
A3	A−	A−	0.0220-0.0278	7	A3
Baa1	BBB+	BBB+	0.0279-0.0353	8	Baa1
Baa2	BBB+	BBB+	0.0354-0.0448	9	Baa2
Baa3	BBB-	BBB-	0.0449-0.0569	10	Baa3
Ba1	BB+	BB+	0.0570-0.0722	11	Ba1
Ba2	BB	BB	0.0723-0.0917	12	Ba2
Ba3	Bb−	Bb−	0.0918-0.1164	13	Ba3
B1	B+	B+	0.1165-0.1479	14	B1
B2	B	B	0.1480-0.1878	15	B2
B3	B−	B−	0.1879-0.2384	16	B3
Caa1	CCC+	CCC	0.2385-0.3028	17	Caa1
Caa2	CCC	CCC	0.3029-0.3845	18	Caa2
Caa3	CCC−	CCC	0.3846-0.4883	19	Caa3
Ca	CC	CCC	0.4884-0.6201	20	Ca1
Ca	C	CCC	0.6202-0.7875	21	Ca2
C	D	DDD	0.7876-1.0000	22	D
		DD		23
		D		24