Long-term Rating Scales Comparison

The Basel Committee's consultative document The New Basel Capital Accord proposes the use of external credit assessments as the basis for risk weighting credit exposures under the standardised approach. For illustrative purposes, the consultative document used the rating notation used by Standard & Poor's. To assist banks participating in the Committee's Quantitative Impact Study, the following tables match credit ratings of Standard & Poor's with comparable ratings of Moody's and Fitch IBCA. For further information regarding the mapping of external credit ratings to risk weightings, please see The New Basel Capital Accord beginning at paragraph 23.

Agency R A T I N G S Standard & Poor's AAA AA+ AA AA- A+ A A- Moody's Aaa Aa1 Aa2 Aa3 A1 A2 A3 Fitch IBCA AAA AA+ AA AA- A+ A A-

Agency R A T I N G S Standard & Poor's BBB+ BBB BBB- BB+ BB BB- B+ B B- Moody's Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Fitch IBCA BBB+ BBB BBB- BB+ BB BB- B+ B B-

Agency R A T I N G S Standard & Poor's CCC+ CCC CCC- CC C D Moody's Caa1 Caa2 Caa3 Ca C   Fitch IBCA CCC+ CCC CCC- CC C D