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What is the probability that a A-rated borrower will get downgraded (but does n...
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What is the probability that a A-rated borrower will get downgraded (but does not default) in the next 12 months?
| Rating at year-end (percent) | ||||||||
| Initial rating | AAA | AA | A | BBB | BB | B | CCC | Default |
| AAA | 90.81 | 8.33 | 0.68 | 0.06 | 0.12 | 0.00 | 0.00 | 0.00 |
| AA | 0.70 | 90.65 | 7.79 | 0.64 | 0.06 | 0.14 | 0.02 | 0.00 |
| A | 0.09 | 2.27 | 91.05 | 5.52 | 0.74 | 0.26 | 0.01 | 0.06 |
| BBB | 0.02 | 0.33 | 5.95 | 86.93 | 5.30 | 1.17 | 0.12 | 0.18 |
| BB | 0.03 | 0.14 | 0.67 | 7.73 | 80.53 | 8.84 | 1.00 | 1.06 |
| B | 0.00 | 0.11 | 0.24 | 0.43 | 6.48 | 83.47 | 4.07 | 5.20 |
| CCC | 0.22 | 0.00 | 0.22 | 1.30 | 2.38 | 11.24 | 64.85 | 19.79 |
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