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The corporate bonds of ABC company are rated as A rating on the market, and a ta...
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The corporate bonds of ABC company are rated as A rating on the market, and a table of transitions probabilities to different ratings and market values is provided below.
Ratings | Transition probability | Market Value $ |
AAA | 1.25% | 112.00 |
AA | 1.70% | 110.00 |
A | 95.00% | 106.00 |
BBB | 1.00% | 105.00 |
BB | 0.50% | 100.00 |
B | 0.50% | 90.00 |
C | 0.02% | 80.00 |
Default | 0.03% | 50.00 |
What is should be the price of this ABC corporate bonds if considering the possible rating migration?
100%
0%
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