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Transition Matrices

 

Original Rating

Probability of Migrating to Rating by Year End (%)

AAA

AA

A

BBB

BB

B

CCC

Default

AAA

93.66

5.83

0.4

0.08

0.03

0

0

0

AA

0.66

91.72

6.94

0.49

0.06

0.09

0.02

0.01

A

0.07

2.25

91.76

5.19

0.49

0.2

0.01

0.04

BBB

0.03

0.25

4.83

89.26

4.44

0.81

0.16

0.22

BB

0.03

0.07

0.44

6.67

83.31

7.47

1.05

0.98

B

0

0.1

0.33

0.46

5.77

84.19

3.87

5.3

CCC

0.16

0

0.31

0.93

2

10.74

63.96

21.94

Default

0

0

0

0

0

0

0

100

 

  • One-year ratings migration probabilities based upon bond rating data from 1981-2000. Data is adjusted for rating withdrawals. Numbers in each row should sum to 100%. Due to round-off error, they may not do so exactly. Source: Standard & Poor's





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