Mapping indebtedness values, F in $ | 100 | 99.5 | 99.0 | 98.5 | 98.0 | 97.5 | |
into borrowers’ credit-risk ratings | AAA | AA | A | BBB | BB | B | |
|
| Ratings at year-end |
|
| |||
Ratings at origination | AAA | 89.97 | 9.45 | 0.6 | 0.01 | 0.00 | 0.00 |
| AA | 0.00 | 88.76 | 10.81 | 0.42 | 0.01 | 0.00 |
| A | 0.00 | 0.12 | 92.42 | 7.19 | 0.26 | 0.01 |
| BBB | 0.00 | 0.00 | 0.99 | 95.15 | 3.50 | 0.24 |
| BB | 0.00 | 0.00 | 0.01 | 1.46 | 89.34 | 8.01 |
| B | 0.00 | 0.00 | 0.00 | 0.01 | 1.16 | 88.76 |