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