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信用评级迁移矩阵(Rating Transition Matrix)显示在特定时间内(通常为一年),债务人从一个信用评级迁移到另一个评级的概率。
| From\To | AAA | AA | A | BBB | BB | B | CCC | D |
|---|---|---|---|---|---|---|---|---|
| AAA | 90.8% | 8.3% | 0.7% | 0.1% | 0.0% | 0.0% | 0.0% | 0.0% |
| AA | 0.7% | 90.6% | 7.8% | 0.6% | 0.1% | 0.1% | 0.0% | 0.0% |
| A | 0.1% | 2.3% | 91.0% | 5.4% | 0.7% | 0.3% | 0.0% | 0.1% |
| BBB | 0.0% | 0.3% | 5.0% | 86.9% | 5.3% | 1.2% | 0.2% | 0.3% |