16. Which of the following statements is incorrect, given the following one-year rating transition matrix? From/To AAA AA A (%) AAA AA A BBB BB B CCC/C BBB BB B 87.44 0.60 0.05 0.02 0.04 0.00 0.07 0.20 0.28 0.08 0.00 0.31 0.39 CCC/ D C 0.00 0.00 0.02 0.01 0.03 0.04 0.19 0.29 0.94 1.20 4.23 5.71 28.83 7.37 0.09 0.00 0.46 86.65 7.78 0.58 0.11 2.05 86.96 5.50 0.16 0.21 3.85 84.13 0.77 0.08 0.33 5.27 75.73 7.36 5.21 72.95 1.31 9.74 46.83 0.06 0.06 0.43 4.39 A. BBB loans have a 4.08% chance of being upgraded in one year. B. BB loans have a 75.73% chance of staying at BB for one year. C. BBB loans have an 88.21% chance of being upgraded in one year. D. BB loans have a 5.72% chance of being upgraded in one year. Non- Rated 4.59 4.21 4.79 6.14 9.06 11.36 12.52