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The corporate bonds of ABC company are rated as A rating on the market, and a table of transitions probabilities to different ratings and market
The corporate bonds of ABC company are rated as A rating on the market, and a table of transitions probabilities to different ratings and market values is provided below. Ratings Transition probability Market Value $ AAA 0.19% 108.00 0.43% 107.00 A 91.00% 106.00 BBB 3.00% 105.00 BB 4.00% 100.00 B 1.20% 90.00 0.12% 80.00 Default 0.06% 50.00 What is should be the price of this ABC corporate bonds if considering the possible rating migration? Select one: O a. $106.03 O b. $105.48 O c. $104.26 O d. $103.18 O e. $102.02
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