What is the projected default risk for different bond ratings?

Question

Does anyone know where there's a table that shows the expected default risk given a particular rating by the different ratings agencies?

Just how much riskier is AA than AAA or BB than BBB?

Thanks!

Answer 1

AAA: almost zero default probability

AA: very low probability (less than 0.1%)

A: low probability of default (about 0.15%)

BBB: low/medium probability of default (lowest investment grade) (about 0.3%)

BB: medium probability of default (about 1.2%)

B:  high probability of default (about 3.5%)

C: very high, about 13% probability of default.

Answer 2

Going from AAA to AA is almost double the risk.  BB sounds like a pretty good grade from your schoolteacher.   In bonds it's a nightmare.

Answer 3

I don't know where this (default rate) would be either.  But with all the investment books out there, must be in one of them.  

I do remember seeing that the expected default rate on BBB (investment grade) bonds was 5%.

Answer 4

There is a table here that shows the percentage of bonds downgraded from one rating to another, on 5-year corporate bonds, and the default rates on them from 1970-2001

And a paper that has a table comparing ratings and default rates.