AR

Downgrade-by-One-Notch

Day

Downgrade from A+ to A

Downgrade from BBB to BBB−

Downgrade from B+ to B

−7

0.18%

−0.58%

*

−1.00%

−6

−0.89%

**

−0.74%

−1.23%

−5

0.23%

−0.67%

−3.21%

**

−4

−0.46%

−0.91%

**

−1.84%

**

−3

−0.68%

−0.64%

−1.38%

−2

0.00%

−0.28%

2.96%

*

−1

−0.99%

−1.92%

***

−2.30%

***

0

−2.67%

***

−0.28%

−8.69%

***

1

−0.35%

0.26%

−3.17%

***

2

−0.38%

−0.81%

**

2.54%

**

3

−0.85%

*

0.33%

4.54%

***

CAR

Downgrade-by-One-Notch

Day

Downgrade from A+ to A

Downgrade from BBB to BBB−

Downgrade from B+ to B

(−60, −1)

−2.19%

−8.97%

***

−19.52%

***

(−30, −1)

−3.73%

−7.91%

***

−13.37%

**

(−7, −1)

−2.62%

*

−5.74%

***

−8.00%

***

(0, 0)

−2.67%

***

−0.28%

−8.69%

***

(+1, +3)

−1.57%

**

−0.22%

3.91%

N.

10

23

12