As a result of the credit crunch, a small retail bank wants to better predict and model the likelihood that its larger commercial loans might default. It is developing an internal ratings-based approach to assess its commercial customers. Given this one-year transition matrix, what is the probability that a loan currently rated at B will default over a two-year period?

Rating at Beginning of Period	Rating at End of Period
	A	B	C	D
A	0.90	0.10	0.00	0.00
B	0.00	0.75	0.15	0.10
C	0.00	0.05	0.55	0.40