fitch_loss_tables - Probabilities of Default Time Periods...

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Unformatted text preview: Probabilities of Default Time Periods (years) Rating 1 2 3 4 5 6 7 8 9 CASH 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% AAA 0.00% 0.00% 0.01% 0.02% 0.03% 0.05% 0.08% 0.11% 0.15% AA+ 0.00% 0.01% 0.02% 0.05% 0.09% 0.15% 0.24% 0.34% 0.46% AA 0.01% 0.03% 0.06% 0.12% 0.20% 0.31% 0.43% 0.59% 0.76% AA- 0.01% 0.03% 0.08% 0.15% 0.25% 0.38% 0.55% 0.74% 0.96% A+ 0.03% 0.10% 0.21% 0.34% 0.50% 0.69% 0.89% 1.13% 1.38% A 0.03% 0.12% 0.23% 0.38% 0.56% 0.77% 1.00% 1.26% 1.55% A- 0.05% 0.16% 0.33% 0.54% 0.79% 1.08% 1.40% 1.77% 2.16% BBB+ 0.06% 0.21% 0.42% 0.69% 1.02% 1.39% 1.81% 2.28% 2.79% BBB 0.18% 0.46% 0.79% 1.17% 1.58% 2.02% 2.49% 2.98% 3.50% BBB- 0.49% 1.12% 1.82% 2.57% 3.36% 4.18% 5.03% 5.90% 6.79% BB+ 1.06% 2.13% 3.20% 4.28% 5.35% 6.43% 7.51% 8.60% 9.68% BB 1.79% 3.31% 4.75% 6.13% 7.48% 8.79% 10.09% 11.36% 12.62% BB- 3.68% 5.90% 7.77% 9.46% 11.01% 12.46% 13.84% 15.16% 16.43% B+ 6.47% 9.39% 11.68% 13.63% 15.37% 16.95% 18.42% 19.79% 21.09% B 8.62% 12.28% 15.11% 17.50% 19.62% 21.53% 23.30% 24.94% 26.49% B- 12.42% 16.94% 20.32% 23.11% 25.54% 27.71% 29.69% 31.52% 33.23% CCC+ 16.86% 22.36% 26.37% 29.65% 32.47% 34.98% 37.24% 39.33% 41.26% CCC 17.97% 24.79% 29.92% 34.20% 37.93% 41.28% 44.34% 47.17% 47.84% CCC- 24.17% 32.36% 38.38% 43.31% 47.58% 51.37% 54.81% 57.98% 60.93% CC 30.19% 39.84% 46.87% 52.59% 57.50% 61.85% 65.79% 69.40% 72.75% C 38.44% 49.42% 57.25% 63.54% 68.89% 73.60% 77.83% 81.69% 85.25% D 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 10 0.00% 0.19% 0.57% 0.89% 1.15% 1.65% 1.85% 2.44% 3.13% 3.74% 7.26% 10.18% 13.53% 18.46% 22.84% 27.67% 34.98% 43.36% 48.52% 62.76% 77.00% 95.00% 100.00% Recovery Rates Recovery Rates for Corporates Domicile Seniority CASH AAA AA+ Albania Sovereign 100.000% 24.000% 25.500% Albania Senior Secured 100.000% 24.000% 25.500% Albania Jr Secured 100.000% 16.000% 17.000% Albania Senior Unsecured (Non IG) 100.000% 12.000% 12.750% Albania Subordinate (Non IG) 100.000% 0.000% 0.000% Albania Senior Unsecured (IG) 100.000% 20.000% 21.250% Albania Subordinate (IG) 100.000% 12.000% 12.750% Argentina Sovereign 100.000% 24.000% 25.500% Argentina Senior Secured 100.000% 24.000% 25.500% Argentina Jr Secured 100.000% 16.000% 17.000% Argentina Senior Unsecured (Non IG) 100.000% 12.000% 12.750% Argentina Subordinate (Non IG) 100.000% 0.000% 0.000% Argentina Senior Unsecured (IG) 100.000% 20.000% 21.250% Argentina Subordinate (IG) 100.000% 12.000% 12.750% Asia Others Sovereign 100.000% 24.000% 25.500% Asia Others Senior Secured 100.000% 24.000% 25.500% Asia Others Jr Secured 100.000% 16.000% 17.000% Asia Others Senior Unsecured (Non IG) 100.000% 12.000% 12.750% Asia Others Subordinate (Non IG) 100.000% 0.000% 0.000% Asia Others Senior Unsecured (IG) 100.000% 20.000% 21.250% Asia Others Subordinate (IG) 100.000% 12.000% 12.750% Australia Sovereign 100.000% 24.000% 25.500% Australia Senior Secured 100.000% 60.000% 63.750% Australia Jr Secured 100.000% 40.000% 42.500% Australia...
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This note was uploaded on 10/29/2009 for the course FNC 501 taught by Professor Gore during the Spring '09 term at Bahcesehir University.

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fitch_loss_tables - Probabilities of Default Time Periods...

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