Zoho Sheet - 6.e.1 default intensity (4 sheets)


	Cumulative Probability of Default (Cumulative PD)

Default
Intensity	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15
0.10%	0.10%	0.20%	0.30%	0.40%	0.50%	0.60%	0.70%	0.80%	0.90%	1.00%	1.09%	1.19%	1.29%	1.39%	1.49%
1.00%	1.00%	1.98%	2.96%	3.92%	4.88%	5.82%	6.76%	7.69%	8.61%	9.52%	10.42%	11.31%	12.19%	13.06%	13.93%
2.50%	2.47%	4.88%	7.23%	9.52%	11.75%	13.93%	16.05%	18.13%	20.15%	22.12%	24.04%	25.92%	27.75%	29.53%	31.27%
5.00%	4.88%	9.52%	13.93%	18.13%	22.12%	25.92%	29.53%	32.97%	36.24%	39.35%	42.31%	45.12%	47.80%	50.34%	52.76%
10.00%	9.52%	18.13%	25.92%	32.97%	39.35%	45.12%	50.34%	55.07%	59.34%	63.21%	66.71%	69.88%	72.75%	75.34%	77.69%




	Avg. CUMULATIVE Default Rates
	1	2	3	4	5
Aaa	0.000%	0.000%	0.000%	0.026%	0.099%
Aa	0.008%	0.019%	0.042%	0.106%	0.177%
A	0.021%	0.095%	0.220%	0.344%	0.472%
Baa	0.181%	0.506%	0.930%	1.434%	1.938%
Ba	1.205%	3.219%	5.568%	7.958%	10.215%
B	5.236%	11.296%	17.043%	22.054%	26.794%
Caa	19.476%	30.494%	39.717%	46.904%	52.622%

	UNCONDITIONAL Default Probability
		2	3	4	5
Aaa		0.000%	0.000%	0.026%	0.073%
Aa		0.011%	0.023%	0.064%	0.071%
A		0.074%	0.125%	0.124%	0.128%
Baa		0.325%	0.424%	0.504%	0.504%
Ba		2.014%	2.349%	2.390%	2.257%
B		6.060%	5.747%	5.011%	4.740%
Caa		11.018%	9.223%	7.187%	5.718%

	CONDITIONAL Default Probability
		2	3	4	5
Aaa		0.00%	0.00%	0.03%	0.07%
Aa		0.01%	0.02%	0.06%	0.07%
A		0.07%	0.13%	0.12%	0.13%
Baa		0.33%	0.43%	0.51%	0.51%
Ba		2.04%	2.43%	2.53%	2.45%
B		6.39%	6.48%	6.04%	6.08%
Caa		13.68%	13.27%	11.92%	10.77%

6.e.1 default intensity (4 sheets)_v1