Savvysoft, the premier provider of OTC derivatives analytics, is pleased to present market implied default probabilities for a variety of industries and credit qualities.
Market Implied Default Probabilities
Updated Wednesday, July 23, 2008 08:31 AM
AAA BANK Note: Default probabilities are calculated using recovery rates from 0 to .9. A recovery rate of .4 says the bond will trade at 40% of par in the event of a default.
Recovery Rate: 0
(For recovery rates greater than 0, please scroll down) |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 2.62 | -0.03 |
| 2 | 2.61 | 0.03 |
| 3 | 2.52 | 0.06 |
| 4 | 2.43 | 0.08 |
| 5 | 2.34 | 0.09 |
| 6 | 2.20 | 0.11 |
| 7 | 2.08 | 0.12 |
| 8 | 1.96 | 0.14 |
| 9 | 1.83 | 0.15 |
| 10 | 1.69 | 0.16 |
| 11 | 1.44 | 0.17 |
| 12 | 1.27 | 0.19 |
| 13 | 1.10 | 0.20 |
| 14 | 0.92 | 0.21 |
| 15 | 0.74 | 0.22 |
| 16 | 0.55 | 0.23 |
| 17 | 0.34 | 0.24 |
| 18 | 0.13 | 0.25 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .1 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 2.91 | -0.03 |
| 2 | 2.90 | 0.03 |
| 3 | 2.80 | 0.06 |
| 4 | 2.70 | 0.08 |
| 5 | 2.59 | 0.10 |
| 6 | 2.44 | 0.12 |
| 7 | 2.31 | 0.14 |
| 8 | 2.18 | 0.15 |
| 9 | 2.03 | 0.17 |
| 10 | 1.88 | 0.18 |
| 11 | 1.60 | 0.19 |
| 12 | 1.42 | 0.21 |
| 13 | 1.23 | 0.22 |
| 14 | 1.03 | 0.23 |
| 15 | 0.82 | 0.24 |
| 16 | 0.61 | 0.26 |
| 17 | 0.38 | 0.27 |
| 18 | 0.15 | 0.28 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .2 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 3.28 | -0.03 |
| 2 | 3.26 | 0.04 |
| 3 | 3.16 | 0.07 |
| 4 | 3.04 | 0.10 |
| 5 | 2.92 | 0.12 |
| 6 | 2.75 | 0.13 |
| 7 | 2.60 | 0.15 |
| 8 | 2.45 | 0.17 |
| 9 | 2.29 | 0.19 |
| 10 | 2.12 | 0.20 |
| 11 | 1.79 | 0.22 |
| 12 | 1.59 | 0.23 |
| 13 | 1.38 | 0.25 |
| 14 | 1.15 | 0.26 |
| 15 | 0.92 | 0.27 |
| 16 | 0.68 | 0.29 |
| 17 | 0.43 | 0.30 |
| 18 | 0.17 | 0.31 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .3 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 3.75 | -0.04 |
| 2 | 3.73 | 0.04 |
| 3 | 3.61 | 0.08 |
| 4 | 3.48 | 0.11 |
| 5 | 3.34 | 0.13 |
| 6 | 3.14 | 0.15 |
| 7 | 2.97 | 0.17 |
| 8 | 2.80 | 0.19 |
| 9 | 2.61 | 0.22 |
| 10 | 2.42 | 0.23 |
| 11 | 2.05 | 0.25 |
| 12 | 1.82 | 0.27 |
| 13 | 1.58 | 0.28 |
| 14 | 1.32 | 0.30 |
| 15 | 1.05 | 0.31 |
| 16 | 0.78 | 0.33 |
| 17 | 0.49 | 0.35 |
| 18 | 0.19 | 0.36 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .4 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 4.37 | -0.05 |
| 2 | 4.35 | 0.05 |
| 3 | 4.21 | 0.09 |
| 4 | 4.05 | 0.13 |
| 5 | 3.89 | 0.16 |
| 6 | 3.67 | 0.18 |
| 7 | 3.47 | 0.20 |
| 8 | 3.26 | 0.23 |
| 9 | 3.05 | 0.25 |
| 10 | 2.82 | 0.27 |
| 11 | 2.39 | 0.29 |
| 12 | 2.12 | 0.31 |
| 13 | 1.84 | 0.33 |
| 14 | 1.54 | 0.35 |
| 15 | 1.23 | 0.37 |
| 16 | 0.91 | 0.39 |
| 17 | 0.57 | 0.40 |
| 18 | 0.22 | 0.42 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .5 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 5.24 | -0.06 |
| 2 | 5.22 | 0.06 |
| 3 | 5.05 | 0.11 |
| 4 | 4.87 | 0.15 |
| 5 | 4.67 | 0.19 |
| 6 | 4.40 | 0.22 |
| 7 | 4.16 | 0.24 |
| 8 | 3.92 | 0.27 |
| 9 | 3.66 | 0.30 |
| 10 | 3.38 | 0.33 |
| 11 | 2.87 | 0.35 |
| 12 | 2.55 | 0.37 |
| 13 | 2.21 | 0.40 |
| 14 | 1.85 | 0.42 |
| 15 | 1.47 | 0.44 |
| 16 | 1.09 | 0.46 |
| 17 | 0.69 | 0.48 |
| 18 | 0.27 | 0.50 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .6 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 6.55 | -0.07 |
| 2 | 6.52 | 0.08 |
| 3 | 6.31 | 0.14 |
| 4 | 6.08 | 0.19 |
| 5 | 5.84 | 0.24 |
| 6 | 5.50 | 0.27 |
| 7 | 5.21 | 0.30 |
| 8 | 4.90 | 0.34 |
| 9 | 4.57 | 0.38 |
| 10 | 4.23 | 0.41 |
| 11 | 3.59 | 0.44 |
| 12 | 3.19 | 0.47 |
| 13 | 2.76 | 0.49 |
| 14 | 2.31 | 0.52 |
| 15 | 1.84 | 0.55 |
| 16 | 1.36 | 0.58 |
| 17 | 0.86 | 0.60 |
| 18 | 0.33 | 0.63 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .7 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 8.74 | -0.09 |
| 2 | 8.70 | 0.10 |
| 3 | 8.41 | 0.19 |
| 4 | 8.11 | 0.25 |
| 5 | 7.78 | 0.31 |
| 6 | 7.33 | 0.36 |
| 7 | 6.94 | 0.41 |
| 8 | 6.53 | 0.45 |
| 9 | 6.10 | 0.50 |
| 10 | 5.64 | 0.55 |
| 11 | 4.79 | 0.58 |
| 12 | 4.25 | 0.62 |
| 13 | 3.68 | 0.66 |
| 14 | 3.08 | 0.70 |
| 15 | 2.46 | 0.73 |
| 16 | 1.82 | 0.77 |
| 17 | 1.14 | 0.81 |
| 18 | 0.44 | 0.84 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .8 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 13.11 | -0.14 |
| 2 | 13.05 | 0.15 |
| 3 | 12.62 | 0.28 |
| 4 | 12.16 | 0.38 |
| 5 | 11.68 | 0.47 |
| 6 | 11.00 | 0.54 |
| 7 | 10.41 | 0.61 |
| 8 | 9.79 | 0.68 |
| 9 | 9.15 | 0.75 |
| 10 | 8.46 | 0.82 |
| 11 | 7.18 | 0.87 |
| 12 | 6.37 | 0.93 |
| 13 | 5.51 | 0.99 |
| 14 | 4.62 | 1.05 |
| 15 | 3.69 | 1.10 |
| 16 | 2.73 | 1.16 |
| 17 | 1.72 | 1.21 |
| 18 | 0.67 | 1.25 |
| 19 | NA | NA |
| 20 | NA | NA |
| Recovery Rate: .9 |
| Years |
Default Probability (%) |
Daily Change (%) |
| 1 | 26.22 | -0.28 |
| 2 | 26.09 | 0.30 |
| 3 | 25.24 | 0.56 |
| 4 | 24.33 | 0.76 |
| 5 | 23.35 | 0.94 |
| 6 | 21.99 | 1.08 |
| 7 | 20.82 | 1.22 |
| 8 | 19.59 | 1.36 |
| 9 | 18.29 | 1.51 |
| 10 | 16.92 | 1.64 |
| 11 | 14.36 | 1.74 |
| 12 | 12.74 | 1.86 |
| 13 | 11.03 | 1.98 |
| 14 | 9.23 | 2.09 |
| 15 | 7.37 | 2.20 |
| 16 | 5.45 | 2.32 |
| 17 | 3.43 | 2.42 |
| 18 | 1.33 | 2.51 |
| 19 | NA | NA |
| 20 | NA | NA |
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Copyright 2008, Options Unlimited Research Corp. This information is intended for informational purposes only, to demonstrate some of the features of TOPS Credit. While every effort has been made to ensure the accuracy of the numbers and the calculations, Options Unlimited Research Corp. does not warrant the accuracy of these numbers, or the calculations on which they are based. Options Unlimited Research Corp. will not be responsible for any losses or damages arising out of the use of this data, including but not limited to losses from trading. Options Unlimited Research Corp. makes no guarantees or promises that this data will be provided in the future, or that it will be provided on a timely basis.
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