Present value of the expected payment in the event of default:
| Time (Years) |
Probability of Default |
Recovery Rate |
Expected Payoff ($) |
PV of Expected Payoff ($) |
| 0.5000 |
0.0200 |
0.4000 |
0.0120 |
0.0116 |
| 1.5000 |
0.0196 |
0.4000 |
0.0118 |
0.0108 |
| 2.5000 |
0.0192 |
0.4000 |
0.0115 |
0.0099 |
| 3.5000 |
0.0188 |
0.4000 |
0.0113 |
0.0092 |
|
|
|
TOTAL |
0.0415 |
The present value of the expected payment in the event of default is .0415.
