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Date Open High Low Close Adj Close Volume GME

11/18/2020 11.8 12.04 11.56 11.57 277.160004 3169200


11/19/2020 11.6 12.79 11.45 12.46 270.209991 11787600
11/20/2020 12.55 13.46 12.54 12.71 274.420013 8395400
11/23/2020 12.9 14.12 12.67 13.9 283.700012 9599100
11/24/2020 14.23 14.26 13.3 13.67 289.26001 7183200
11/25/2020 13.6 15.25 13.42 14.75 299.679993 8860100
11/27/2020 15.29 16.74 14.88 16.08 304.420013 12504200
11/30/2020 18.17 19.42 16.559999 16.559999 292.130005 31983500
12/1/2020 17.110001 17.4 15.76 15.8 302.609985 12666000
12/2/2020 15.7 16.68 15.38 16.58 303.75 7883400
12/3/2020 16.48 16.639999 15.87 16.120001 303.350006 6295000
12/4/2020 16.299999 17.290001 16.26 16.9 309.070007 8972700
12/7/2020 17 17.5 16.219999 16.35 308.730011 7386300
12/8/2020 16.370001 17.209999 15.93 16.940001 300.799988 16120200
12/9/2020 13.92 14.73 13.23 13.66 288.589996 24357900
12/10/2020 13.12 14.41 13.05 14.12 275.329987 7558900
12/11/2020 13.91 14 13.02 13.31 276.01001 7496900
12/14/2020 13.34 13.43 12.14 12.72 282.940002 10007100
12/15/2020 12.78 14.02 12.48 13.85 287.809998 8192900
12/16/2020 13.96 14.31 13.58 13.85 268.209991 5865100
12/17/2020 13.96 14.98 13.59 14.83 265.25 8194900
12/18/2020 15.78 16.299999 15.18 15.63 242.399994 16618800
12/21/2020 15.81 16.35 15.28 15.53 249.440002 9876100
12/22/2020 16.219999 20.040001 16.15 19.459999 240.809998 30652700
12/23/2020 20.17 22.35 19.129999 20.57 238.130005 25830300
12/24/2020 21.01 21.48 19.950001 20.15 223.070007 6262200
12/28/2020 21.309999 21.969999 20.35 20.99 222.960007 8965900
12/29/2020 20.82 21.07 18.559999 19.379999 216.5 9241400
12/30/2020 19.379999 20 18.85 19.26 217.240005 5934400
12/31/2020 19.25 19.799999 18.799999 18.84 221.720001 6922700
1/4/2021 19 19.1 17.15 17.25 204.990005 10022500
1/5/2021 17.35 18.08 17.23 17.370001 219.350006 4961500
1/6/2021 17.34 18.98 17.33 18.360001 220.190002 6056200
1/7/2021 18.469999 19.450001 18.02 18.08 222.039993 6129300
1/8/2021 18.18 18.299999 17.08 17.690001 207.279999 6482000
1/11/2021 19.41 20.65 19.01 19.940001 214.440002 14927600
1/12/2021 19.959999 20.4 19.32 19.950001 211.25 7060700
1/13/2021 20.42 38.650002 20.030001 31.4 222.419998 144501700
1/14/2021 38.09 43.060001 33.049999 39.91 224.639999 93717400
1/15/2021 38.490002 40.75 34.009998 35.5 225.089996 46866400
1/19/2021 41.549999 45.52 36.639999 39.360001 228.520004 74721900
1/20/2021 37.369999 41.189999 36.060001 39.119999 227.539993 33471800
1/21/2021 39.23 44.75 37 43.029999 227.820007 57079800
1/22/2021 42.59 76.760002 42.32 65.010002 223.551407 197157900
1/25/2021 96.730003 159.179993 61.130001 76.790001 362.706665 177874000
1/26/2021 88.559998 150 80.199997 147.979996 354.899994 178588000
1/27/2021 354.829987 380 249 347.51001 342.320007 93396700
1/28/2021 265 483 112.25 193.600006 352.706665 58815800
1/29/2021 379.709991 413.980011 250 325 354.799988 50259200
2/1/2021 316.559998 322 212 225 368.73999 37382200
2/2/2021 140.759995 158 74.220001 90 343.853333 78183100
2/3/2021 112.010002 113.400002 85.25 92.410004 349.869995 42698500
2/4/2021 91.190002 91.5 53.330002 53.5 343.503326 62427300
2/5/2021 54.040001 95 51.09 63.77 331.883331 80886300
2/8/2021 72.410004 72.660004 58.02 60 332.089996 25687300
2/9/2021 56.610001 57 46.52 50.310001 314.633331 26843100
2/10/2021 50.77 62.830002 46.549999 51.200001 310 36455000
2/11/2021 50.009998 55.32 48.220001 51.099998 306.133331 12997400
2/12/2021 50.75 55.240002 48.049999 52.400002 312.470001 14498000
2/16/2021 52.66 53.5 49.040001 49.509998 276.366669 8140700
2/17/2021 49.77 51.189999 44.560001 45.939999 282.116669 9186800
293.83667
292.503326
290.253326
300.980011
303.083344
317.540009
291.093323
288.549988
262.369995
266.679993
244.666672
242.666672
256.529999
241.456665
253.869995
236.603333
236.473328
221.300003
224.96666
209.386673
219.600006
235.910004
253.210007
252.753326
246.789993
258.333344
234.516663
238.279999
238.886673
241.866669
239.706665
232.229996
215.736664
220.889999
233
213.100006
216.759995
237.036667
236.08667
235.070007
245.706665
244.919998
232.66333
228.490005
224.473328
227.263336
233.066666
231.733337
244.543335
250.763336
234.343338
233.070007
237.039993
238.313339
240.066666
240.546661
245.529999
247.5
271.706665
272.243347
268.433319
258.859985
274.820007
280.899994
297.149994
297.276672
300.58667
307.396667
308.633331
288.170013
290.42334
283.333344
294.356659
286.630005
300.029999
309.320007
306.563324
303.996674
302.869995
296.666656
289.91333
296.453339
297.09668
296.070007
288.089996
284.820007
277.700012
275.609985
277.160004
270.209991
274.420013
283.700012
289.26001
299.679993
304.420013
292.130005
302.609985
303.75
303.350006
309.070007
308.730011
300.799988
288.589996
275.329987
276.01001
282.940002
287.809998
268.209991
265.25
242.399994
249.440002
240.809998
238.130005
223.070007
222.960007
216.5
217.240005
221.720001
204.990005
219.350006
220.190002
222.039993
207.279999
214.440002
211.25
222.419998
224.639999
225.089996
228.520004
227.539993
227.820007
223.551407
Desv Std
90.23563489
Date Open High Low Close Adj Close Volume WMT
11/18/2020 149.860001 151.669998 149.050003 149.089996 157.960007 8312300
11/19/2020 149.460007 152.449997 149.320007 152.119995 155.809998 6196900
11/20/2020 151.169998 152.759995 149.809998 150.240005 154.529999 7312400
11/23/2020 150.369995 151.399994 149.369995 150.929993 155.960007 6185700
11/24/2020 151.740005 151.979996 150.270004 151.360001 154.460007 5718400
11/25/2020 151.25 152.389999 151.210007 151.830002 157.369995 4611100
11/27/2020 152.149994 152.720001 151.100006 151.600006 163.429993 3666500
11/30/2020 151.600006 152.949997 150.100006 152.789993 153.839996 10898500
12/1/2020 153.600006 153.660004 151.660004 152.639999 155.309998 7647100
12/2/2020 152 152.619995 149.529999 150.520004 152.369995 7849000
12/3/2020 150.279999 150.279999 148.389999 149.300003 150.699997 8575300
12/4/2020 149.509995 149.509995 147.580002 148.910004 154.479996 6963100
12/7/2020 148.460007 148.990005 147.160004 148.110001 156.899994 6159700
12/8/2020 147.360001 149.850006 147.179993 149.449997 153.720001 6905500
12/9/2020 150 150 147.889999 148.270004 152.740005 6713200
12/10/2020 147.75 148.149994 146.570007 147.039993 150.429993 6884100
12/11/2020 146.919998 147.509995 145.940002 147 150.770004 5620300
12/14/2020 147.699997 147.720001 145.399994 145.649994 151.759995 8362700
12/15/2020 145.520004 146.360001 144.860001 145.580002 149.839996 10631500
12/16/2020 146.240005 146.889999 145.080002 145.429993 142.479996 8550300
12/17/2020 146.059998 146.440002 145.149994 146.100006 138.199997 10226500
12/18/2020 146.619995 147.179993 145.160004 145.949997 142.449997 13794700
12/21/2020 145.5 146.669998 145.059998 145.970001 146.100006 8517700
12/22/2020 145.149994 146.229996 143.139999 144.199997 146.399994 12533000
12/23/2020 143.539993 144.220001 142.300003 143.220001 145.429993 6810200
12/24/2020 143.539993 144.389999 143.179993 143.5 140.089996 3018200
12/28/2020 144.039993 145.300003 143.330002 145.220001 140.419998 6448300
12/29/2020 145.639999 145.850006 143.589996 144.300003 138.979996 5979400
12/30/2020 144.880005 145.149994 143.940002 144.179993 138.339996 6250400
12/31/2020 144.199997 144.270004 142.850006 144.149994 142.990005 5938000
1/4/2021 144.300003 146.889999 144.279999 146.529999 138.380005 10727400
1/5/2021 146.600006 147.070007 144.490005 145.75 142.410004 8832700
1/6/2021 145.089996 148.100006 145.009995 146.660004 143.75 7306300
1/7/2021 147.619995 147.759995 146.039993 146.649994 143.860001 6846000
1/8/2021 146.880005 147 145.809998 146.630005 143.389999 8159400
1/11/2021 146 147.990005 146 147.289993 147.270004 8782400
1/12/2021 149 149.929993 148.320007 148.970001 149.449997 7791100
1/13/2021 148.75 149.070007 147.429993 147.449997 152.339996 5356500
1/14/2021 147.820007 148 146.039993 146.970001 149.350006 7672400
1/15/2021 145.139999 145.899994 143.669998 144.639999 144.800003 11973500
1/19/2021 144.639999 145.070007 142.669998 143.389999 155.740005 8041200
1/20/2021 143.589996 145.660004 142.889999 145.509995 153.339996 7925200
1/21/2021 145.360001 145.729996 144.210007 144.850006 150.649994 4783300
1/22/2021 145.600006 147.339996 145.119995 146.330002 148.789993 6406500
1/25/2021 145.360001 146.25 144.270004 146.199997 146.199997 6343700
1/26/2021 145.630005 147.809998 145.470001 147.509995 147.509995 5010500
1/27/2021 146.960007 147.860001 143.550003 143.839996 143.839996 9970100
1/28/2021 144.460007 146.259995 143.630005 143.75 143.75 7433900
1/29/2021 143.179993 143.75 140.350006 140.490005 140.490005 10825900
2/1/2021 140.910004 141.490005 139.190002 139.270004 139.270004 8648400
2/2/2021 139.759995 142.149994 139.440002 140.770004 140.770004 9000800
2/3/2021 140.660004 142.050003 140.630005 141.199997 141.199997 4988900
2/4/2021 141.789993 143.179993 141.259995 142.529999 142.529999 5782100
2/5/2021 143.460007 144.850006 142.529999 144.360001 144.360001 6814700
2/8/2021 144.809998 145.580002 144.460007 145.029999 145.029999 5275100
2/9/2021 144.580002 146.320007 144.580002 145.830002 145.830002 5302300
2/10/2021 145.830002 145.899994 143.539993 144.130005 144.130005 6192300
2/11/2021 144.139999 144.949997 143.710007 144.020004 144.020004 4254800
2/12/2021 144.160004 144.610001 143.669998 144.470001 144.470001 4463300
2/16/2021 145.940002 146.389999 144.929993 145.660004 145.660004 9283800
2/17/2021 144.649994 147.5 144.5 147.199997 147.199997 8523700
Desv std
5.897519126
Date Open High Low Close Adj Close Volume ZM
11/18/2020 399 423.5 390.220001 415.040009 110.550003 10974200
11/19/2020 408.98999 427.890015 407.5 414.290009 108.68 8007000
11/20/2020 418.549988 445.299988 415.559998 439.600006 107.480003 12586600
11/23/2020 432.01001 436.513 417.880005 430.279999 110.480003 8486000
11/24/2020 421.505005 438.832001 420.01001 427.549988 109.419998 6148400
11/25/2020 435.850006 448.480011 433.329987 443.720001 111.779999 8763700
11/27/2020 453.98999 472.040009 449 471.609985 111.870003 7276400
11/30/2020 485.700012 486.829987 460 478.359985 105.309998 16646500
12/1/2020 434.720001 434.98999 401.720001 406.309998 105.870003 20916100
12/2/2020 399 424.549988 394.570007 412.859985 103.900002 10962800
12/3/2020 413 419.170013 405.019989 413.540009 103.629997 6306700
12/4/2020 409.26001 418.880005 408.186005 410.01001 103.849998 4447300
12/7/2020 411 416.799988 405.45401 407.850006 101.830002 4427300
12/8/2020 408.869995 419.5 406.75 412 100.010002 5319400
12/9/2020 406.747986 409.98999 381.5 385.359985 100.57 8956700
12/10/2020 382.730011 399 380.269989 397.959991 99.169998 4572100
12/11/2020 395.350006 397.338989 384.614014 397.01001 98.809998 4677400
12/14/2020 388.950012 396.75 376.679993 395.98999 98.089996 6820100
12/15/2020 398.505005 410.320007 395.079987 399.429993 100.739998 5144700
12/16/2020 400.485992 406.558014 393.459991 404 98.089996 4158500
12/17/2020 408.720001 409.029999 399.559998 401.619995 96.150002 3792500
12/18/2020 403.799988 408.109985 398.25 406.01001 99.300003 6174800
12/21/2020 418.070007 427.759003 404.579987 408.970001 102.410004 8557400
12/22/2020 408.5 413.5 396.5 409 102.220001 4211000
12/23/2020 402 402.600006 378.579987 383.880005 102.239998 9554400
12/24/2020 383.880005 384.880005 375 375.170013 99.57 3850700
12/28/2020 370.399994 373.279999 349.019989 351.390015 98.709999 9454800
12/29/2020 350.660004 359.907013 350.130005 353.75 98.050003 6080300
12/30/2020 358.420013 358.700012 345.399994 353.399994 98.300003 5474500
12/31/2020 351.769989 351.829987 336.100006 337.320007 99.709999 6559700
1/4/2021 340.399994 363.089996 339.200012 359.980011 97.18 8598300
1/5/2021 360.390015 365.01001 349 360.829987 100.779999 4983500
1/6/2021 351 352.940002 341.920013 344.410004 101.389999 7124600
1/7/2021 346 354.480011 341.600006 342.5 100.290001 5601200
1/8/2021 345.200012 350 340.339996 349.609985 100.529999 5009200
1/11/2021 344.980011 349.959991 336.850006 337.709991 101.480003 3360400
1/12/2021 333.200012 358.899994 331.100006 356.809998 102.970001 8972500
1/13/2021 360 384.230011 348.651001 364.630005 104.93 14056500
1/14/2021 371 384.950012 370.5 383.23999 94.82 9311000
1/15/2021 397.709991 404.440002 382.070007 384.529999 92.599998 12799500
1/19/2021 391.01001 396.769989 385.51001 393.869995 96.580002 5709400
1/20/2021 399.109985 399.529999 378.319 382.799988 94.660004 5713900
1/21/2021 383.029999 387.209991 372.029999 382.809998 90.5 5180800
1/22/2021 380.98999 385.290009 376.380005 383.399994 89.285004 2791600
1/25/2021 388.98999 398.799988 378.269989 391.829987 391.829987 5178100
1/26/2021 391.079987 395.820007 372.200012 374.390015 374.390015 5151300
1/27/2021 367.5 384.253998 362.765991 370.73999 370.73999 4557500
1/28/2021 368 383.313995 363.859985 378.589996 378.589996 3374200
1/29/2021 379 385.910004 358.619995 372.070007 372.070007 3959000
2/1/2021 369 382.779999 368.130005 381.929993 381.929993 3443900
2/2/2021 384.5 394.890015 378.679993 391.839996 391.839996 3780100
2/3/2021 395.790009 395.790009 379 380.470001 380.470001 3433100
2/4/2021 383.5 390 376.869995 389.980011 389.980011 2528100
2/5/2021 387.859985 420 387.859985 419.589996 419.589996 9745400
2/8/2021 420.73999 422 406.5 410.809998 410.809998 3731500
2/9/2021 411.695007 434.670013 410.312988 430.029999 430.029999 5115400
2/10/2021 431.890015 441.220001 416.144012 431 431 4738300
2/11/2021 433.98999 443.75 429.51001 432.769989 432.769989 3499200
2/12/2021 431.519989 435 423.130005 433.109985 433.109985 2075300
2/16/2021 438.796997 451.769989 436.700012 444.51001 444.51001 4245400
2/17/2021 440.019989 441.200012 418.25 429.420013 429.420013 4003600
Desv Std
136.3363547
Markov Chains
Step 1: Number of states = 10 Step 2a: Initial probabilities: You may overwrite state codes in ROW 3 then
Step 2: Codes: AAA AA A BBB BB
Click to enter Markov chain
0.1 0.1 0.1 0.1 0.1
Step 3: Number of transitions= 3 Step 2b: Input Markov chain:
Step 4: AAA AA A BBB BB
Click to execute
AAA 0.98 0.02 0 0 0
Output Results AA 0.01 0.96 0.03 0 0
Absolute Steady Mean return A 0 0.02 0.94 0.04 0
State (3-step) state time BBB 0 0 0.04 0.9 0.06
AAA 0.09706 0.0577105 17.327864 BB 0 0 0 0.04 0.86
AA 0.099998 0.080418 12.43503 B 0 0 0 0 0.06
A 0.102595 0.0801628 12.474607 CCC 0 0 0 0 0
BBB 0.094465 0.0492065 20.322498 CC 0 0 0 0 0
BB 0.094419 0.036847 27.139246 C 0 0 0 0 0
B 0.097856 0.0344178 29.054733 D 0 0 0 0 0
CCC 0.084228 0.0312076 32.043427 Output (3-step) transition matrix
CC 0.07534 0.0453182 22.066166 AAA AA A BBB BB
C 0.08234 0.1195902 8.3618898 AAA 0.941776 0.056472 0.001728 2.4E-05 0
D 0.1717 0.4651199 2.1499832 AA 0.028236 0.8870319 0.0813 0.00336 7.2E-05
A 0.000576 0.0542 0.836736 0.101768 0.00648
BBB 8E-06 0.00224 0.101768 0.739768 0.140016
BB 0 3.2E-05 0.00432 0.093344 0.657464
B 0 0 9.6E-05 0.006144 0.1254
CCC 0 0 0 0.00024 0.01416
CC 0 0 0 0 0.0006
C 0 0 0 0 0
D 0 0 0 0 0
hains
codes in ROW 3 then click here
B CCC CC C D
0.1 0.1 0.1 0.1 0.1

B CCC CC C D
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0 0 0 0 0
0.1 0 0 0 0
0.8 0.14 0 0 0
0.1 0.7 0.2 0 0
0 0.1 0.6 0.3 0
0 0 0.1 0.5 0.4
0 0 0 0.1 0.9

B CCC CC C D
0 0 0 0 0
0 0 0 0 0
0.00024 0 0 0 0
0.01536 0.00084 0 0 0
0.209 0.03304 0.0028 0 0
0.5589601 0.2422 0.0588 0.0084 0
0.173 0.4138 0.2668 0.108 0.024
0.021 0.1334 0.305 0.3 0.24
0.001 0.018 0.1 0.249 0.632
0 0.001 0.02 0.158 0.821
Output (3-step) transition matrix
AAA AA A BBB BB
AAA 0.941776037 0.056472 0.001728 2.4E-05 0
AA 0.028236 0.887031913 0.08129999787 0.00336 7.2E-05
A 0.000576 0.054199997 0.83673602343 0.101767994 0.00648
BBB 8E-06 0.00224 0.10176799446 0.739767909 0.14001599
BB 0 3.2E-05 0.00431999937 0.093343996 0.657464027
B 0 0 9.5999996E-05 0.006144 0.125399992
CCC 0 0 0 0.00024 0.01416
CC 0 0 0 0 0.0006
C 0 0 0 0 0
D 0 0 0 0 0

A ZM
Year-end rating ($) Probability bond plus
AAA 520.3109161 Year-end rating state coupon
AA 474.8654646 AAA 0.000576 520.3109161
A 429.420013 AA 0.054199997 474.8654646
BBB 383.9745614 A 0.836736023 429.420013
BB 338.5291099 BBB 0.101767994 383.9745614
B 293.0836583 BB 0.00648 338.5291099
CCC 247.6382068 B 0.00024 293.0836583
Default 202.1927552 CCC 0 247.6382068
Default 0 202.1927552
MEAN

ZM MAX 446.1159499
MIN 407.2619097
B CCC CC C D
0 0 0 0 0 Seniority
0 0 0 0 0 Senior
0.00024 0 0 0 0 Senior
0.01536 0.000839999993 0 0 0 Senior
0.209000006 0.033040001988 0.0028 0 0 Subordinated
0.55896008 0.242200002074 0.058800004 0.008400001 0 Junior
0.173000008 0.413799971342 0.266800016 0.108000003 0.024000002
0.021000002 0.133400022984 0.305000007 0.300000012 0.24000001 one-year
0.001 0.018000001088 0.100000001 0.248999998 0.631999969 Category
0 0.001000000047 0.02 0.157999992 0.82099992 AAA
AA
A
BBB
Probability Difference Probability BB
weighted v mean weighted difference B
0.299699098 93.62198630839 155.9367124 CCC
25.73770691 48.17653474711 12221.94815
359.3111941 2.731083185834 154295.4176
39.07632104 -42.71436837544 15004.31323
2.193668626 -88.15981993672 742.6206873
0.070340076 -133.605271498 20.61552686
0 -179.0507230593 0
0 -224.4961746206 0
426.6889298 SUM 182440.8519
SQUARE MEAN 182063.4428
VARIANCE 377.4091091
STD DEV 19.42702008
Standard
Mean Deviation
Class (%) (%)
Secured 53.8 26.86
Unsecured 51.13 25.45
Subordinated 38.52 23.81
ubordinated 32.74 20.18
Subordinated 17.09 10.9

forward zero curves by credit rating category (%)


Year 1 Year 2 Year 3 Year 4
3.6 4.17 4.73 5.12
3.65 4.22 4.78 5.17
3.72 4.32 4.93 5.32
4.1 4.67 5.25 5.63
5.55 6.02 6.78 7.27
6.05 7.02 8.03 8.52
15.05 15.02 14.03 13.52
Value A AAA BBB
Future ZM WMT GME
AAA 520.3109161 147.199997 136.1756339
AA 474.8654646 145.2341573 106.0970889
A 429.420013 143.2683176 76.01854396
BBB 383.9745614 141.3024779 45.939999
BB 338.5291099 139.3366382 15.86145404
B 293.0836583 137.3707985 -14.2170909
CCC 247.6382068 135.4049587 0
Default 202.1927552 133.439119 0

PAV 622.560009

PFV 617.7334032 Max 728.0590274


Min 507.4077789
Varp 12171.74337

Desv std 110.3256243


Output (3-step) transition matrix
AAA AA A BBB BB B
AAA 0.9417760372 0.056472 0.001728 2.4E-05 0 0
AA 0.0282359999 0.887031913 0.081299998 0.00336 7.2E-05 0
A 0.000576 0.054199997 0.836736023 0.101767994 0.00648 0.00024
BBB 8E-06 0.00224 0.101767994 0.739767909 0.14001599 0.01536
BB 0 3.2E-05 0.004319999 0.093343996 0.657464027 0.209000006
B 0 0 9.6E-05 0.006144 0.125399992 0.55896008
CCC 0 0 0 0.00024 0.01416 0.173000008
CC 0 0 0 0 0.0006 0.021000002
C 0 0 0 0 0 0.001
D 0 0 0 0 0 0

A
ZM Probability bond plus Probability Difference Probability
Year-end rating state coupon weighted v mean weighted mean
AAA 0.000576 520.3109161 0.299699098 93.62198631 155.9367124
AA 0.0541999973 474.8654646 25.73770691 48.17653475 12221.94815
A 0.8367360234 429.420013 359.3111941 2.731083186 154295.4176
BBB 0.1017679945 383.9745614 39.07632104 -42.7143684 15004.31323
BB 0.00648 338.5291099 2.193668626 -88.1598199 742.6206873
B 0.00024 293.0836583 0.070340076 -133.605271 20.61552686
CCC 0 247.6382068 0 -179.050723 0
Default 0 202.1927552 0 -224.496175 0
MEAN 426.6889298 SUM 182440.8519
SQUARE ME 182063.4428
VARIANCE 377.4091091
STD DEV 19.42702008
BBB
GME Probability bond plus Probability Difference Probability
Year-end rating state coupon weighted v mean weighted mean
AAA 8E-06 136.1756339 0.001089405 92.21321259 0.148350426
AA 0.0022399998 106.0970889 0.237657461 62.13466763 25.21476476
A 0.1017679945 76.01854396 7.736254761 32.05612266 588.0988227
BBB 0.739767909 45.939999 33.984937 1.9775777 1561.267972
BB 0.1400159895 15.86145404 2.220857182 -28.1009673 35.22602412
B 0.0153599996 -14.2170909 -0.21837451 -58.1795122 3.104650282
CCC 0.00084 0 0 -43.9624213 0
Default 0 0 0 -43.9624213 0
MEAN 43.9624213 SUM 2213.060584
SQUARE ME 1932.694487
VARIANCE 280.3660976
STD DEV 16.74413621
CCC CC C D
0 0 0 0
0 0 0 0
0 0 0 0
0.00084 0 0 0
0.033040002 0.0028 0 0
0.242200002 0.058800004 0.008400001 0
0.413799971 0.266800016 0.108000003 0.024000002
0.133400023 0.305000007 0.300000012 0.24000001
0.018000001 0.100000001 0.248999998 0.631999969
0.001 0.02 0.157999992 0.82099992

AAA
WMT Probability bond plus Probability Difference Probability
Year-end rati state coupon weighted v mean weighted mean
AAA 0.941776037 147.199997 138.6294299 0.117944943 20406.251658
AA 0.056472 145.2341573 8.201663292 -1.84789477 1191.1616566
A 0.001728 143.2683176 0.247567653 -3.81373447 35.468601162
BBB 2.4E-05 141.3024779 0.003391259 -5.77957418 0.4791933467
BB 0 139.3366382 0 -7.74541389 0
B 0 137.3707985 0 -9.7112536 0
CCC 0 135.4049587 0 -11.6770933 0
Default 0 133.439119 0 -13.642933 0
MEAN 147.0820521 SUM 21633.36111
SQUARE ME 21633.130037
VARIANCE 0.2310721412
STD DEV 0.4806996372
Global Corporate Annual Default Rates By Rating Category

(%) AAA AA A BBB BB


1981 0.00 0.00 0.00 0.00 0.00
1982 0.00 0.00 0.21 0.34 4.22
1983 0.00 0.00 0.00 0.33 1.16
1984 0.00 0.00 0.00 0.67 1.14
1985 0.00 0.00 0.00 0.00 1.49
1986 0.00 0.00 0.18 0.33 1.32
1987 0.00 0.00 0.00 0.00 0.38
1988 0.00 0.00 0.00 0.00 1.05
1989 0.00 0.00 0.18 0.60 0.72
1990 0.00 0.00 0.00 0.58 3.57
1991 0.00 0.00 0.00 0.55 1.69
1992 0.00 0.00 0.00 0.00 0.00
1993 0.00 0.00 0.00 0.00 0.70
1994 0.00 0.00 0.14 0.00 0.28
1995 0.00 0.00 0.00 0.17 0.99
1996 0.00 0.00 0.00 0.00 0.45
1997 0.00 0.00 0.00 0.25 0.19
1998 0.00 0.00 0.00 0.41 0.82
1999 0.00 0.17 0.18 0.20 0.95
2000 0.00 0.00 0.27 0.37 1.16
2001 0.00 0.00 0.27 0.34 2.97
2002 0.00 0.00 0.00 1.02 2.89
2003 0.00 0.00 0.00 0.23 0.58
2004 0.00 0.00 0.08 0.00 0.44
2005 0.00 0.00 0.00 0.07 0.31
2006 0.00 0.00 0.00 0.00 0.30
2007 0.00 0.00 0.00 0.00 0.20
2008 0.00 0.38 0.39 0.49 0.81
2009 0.00 0.00 0.22 0.55 0.75
2010 0.00 0.00 0.00 0.00 0.58
2011 0.00 0.00 0.00 0.07 0.00
2012 0.00 0.00 0.00 0.00 0.30
2013 0.00 0.00 0.00 0.00 0.10
2014 0.00 0.00 0.00 0.00 0.00
2015 0.00 0.00 0.00 0.00 0.16
2016 0.00 0.00 0.00 0.06 0.47
2017 0.00 0.00 0.00 0.00 0.08
2018 0.00 0.00 0.00 0.00 0.00

PROM 0.00 0.01 0.06 0.20 0.87


DESV STD 0 0.065962404 0.101996687 0.253941369 0.990557078
MIN 0.00 0.00 0.00 0.00 0.00
MAX 0.00 0.38 0.39 1.02 4.22
B CCC
2.27 0.00
3.13 21.43
4.58 6.67
3.41 25.00
6.47 15.38
8.39 23.08
3.09 12.28
3.64 20.37
3.38 33.33
8.56 31.25
13.80 33.87
6.99 30.19
2.62 13.33
3.08 16.67
4.58 28.00
2.91 8.00
3.51 12.00
4.63 42.86
7.29 33.33
7.70 35.96
11.50 45.45
8.20 44.44
4.07 32.73
1.45 16.18
1.74 9.09
0.82 13.33
0.25 15.24
4.10 27.27
10.90 49.46
0.87 22.62
1.68 16.30
1.58 27.52
1.64 24.67
0.78 17.51
2.41 26.67
3.74 33.33
0.99 26.45
0.98 27.18

4.26 24.17
3.239996377 11.31690374
0.25 0.00
13.80 49.46

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