Bank has a loan to a single borrower with the following characteristics:

 

Original loan amount: $200 million

Maturity: 10 years

Interest rate: 5%

Collateral: commercial real estate worth $125 million

Expected recovery rate in case of default: 100%

Credit rating: Ba

 

Statistical measurement of default risk 1970 - 2014 from Moody's :

	1 year	5 years	10 years
Aaa	0.00	0.10	0.46
Aa	0.02	0.40	1.02
A	0.06	0.96	2.74
Baa	0.17	1.80	4.42
Ba	1.08	9.74	18.73
B	3.71	23.09	39.16
Caa1 - C	14.95	46.97	63.92

 

 

1.The loss given default is? 

2.the exposure at default is $?

3.the probability of default?

4.and the expected loss is $?