XXX Ltd., whose bonds are rated as B on the market, would like to apply for a 3-year loan from your bank. Related corporate bond returns and government bond returns are presented in the following two tables.

What is the probability of default of this loan? (Keep three decimals in the answer and do not input %.)

Table 1 Corporate bond ratings and yields with different maturities 1-year 2-year 3-year 4-year 5-year AAA 2.50% 3.20% 3.70% 4.45% 5.50% AA 2.70% 3.60% 4.30% 5.15% 6.12% A 3.10% 3.90% 4.60% 5.35% 6.30% BBB 4.30% 4.60% 5.22% 6.30% 7.40% BB 4.80% 5.50% 6.55% 7.35% 8.45% 5.70% 6.50% 7.80% 8.95% 10.20% 6.50% 7.10% 8.20% 10.55% 11.10% 7.80% 8.80% 9.60% 10.50% 12.80% Table 2 Government bond yields with different maturities Maturity 1-year 2-year 3-year 4-year 5-year Returns 1.50% 2.10% 2.50% 3.20% 4.10%