Table 2 Expected Default Frequency from Moody's Distance to Expected Default default Frequency 1 65% 2 45% 3 15% 4 4.5% 5 3.1% 6 1.2% 7 0.4% 8 0.09% 9 0.01% Suppose that the current market value of assets is $ 603.1 million and its standard deviation in absolute value is 155 million. What's the Expected Default Frequency of this borrower under the KMV model? (Keep 2 decimals and do not input % in the solution box, e.g., if you obtain 2.52612% as the outcome, please input 2.53 in your solution box) Table 1 Balance Sheets of XXX Ltd. As at end of Year 2020 $ million Current Assets Cash 150 Debtors 170 Stock 240 Current Liabilities Net Current Assets Fixed Assets Creditors 220 Hire Purchase 50 Bank Overdraft 160 Directors' Loans 14 95 Freehold Building 120 Plant & Machinery 150 Long Term Liabilities Mortgage Loan 77 Deferred Taxation 5 Corporate Bonds 87 Net Long Assets 101 Net Assets Financed by: Issued Share Capital 250 100 Profit and Loss Account 150 Total Capital 250