The default correlation under a single-factor credit model is 4.9%. Both credits have the same individual default probabilities of 2%. The joint default probability is characterized by a bivariate standard normal distribution. Below listed the asset correlations implied by various joint default probabilities. What is the implied asset correlation?

| Asset Correlation | Joint Default Probability |

|-------------------|---------------------------|

| - | 0.040% |

| 0.05 | 0.053% |

| 0.10 | 0.069% |

| 0.15 | 0.040% |

| 0.20 | 0.110% |

| 0.25 | 0.136% |