CREDITRISK+

Example Spreadsheet Implementation Control Page

The static data consists of an example portfolio of 25 obligors, together with default rates and
Exposures and Static Data default rate volatilities assigned via an example system of credit ratings.

Example 1A analyses the portfolio using simple assumptions: all obligors are assigned to a single
Example 1A - Basic Analysis sector. The full loss distribution is calculated together with percentiles of the loss distribution,
which assess the relative risk of different levels of loss, and a risk contribution for each obligor.
Example 1B uses risk contributions to examine the effect of removing obligors from the portfolio.
Example 1B - Risk Example 1B illustrates how obligors requiring a large amount of capital can be identified. In
Contributions practice, such obligors can be managed using credit derivatives.
Example 1C illustrates the use of the model for analysing a portfolio over its hold to maturity time
Example 1C - Hold to Maturity horizon. The initial data used in the other examples has been extended to show some of the
exposures rolling off over a period of up to three years, and a term structure of default rates is
used.
Example 2 illustrates basic sector analysis. Each obligor is allocated to only one sector. In this
Example 2 - Basic Sectors example, countries are the sectors. This assumes that each obligor is subject to only one
systematic factor, which is responsible for all of the uncertainty of the obligor's default rate.
Example 3 illustrates general sector analysis. Obligor credit risk is apportioned between different
Example 3 - General Sectors sectors. General sector analysis allows for the fact that a number of independent systematic
factors may influence the fortunes of obligors.
A Blank Template sheet is provided to enable users to input their own data.
Blank Template

CREDITRISK+ is a trademark of Credit Suisse First Boston International in countries of use.

CREDITRISK+ as described in this document ("CREDITRISK+") is a method of credit risk management introduced by Credit Suisse Group. No representation or warranty, express or implied, is
made by Credit Suisse First Boston International or any other Credit Suisse Group company as to the accuracy, completeness, or fitness for any particular purpose of C REDITRISK+. Under no
circumstances shall Credit Suisse First Boston International or any other Credit Suisse Group company have any liability to any other person or any entity for (a) any loss, damage or other
injury in whole or in part caused by, resulting from or relating to, any error (negligent or otherwise), of Credit Suisse First Boston International or any other Credit Suisse Group company in
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compensatory damages whatsoever (including, without limitation, lost profits), in either case caused by reliance upon or otherwise resulting from or relating to the use of (including the
inability to use) CREDITRISK+.

Issued and approved by Credit Suisse First Boston International for the purposes of Section 57, Financial Services Act 1986. Regulated by the Securities and Futures Authority. The products
and services referred to are not available to private customers.
 Exposures&StaticData

Obligor Details Static Data

The table below contains the exposure and credit The table below is used to used to
rating of each obligor in the portfolio. mean default rate and default ra
deviation given the credit rating of a

Obligor Details Example Default Rate D

Credit Credit
Name Exposure Rating Rating
1 358,475 H A
2 1,089,819 H B
3 1,799,710 F C
4 1,933,116 G D
5 2,317,327 G E
6 2,410,929 G F
7 2,652,184 H G
8 2,957,685 G H
9 3,137,989 D
10 3,204,044 D
11 4,727,724 A
12 4,830,517 D
13 4,912,097 D
14 4,928,989 H
15 5,042,312 F
16 5,320,364 E
17 5,435,457 D
18 5,517,586 C
19 5,764,596 E
20 5,847,845 C
21 6,466,533 H
22 6,480,322 H
23 7,727,651 B
24 15,410,906 F
25 20,238,895 E

Page 2
 Exposures&StaticData

Static Data
The table below is used to used to generate a
mean default rate and default rate standard
deviation given the credit rating of an obligor.

Example Default Rate Data

Mean Standard
Default rate Deviation
1.50% 0.75%
1.60% 0.80%
3.00% 1.50%
5.00% 2.50%
7.50% 3.75%
10.00% 5.00%
15.00% 7.50%
30.00% 15.00%

Page 3
 Example1A

Example 1A - All obligors allocated to a single sector

In example 1A each obligor is allocated to a single sector.

Obligor Details
Default rate Sector split
Mean Standard General
Name Exposure Rating Default rate Deviation economy
1 358,475 H 30.00% 15.00% 100%
2 1,089,819 H 30.00% 15.00% 100%
3 1,799,710 F 10.00% 5.00% 100%
4 1,933,116 G 15.00% 7.50% 100%
5 2,317,327 G 15.00% 7.50% 100%
6 2,410,929 G 15.00% 7.50% 100%
7 2,652,184 H 30.00% 15.00% 100%
8 2,957,685 G 15.00% 7.50% 100%
9 3,137,989 D 5.00% 2.50% 100%
10 3,204,044 D 5.00% 2.50% 100%
11 4,727,724 A 1.50% 0.75% 100%
12 4,830,517 D 5.00% 2.50% 100%
13 4,912,097 D 5.00% 2.50% 100%
14 4,928,989 H 30.00% 15.00% 100%
15 5,042,312 F 10.00% 5.00% 100%
16 5,320,364 E 7.50% 3.75% 100%
17 5,435,457 D 5.00% 2.50% 100%
18 5,517,586 C 3.00% 1.50% 100%
19 5,764,596 E 7.50% 3.75% 100%
20 5,847,845 C 3.00% 1.50% 100%
21 6,466,533 H 30.00% 15.00% 100%
22 6,480,322 H 30.00% 15.00% 100%
23 7,727,651 B 1.60% 0.80% 100%
24 15,410,906 F 10.00% 5.00% 100%
25 20,238,895 E 7.50% 3.75% 100%

Page 4
 Example1A

Outputs - Risk Contributions, Percentiles and loss distribution

Credit Credit
Expected Risk Loss Loss
Name LossContribution Percentile Amount AmountProbability
1 107,543 228,711 Mean 14,221,863 0 0.098814
2 326,946 764,758 50.00 11,089,455 202,389 -
3 179,971 426,743 75.00 20,498,062 404,778 0.014719
4 289,967 716,735 95.00 38,908,486 607,167 -
5 347,599 896,874 97.50 46,152,128 809,556 0.001370
6 361,639 910,914 99.00 ### 1,011,945 -
7 795,655 2,163,988 99.50 62,033,181 1,214,334 0.015018
8 443,653 1,199,910 99.75 68,612,540 1,416,723 -
9 156,899 434,047 99.90 77,133,478 1,619,112 0.002784
10 160,202 437,350 1,821,501 0.005474
11 70,916 225,356 2,023,890 0.008248
12 241,526 756,325 2,226,279 0.001019
13 245,605 794,754 2,428,668 0.019091
14 1,478,697 4,773,594 2,631,057 0.000114
15 504,231 1,602,530 2,833,446 0.019051
16 399,027 1,330,448 3,035,835 0.009139
17 271,773 892,720 3,238,224 0.010212
18 165,528 560,564 3,440,613 0.001739
19 432,345 1,477,654 3,643,002 0.005051
20 175,435 593,559 3,845,391 0.000748
21 1,939,960 6,850,969 4,047,780 0.004273
22 1,944,097 7,110,748 4,250,169 0.002905
23 123,642 487,938 4,452,558 0.003678
24 1,541,091 9,056,197 4,654,947 0.001717
25 1,517,917 10,618,120 4,857,336 0.008482
5,059,725 0.026039
5,262,114 0.005857
5,464,503 0.013781
5,666,892 0.005933
5,869,281 0.009910
6,071,670 0.004282
6,274,059 0.007332
6,476,448 0.018686
6,678,837 0.019836
6,881,226 0.006909
7,083,615 0.008011
7,286,004 0.003636
7,488,393 0.008345
7,690,782 0.006171
7,893,171 0.013664
8,095,560 0.005859
8,297,949 0.009539
8,500,338 0.006100

Page 5
Example1A

8,702,727 0.007243
8,905,116 0.006813
9,107,505 0.007949
9,309,894 0.006435
9,512,283 0.008901
9,714,672 0.006299
9,917,061 0.007116
10,119,450 0.007419
10,321,839 0.005611
10,524,228 0.006349
10,726,617 0.006053
10,929,006 0.006478
11,131,395 0.004788
11,333,784 0.006003
11,536,173 0.009856
11,738,562 0.009389
11,940,951 0.006923
12,143,340 0.006923
12,345,729 0.005813
12,548,118 0.006106
12,750,507 0.005123
12,952,896 0.007741
13,155,285 0.007399
13,357,674 0.007257
13,560,063 0.005127
13,762,452 0.005296
13,964,841 0.004817
14,167,230 0.005410
14,369,619 0.005735
14,572,008 0.006139
14,774,397 0.005050
14,976,786 0.005281
15,179,175 0.004634
15,381,564 0.004707
15,583,953 0.010074
15,786,342 0.004652
15,988,731 0.005594
16,191,120 0.004397
16,393,509 0.004369
16,595,898 0.004686
16,798,287 0.005424
17,000,676 0.004133
17,203,065 0.004341
17,405,454 0.004438
17,607,843 0.004387
17,810,232 0.003671
18,012,621 0.005581
18,215,010 0.004351
18,417,399 0.005488
18,619,788 0.004277
18,822,177 0.004333
19,024,566 0.003463
19,226,955 0.003728
19,429,344 0.003467

Page 6
Example1A

19,631,733 0.003960
19,834,122 0.003627
20,036,511 0.003542
20,238,900 0.007219
20,441,289 0.003564
20,643,678 0.005399
20,846,067 0.003398
21,048,456 0.004028
21,250,845 0.003288
21,453,234 0.004195
21,655,623 0.002992
21,858,012 0.003273
22,060,401 0.004080
22,262,790 0.004287
22,465,179 0.003035
22,667,568 0.003995
22,869,957 0.002555
23,072,346 0.004010
23,274,735 0.003257
23,477,124 0.003892
23,679,513 0.002696
23,881,902 0.003203
24,084,291 0.002540
24,286,680 0.002815
24,489,069 0.002674
24,691,458 0.002886
24,893,847 0.002566
25,096,236 0.003099
25,298,625 0.003659
25,501,014 0.002698
25,703,403 0.003065
25,905,792 0.002511
26,108,181 0.002750
26,310,570 0.002431
26,512,959 0.002571
26,715,348 0.002939
26,917,737 0.003055
27,120,126 0.002690
27,322,515 0.002694
27,524,904 0.002236
27,727,293 0.002489
27,929,682 0.002212
28,132,071 0.002680
28,334,460 0.002091
28,536,849 0.002526
28,739,238 0.002222
28,941,627 0.002297
29,144,016 0.002041
29,346,405 0.002116
29,548,794 0.001947
29,751,183 0.002162
29,953,572 0.001991
30,155,961 0.002074
30,358,350 0.001950

Page 7
Example1A

30,560,739 0.001858
30,763,128 0.001797
30,965,517 0.001789
31,167,906 0.001968
31,370,295 0.001678
31,572,684 0.001757
31,775,073 0.001916
31,977,462 0.001852
32,179,851 0.001731
32,382,240 0.001722
32,584,629 0.001575
32,787,018 0.001589
32,989,407 0.001514
33,191,796 0.001649
33,394,185 0.001556
33,596,574 0.001658
33,798,963 0.001456
34,001,352 0.001500
34,203,741 0.001374
34,406,130 0.001404
34,608,519 0.001358
34,810,908 0.001393
35,013,297 0.001295
35,215,686 0.001335
35,418,075 0.001246
35,620,464 0.001234
35,822,853 0.001457
36,025,242 0.001191
36,227,631 0.001271
36,430,020 0.001148
36,632,409 0.001154
36,834,798 0.001136
37,037,187 0.001162
37,239,576 0.001054
37,441,965 0.001054
37,644,354 0.001076
37,846,743 0.001061
38,049,132 0.000972
38,251,521 0.001082
38,453,910 0.000971
38,656,299 0.001059
38,858,688 0.000957
39,061,077 0.000977
39,263,466 0.000871
39,465,855 0.000898
39,668,244 0.000847
39,870,633 0.000875
40,073,022 0.000840
40,275,411 0.000839
40,477,800 0.000892
40,680,189 0.000815
40,882,578 0.000872
41,084,967 0.000772
41,287,356 0.000796

Page 8
Example1A

41,489,745 0.000740
41,692,134 0.000763
41,894,523 0.000706
42,096,912 0.000705
42,299,301 0.000732
42,501,690 0.000733
42,704,079 0.000675
42,906,468 0.000695
43,108,857 0.000619
43,311,246 0.000674
43,513,635 0.000627
43,716,024 0.000663
43,918,413 0.000583
44,120,802 0.000617
44,323,191 0.000566
44,525,580 0.000574
44,727,969 0.000549
44,930,358 0.000558
45,132,747 0.000529
45,335,136 0.000552
45,537,525 0.000548
45,739,914 0.000518
45,942,303 0.000513
46,144,692 0.000488
46,347,081 0.000485
46,549,470 0.000471
46,751,859 0.000472
46,954,248 0.000466
47,156,637 0.000465
47,359,026 0.000459
47,561,415 0.000449
47,763,804 0.000425
47,966,193 0.000426
48,168,582 0.000404
48,370,971 0.000417
48,573,360 0.000387
48,775,749 0.000404
48,978,138 0.000382
49,180,527 0.000387
49,382,916 0.000362
49,585,305 0.000363
49,787,694 0.000346
49,990,083 0.000352
50,192,472 0.000339
50,394,861 0.000341
50,597,250 0.000326
50,799,639 0.000322
51,002,028 0.000309
51,204,417 0.000306
51,406,806 0.000310
51,609,195 0.000293
51,811,584 0.000293
52,013,973 0.000292
52,216,362 0.000285

Page 9
Example1A

52,418,751 0.000278
52,621,140 0.000273
52,823,529 0.000261
53,025,918 0.000258
53,228,307 0.000253
53,430,696 0.000253
53,633,085 0.000243
53,835,474 0.000248
54,037,863 0.000235
54,240,252 0.000236
54,442,641 0.000224
54,645,030 0.000223
54,847,419 0.000215
55,049,808 0.000215
55,252,197 0.000207
55,454,586 0.000207
55,656,975 0.000199
55,859,364 0.000197
56,061,753 0.000198
56,264,142 0.000188
56,466,531 0.000189
56,668,920 0.000181
56,871,309 0.000179
57,073,698 0.000175
57,276,087 0.000173
57,478,476 0.000166
57,680,865 0.000163
57,883,254 0.000162
58,085,643 0.000159
58,288,032 0.000153
58,490,421 0.000155
58,692,810 0.000147
58,895,199 0.000149
59,097,588 0.000143
59,299,977 0.000143
59,502,366 0.000135
59,704,755 0.000135
59,907,144 0.000130
60,109,533 0.000129
60,311,922 0.000126
60,514,311 0.000124
60,716,700 0.000122
60,919,089 0.000120
61,121,478 0.000119
61,323,867 0.000114
61,526,256 0.000113
61,728,645 0.000109
61,931,034 0.000108
62,133,423 0.000105
62,335,812 0.000103
62,538,201 0.000102
62,740,590 0.000100
62,942,979 0.000097
63,145,368 0.000096

Page 10
Example1A

63,347,757 0.000092
63,550,146 0.000092
63,752,535 0.000089
63,954,924 0.000089
64,157,313 0.000085
64,359,702 0.000085
64,562,091 0.000082
64,764,480 0.000081
64,966,869 0.000078
65,169,258 0.000078
65,371,647 0.000075
65,574,036 0.000075
65,776,425 0.000073
65,978,814 0.000072
66,181,203 0.000070
66,383,592 0.000068
66,585,981 0.000067
66,788,370 0.000065
66,990,759 0.000064
67,193,148 0.000063
67,395,537 0.000062
67,597,926 0.000061
67,800,315 0.000059
68,002,704 0.000058
68,205,093 0.000057
68,407,482 0.000055
68,609,871 0.000055
68,812,260 0.000053
69,014,649 0.000053
69,217,038 0.000051
69,419,427 0.000051
69,621,816 0.000049
69,824,205 0.000048
70,026,594 0.000047
70,228,983 0.000046
70,431,372 0.000045
70,633,761 0.000044
70,836,150 0.000043
71,038,539 0.000042
71,240,928 0.000041
71,443,317 0.000040
71,645,706 0.000040
71,848,095 0.000039
72,050,484 0.000038
72,252,873 0.000037
72,455,262 0.000037
72,657,651 0.000036
72,860,040 0.000035
73,062,429 0.000034
73,264,818 0.000033
73,467,207 0.000033
73,669,596 0.000032
73,871,985 0.000031
74,074,374 0.000031

Page 11
Example1A

74,276,763 0.000030
74,479,152 0.000030
74,681,541 0.000029
74,883,930 0.000028
75,086,319 0.000027
75,288,708 0.000027
75,491,097 0.000026
75,693,486 0.000026
75,895,875 0.000025
76,098,264 0.000025
76,300,653 0.000024
76,503,042 0.000024
76,705,431 0.000023
76,907,820 0.000023
77,110,209 0.000022
77,312,598 0.000022
77,514,987 0.000021
77,717,376 0.000021
77,919,765 0.000020
78,122,154 0.000020
78,324,543 0.000020
78,526,932 0.000019
78,729,321 0.000019
78,931,710 0.000018
79,134,099 0.000018
79,336,488 0.000018
79,538,877 0.000017
79,741,266 0.000017
79,943,655 0.000017
80,146,044 0.000016
80,348,433 0.000016
80,550,822 0.000015
80,753,211 0.000015
80,955,600 0.000015
81,157,989 0.000014
81,360,378 0.000014
81,562,767 0.000014
81,765,156 0.000014
81,967,545 0.000013
82,169,934 0.000013
82,372,323 0.000013
82,574,712 0.000012
82,777,101 0.000012
82,979,490 0.000012
83,181,879 0.000012
83,384,268 0.000011

Page 12
 Example1A

stribution
Marginal Probability

Credit Loss Distribution

2.50%

2.00%

1.50%

1.00%

0.50%

0.00%
0 10,000,000 20,000,000 30,000,000 40,000,000 50,000,000 60,000,000 70,00

Loss

Page 13
 Example1A

,000,000 60,000,000 70,000,000

Page 14
 Example1B

Example 1B - All obligors allocated to a single sector

Example 1B illustrates the use of risk contributions. The two obligors in example 1A
having the largest risk contributions are obligors 24 and 25. These have been
removed to show the effect on the 99th percentile loss.

Obligor Details
Default rateSector split
Mean Standard General
Name Exposure Rating Default rate Deviation economy
1 358,475 H 30.00% 15.00% 100%
2 1,089,819 H 30.00% 15.00% 100%
3 1,799,710 F 10.00% 5.00% 100%
4 1,933,116 G 15.00% 7.50% 100%
5 2,317,327 G 15.00% 7.50% 100%
6 2,410,929 G 15.00% 7.50% 100%
7 2,652,184 H 30.00% 15.00% 100%
8 2,957,685 G 15.00% 7.50% 100%
9 3,137,989 D 5.00% 2.50% 100%
10 3,204,044 D 5.00% 2.50% 100%
11 4,727,724 A 1.50% 0.75% 100%
12 4,830,517 D 5.00% 2.50% 100%
13 4,912,097 D 5.00% 2.50% 100%
14 4,928,989 H 30.00% 15.00% 100%
15 5,042,312 F 10.00% 5.00% 100%
16 5,320,364 E 7.50% 3.75% 100%
17 5,435,457 D 5.00% 2.50% 100%
18 5,517,586 C 3.00% 1.50% 100%
19 5,764,596 E 7.50% 3.75% 100%
20 5,847,845 C 3.00% 1.50% 100%
21 6,466,533 H 30.00% 15.00% 100%
22 6,480,322 H 30.00% 15.00% 100%
23 7,727,651 B 1.60% 0.80% 100%

Comparison between examples 1A and 1B

Removed Obligor Details
Expected Risk
Name Exposure Loss Contribution
Effect of removing
24 15,410,906 1,541,091 9,056,197 example 1A
25 20,238,895 1,517,917 10,618,120 The tables compare example
and 25 from the portfolio.
Total 35,649,801 3,059,008 19,674,317
The expected loss is reduce
Portfolio Movement Analysis additive, this is the sum of th
Absolute % been removed.
Example 1A Example 1B Movement Movement
Exposure 130,513,072 94,863,271 (35,649,801) 27.3% The 99th percentile is reduc
Mean 14,221,863 11,162,856 (3,059,007) 21.5% risk contributions of the oblig
99th Percentile 55,311,503 39,946,857 (15,364,646) 27.8%

Page 15
 Example1B

Outputs - Risk Contributions, Percentiles and loss distribution

Credit Credit
Expected Risk Loss Loss
Name LossContribution Percentile Amount Amount
1 107,543 230,466 Mean 11,162,856 0
2 326,946 785,414 50.00 9,191,511 77,277
3 179,971 467,542 75.00 16,114,274 154,554
4 289,967 772,818 95.00 28,823,669 231,831
5 347,599 940,613 97.50 33,733,871 309,108
6 361,639 1,013,323 99.00 39,946,857 386,385
7 795,655 2,284,000 99.50 44,482,660 463,662
8 443,653 1,319,516 99.75 48,915,922 540,939
9 156,899 471,998 99.90 54,644,673 618,216
10 160,202 487,172 695,493
11 70,916 252,792 772,770
12 241,526 863,835 850,047
13 245,605 884,171 927,324
14 1,478,697 5,310,091 1,004,601
15 504,231 1,847,584 1,081,878
16 399,027 1,483,284 1,159,155
17 271,773 1,029,714 1,236,432
18 165,528 631,003 1,313,709
19 432,345 1,678,157 1,390,986
20 175,435 684,949 1,468,263
21 1,939,960 7,973,270 1,545,540
22 1,944,097 7,977,407 1,622,817
23 123,642 557,737 1,700,094
1,777,371

1,854,648
1,931,925
2,009,202
2,086,479
ect of removing the top two risk contributors from 2,163,756
ample 1A 2,241,033
tables compare examples 1A and 1B to show the effect of removing obligors 24 2,318,310
25 from the portfolio.
2,395,587
2,472,864
expected loss is reduced by approximately 3 million. Because expected loss is
tive, this is the sum of the expected losses of the individual obligors which have 2,550,141
n removed. 2,627,418
2,704,695
99th percentile is reduced by 20 million. This is estimated by the sum of the 2,781,972
contributions of the obligors removed. 2,859,249
2,936,526
3,013,803
3,091,080
3,168,357
3,245,634

Page 16
Example1B

3,322,911
3,400,188
3,477,465
3,554,742
3,632,019
3,709,296
3,786,573
3,863,850
3,941,127
4,018,404
4,095,681
4,172,958
4,250,235
4,327,512
4,404,789
4,482,066
4,559,343
4,636,620
4,713,897
4,791,174
4,868,451
4,945,728
5,023,005
5,100,282
5,177,559
5,254,836
5,332,113
5,409,390
5,486,667
5,563,944
5,641,221
5,718,498
5,795,775
5,873,052
5,950,329
6,027,606
6,104,883
6,182,160
6,259,437
6,336,714
6,413,991
6,491,268
6,568,545
6,645,822
6,723,099
6,800,376
6,877,653
6,954,930
7,032,207
7,109,484
7,186,761
7,264,038
7,341,315
7,418,592

Page 17
Example1B

7,495,869
7,573,146
7,650,423
7,727,700
7,804,977
7,882,254
7,959,531
8,036,808
8,114,085
8,191,362
8,268,639
8,345,916
8,423,193
8,500,470
8,577,747
8,655,024
8,732,301
8,809,578
8,886,855
8,964,132
9,041,409
9,118,686
9,195,963
9,273,240
9,350,517
9,427,794
9,505,071
9,582,348
9,659,625
9,736,902
9,814,179
9,891,456
9,968,733
10,046,010
10,123,287
10,200,564
10,277,841
10,355,118
10,432,395
10,509,672
10,586,949
10,664,226
10,741,503
10,818,780
10,896,057
10,973,334
11,050,611
11,127,888
11,205,165
11,282,442
11,359,719
11,436,996
11,514,273
11,591,550

Page 18
Example1B

11,668,827
11,746,104
11,823,381
11,900,658
11,977,935
12,055,212
12,132,489
12,209,766
12,287,043
12,364,320
12,441,597
12,518,874
12,596,151
12,673,428
12,750,705
12,827,982
12,905,259
12,982,536
13,059,813
13,137,090
13,214,367
13,291,644
13,368,921
13,446,198
13,523,475
13,600,752
13,678,029
13,755,306
13,832,583
13,909,860
13,987,137
14,064,414
14,141,691
14,218,968
14,296,245
14,373,522
14,450,799
14,528,076
14,605,353
14,682,630
14,759,907
14,837,184
14,914,461
14,991,738
15,069,015
15,146,292
15,223,569
15,300,846
15,378,123
15,455,400
15,532,677
15,609,954
15,687,231
15,764,508

Page 19
Example1B

15,841,785
15,919,062
15,996,339
16,073,616
16,150,893
16,228,170
16,305,447
16,382,724
16,460,001
16,537,278
16,614,555
16,691,832
16,769,109
16,846,386
16,923,663
17,000,940
17,078,217
17,155,494
17,232,771
17,310,048
17,387,325
17,464,602
17,541,879
17,619,156
17,696,433
17,773,710
17,850,987
17,928,264
18,005,541
18,082,818
18,160,095
18,237,372
18,314,649
18,391,926
18,469,203
18,546,480
18,623,757
18,701,034
18,778,311
18,855,588
18,932,865
19,010,142
19,087,419
19,164,696
19,241,973
19,319,250
19,396,527
19,473,804
19,551,081
19,628,358
19,705,635
19,782,912
19,860,189
19,937,466

Page 20
Example1B

20,014,743
20,092,020
20,169,297
20,246,574
20,323,851
20,401,128
20,478,405
20,555,682
20,632,959
20,710,236
20,787,513
20,864,790
20,942,067
21,019,344
21,096,621
21,173,898
21,251,175
21,328,452
21,405,729
21,483,006
21,560,283
21,637,560
21,714,837
21,792,114
21,869,391
21,946,668
22,023,945
22,101,222
22,178,499
22,255,776
22,333,053
22,410,330
22,487,607
22,564,884
22,642,161
22,719,438
22,796,715
22,873,992
22,951,269
23,028,546
23,105,823
23,183,100
23,260,377
23,337,654
23,414,931
23,492,208
23,569,485
23,646,762
23,724,039
23,801,316
23,878,593
23,955,870
24,033,147
24,110,424

Page 21
Example1B

24,187,701
24,264,978
24,342,255
24,419,532
24,496,809
24,574,086
24,651,363
24,728,640
24,805,917
24,883,194
24,960,471
25,037,748
25,115,025
25,192,302
25,269,579
25,346,856
25,424,133
25,501,410
25,578,687
25,655,964
25,733,241
25,810,518
25,887,795
25,965,072
26,042,349
26,119,626
26,196,903
26,274,180
26,351,457
26,428,734
26,506,011
26,583,288
26,660,565
26,737,842
26,815,119
26,892,396
26,969,673
27,046,950
27,124,227
27,201,504
27,278,781
27,356,058
27,433,335
27,510,612
27,587,889
27,665,166
27,742,443
27,819,720
27,896,997
27,974,274
28,051,551
28,128,828
28,206,105
28,283,382

Page 22
Example1B

28,360,659
28,437,936
28,515,213
28,592,490
28,669,767
28,747,044
28,824,321
28,901,598
28,978,875
29,056,152
29,133,429
29,210,706
29,287,983
29,365,260
29,442,537
29,519,814
29,597,091
29,674,368
29,751,645
29,828,922
29,906,199
29,983,476
30,060,753
30,138,030
30,215,307
30,292,584
30,369,861
30,447,138
30,524,415
30,601,692
30,678,969
30,756,246
30,833,523
30,910,800
30,988,077
31,065,354
31,142,631
31,219,908
31,297,185
31,374,462
31,451,739
31,529,016
31,606,293
31,683,570
31,760,847
31,838,124
31,915,401
31,992,678
32,069,955
32,147,232
32,224,509
32,301,786
32,379,063
32,456,340

Page 23
Example1B

32,533,617
32,610,894
32,688,171
32,765,448
32,842,725
32,920,002
32,997,279
33,074,556
33,151,833
33,229,110
33,306,387
33,383,664
33,460,941
33,538,218
33,615,495
33,692,772
33,770,049
33,847,326
33,924,603
34,001,880
34,079,157
34,156,434
34,233,711
34,310,988
34,388,265
34,465,542
34,542,819
34,620,096
34,697,373
34,774,650
34,851,927
34,929,204
35,006,481
35,083,758
35,161,035
35,238,312
35,315,589
35,392,866
35,470,143
35,547,420
35,624,697
35,701,974
35,779,251
35,856,528
35,933,805
36,011,082
36,088,359
36,165,636
36,242,913
36,320,190
36,397,467
36,474,744
36,552,021
36,629,298

Page 24
Example1B

36,706,575
36,783,852
36,861,129
36,938,406
37,015,683
37,092,960
37,170,237
37,247,514
37,324,791
37,402,068
37,479,345
37,556,622
37,633,899
37,711,176
37,788,453
37,865,730
37,943,007
38,020,284
38,097,561
38,174,838
38,252,115
38,329,392
38,406,669
38,483,946
38,561,223
38,638,500
38,715,777
38,793,054
38,870,331
38,947,608
39,024,885
39,102,162
39,179,439
39,256,716
39,333,993
39,411,270
39,488,547
39,565,824
39,643,101
39,720,378
39,797,655
39,874,932
39,952,209
40,029,486
40,106,763
40,184,040
40,261,317
40,338,594
40,415,871
40,493,148
40,570,425
40,647,702
40,724,979
40,802,256

Page 25
Example1B

40,879,533
40,956,810
41,034,087
41,111,364
41,188,641
41,265,918
41,343,195
41,420,472
41,497,749
41,575,026
41,652,303
41,729,580
41,806,857
41,884,134
41,961,411
42,038,688
42,115,965
42,193,242
42,270,519
42,347,796
42,425,073
42,502,350
42,579,627
42,656,904
42,734,181
42,811,458
42,888,735
42,966,012
43,043,289
43,120,566
43,197,843
43,275,120
43,352,397
43,429,674
43,506,951
43,584,228
43,661,505
43,738,782
43,816,059
43,893,336
43,970,613
44,047,890
44,125,167
44,202,444
44,279,721
44,356,998
44,434,275
44,511,552
44,588,829
44,666,106
44,743,383
44,820,660
44,897,937
44,975,214

Page 26
Example1B

45,052,491
45,129,768
45,207,045
45,284,322
45,361,599
45,438,876
45,516,153
45,593,430
45,670,707
45,747,984
45,825,261
45,902,538
45,979,815
46,057,092
46,134,369
46,211,646
46,288,923
46,366,200
46,443,477
46,520,754
46,598,031
46,675,308
46,752,585
46,829,862
46,907,139
46,984,416
47,061,693
47,138,970
47,216,247
47,293,524
47,370,801
47,448,078
47,525,355
47,602,632
47,679,909
47,757,186
47,834,463
47,911,740
47,989,017
48,066,294
48,143,571
48,220,848
48,298,125
48,375,402
48,452,679
48,529,956
48,607,233
48,684,510
48,761,787
48,839,064
48,916,341
48,993,618
49,070,895
49,148,172

Page 27
Example1B

49,225,449
49,302,726
49,380,003
49,457,280
49,534,557
49,611,834
49,689,111
49,766,388
49,843,665
49,920,942
49,998,219
50,075,496
50,152,773
50,230,050
50,307,327
50,384,604
50,461,881
50,539,158
50,616,435
50,693,712
50,770,989
50,848,266
50,925,543
51,002,820
51,080,097
51,157,374
51,234,651
51,311,928
51,389,205
51,466,482
51,543,759
51,621,036
51,698,313
51,775,590
51,852,867
51,930,144
52,007,421
52,084,698
52,161,975
52,239,252
52,316,529
52,393,806
52,471,083
52,548,360
52,625,637
52,702,914
52,780,191
52,857,468
52,934,745
53,012,022
53,089,299
53,166,576
53,243,853
53,321,130

Page 28
Example1B

53,398,407
53,475,684
53,552,961
53,630,238
53,707,515
53,784,792
53,862,069
53,939,346
54,016,623
54,093,900
54,171,177
54,248,454
54,325,731
54,403,008
54,480,285
54,557,562
54,634,839
54,712,116
54,789,393
54,866,670
54,943,947
55,021,224
55,098,501
55,175,778
55,253,055
55,330,332
55,407,609
55,484,886
55,562,163
55,639,440
55,716,717
55,793,994
55,871,271
55,948,548
56,025,825
56,103,102
56,180,379
56,257,656
56,334,933
56,412,210
56,489,487
56,566,764
56,644,041
56,721,318
56,798,595
56,875,872
56,953,149
57,030,426
57,107,703
57,184,980
57,262,257
57,339,534
57,416,811
57,494,088

Page 29
Example1B

57,571,365
57,648,642
57,725,919
57,803,196
57,880,473
57,957,750
58,035,027
58,112,304
58,189,581
58,266,858
58,344,135
58,421,412
58,498,689
58,575,966
58,653,243
58,730,520
58,807,797
58,885,074

Page 30
 Example1B

distribution Marginal Probability

Probability
Credit Loss Distribution
2.50%
0.105230
-
-
-
-
0.016681 2.00%
-
-
-
-
0.001653
1.50%
-
-
-
-
0.017036
- 1.00%
-
-
-
0.003359
-
0.50%
-
-

0.005816
0.000399
0.008650 0.00%
- 0 5,000,000 10,000,000 15,000,000 20,000,000
-
0.001152
Loss
0.010720
0.001714
0.008765
-
0.000137
0.019818
0.000204
0.001737
-
0.010003
0.003762
0.004724
0.003165

Page 31
 Example1B

-
0.002027
0.002382
0.001003
0.002365
0.000201
0.000246
0.004645
0.000127
0.000934
0.000048
0.002556
0.001053
0.002347
0.000764
0.000907
0.001828
0.000850
0.002376
0.002197
0.003846
0.021727
0.003757
0.006640
0.002727
0.001081
0.010102
0.002744
0.005955
0.002778
0.000694
0.004204
0.005173
0.004049
0.001575
0.001410
0.005108
0.002194
0.002328
0.001038
0.000557
0.038311
0.001036
0.001620
0.001025
0.001898
0.008702
0.003783
0.001404
0.001224
0.001619
0.004282
0.002409
0.003759

Page 32
 Example1B

0.001309
0.002055
0.013654
0.002255
0.003824
0.001507
0.003596
0.005020
0.003367
0.002973
0.001748
0.004604
0.001910
0.006356
0.002318
0.000962
0.001825
0.007180
0.002188
0.005404
0.000841
0.001432
0.009906
0.001601
0.001966
0.001041
0.005547
0.002867
0.003905
0.002811
0.001723
0.004716
0.003230
0.003203
0.003013
0.001561
0.003159
0.004229
0.002936
0.002317
0.001379
0.003584
0.002876
0.003601
0.002050
0.001888
0.002784
0.002011
0.002902
0.002364
0.002739
0.010557
0.003009
0.004208

Page 33
 Example1B

0.002430
0.001536
0.005836
0.002776
0.003874
0.002270
0.001326
0.003381
0.003485
0.003327
0.001822
0.001885
0.004354
0.002441
0.002868
0.001673
0.001681
0.010406
0.002030
0.002367
0.001714
0.002157
0.003785
0.003297
0.002016
0.001614
0.001842
0.003140
0.002288
0.002990
0.001500
0.001906
0.005993
0.001949
0.002821
0.001540
0.002587
0.003000
0.002626
0.002368
0.001709
0.002728
0.001870
0.003332
0.002126
0.001316
0.001825
0.003476
0.002002
0.002769
0.001253
0.001711
0.003890
0.001872

Page 34
 Example1B

0.001730
0.001375
0.002623
0.001878
0.002410
0.001907
0.001605
0.002905
0.002155
0.002283
0.002031
0.001417
0.002297
0.002380
0.002175
0.001739
0.001300
0.002235
0.001976
0.002296
0.001585
0.001490
0.001951
0.001599
0.001971
0.001604
0.001608
0.003704
0.001799
0.002130
0.001569
0.001278
0.002497
0.001787
0.001982
0.001445
0.001180
0.001864
0.001811
0.001873
0.001296
0.001342
0.002236
0.001527
0.001779
0.001238
0.001300
0.002967
0.001445
0.001561
0.001241
0.001382
0.001678
0.001782

Page 35
 Example1B

0.001378
0.001144
0.001238
0.001638
0.001394
0.001602
0.001062
0.001205
0.002241
0.001224
0.001480
0.001052
0.001354
0.001446
0.001423
0.001311
0.001089
0.001377
0.001161
0.001535
0.001243
0.000943
0.001143
0.001516
0.001198
0.001316
0.000901
0.001092
0.001515
0.001167
0.001047
0.000933
0.001213
0.001035
0.001230
0.001046
0.000957
0.001323
0.001108
0.001165
0.001063
0.000864
0.001145
0.001130
0.001109
0.000951
0.000808
0.001080
0.001002
0.001113
0.000880
0.000847
0.001004
0.000886

Page 36
 Example1B

0.001011
0.000860
0.000837
0.001282
0.000906
0.000986
0.000828
0.000752
0.001017
0.000902
0.000921
0.000767
0.000708
0.000876
0.000851
0.000888
0.000712
0.000725
0.000959
0.000767
0.000854
0.000680
0.000701
0.000987
0.000746
0.000774
0.000666
0.000699
0.000742
0.000803
0.000706
0.000617
0.000647
0.000740
0.000687
0.000733
0.000579
0.000619
0.000830
0.000627
0.000677
0.000564
0.000628
0.000642
0.000659
0.000619
0.000557
0.000623
0.000576
0.000658
0.000594
0.000506
0.000563
0.000631

Page 37
 Example1B

0.000574
0.000583
0.000481
0.000536
0.000602
0.000560
0.000512
0.000480
0.000535
0.000493
0.000551
0.000494
0.000467
0.000548
0.000500
0.000517
0.000485
0.000431
0.000498
0.000491
0.000490
0.000445
0.000407
0.000468
0.000448
0.000479
0.000415
0.000405
0.000445
0.000412
0.000447
0.000399
0.000389
0.000470
0.000405
0.000423
0.000381
0.000363
0.000410
0.000397
0.000396
0.000356
0.000343
0.000376
0.000369
0.000381
0.000334
0.000336
0.000384
0.000342
0.000363
0.000318
0.000321
0.000365

Page 38
 Example1B

0.000331
0.000336
0.000306
0.000311
0.000315
0.000332
0.000312
0.000285
0.000292
0.000309
0.000299
0.000307
0.000269
0.000278
0.000313
0.000279
0.000286
0.000259
0.000269
0.000269
0.000278
0.000265
0.000249
0.000261
0.000251
0.000267
0.000254
0.000231
0.000243
0.000253
0.000244
0.000242
0.000219
0.000231
0.000238
0.000236
0.000221
0.000213
0.000222
0.000212
0.000226
0.000211
0.000203
0.000218
0.000208
0.000212
0.000203
0.000190
0.000202
0.000200
0.000200
0.000189
0.000179
0.000190

Page 39
 Example1B

0.000185
0.000193
0.000177
0.000174
0.000181
0.000173
0.000181
0.000168
0.000165
0.000178
0.000167
0.000170
0.000160
0.000155
0.000162
0.000161
0.000160
0.000150
0.000147
0.000152
0.000150
0.000153
0.000141
0.000141
0.000149
0.000141
0.000145
0.000134
0.000133
0.000139
0.000135
0.000135
0.000127
0.000128
0.000127
0.000131
0.000126
0.000119
0.000120
0.000122
0.000121
0.000121
0.000112
0.000114
0.000119
0.000114
0.000113
0.000107
0.000108
0.000107
0.01%
0.01%
0.01%
0.01%

Page 40
 Example1B

0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%

Page 41
 Example1B

0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

Page 42
 Example1B

0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

Page 43
 Example1B

0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

Page 44
 Example1B

0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

Page 45
 Example1B

stribution

000 20,000,000 25,000,000 30,000,000

Page 46
 Example1C

Example 1C - Hold To Maturity Analysis

Example 1C illustrates the use of the model for analysing the portfolio over its hold to maturity time hor
year time horizon, the data used in this example has been extended as follows:

- The obligor details used in the other examples have been extended to show the exposures rolling off ov
years. Before use, the data is rearranged in the Data Input to Model range.

- The static data (default rates and default rate standard deviations) used in the other examples have b
years. The one year default rates are the same as in the other examples, but this example also intro
default rates by specifying marginal probabilities of default in years 2 and 3 of the portfolio.

The model outputs are the same as the other example, but in this example the model calculates a risk co
for each year in which the obligor has an exposure outstanding.

Multi - Year Default Rate Data

Credit Marginal Default Rate Standard Deviation
Rating Year 1 Year 2 Year 3 Year 1 Year 2 Year 3
A 1.50% 2.50% 3.50% 0.75% 1.25% 1.75%
B 1.60% 3.10% 4.20% 0.80% 1.55% 2.10%
C 3.00% 4.40% 5.30% 1.50% 2.20% 2.65%
D 5.00% 6.30% 7.00% 2.50% 3.15% 3.50%
E 7.50% 8.60% 8.60% 3.75% 4.30% 4.30%
F 10.00% 10.10% 9.60% 5.00% 5.05% 4.80%
G 15.00% 13.10% 11.10% 7.50% 6.55% 5.55%
H 30.00% 19.90% 13.40% 15.00% 9.95% 6.70%

Multi - Year Obligor Details

Sector split Portfolio Exposure Profile
General
Name Rating economy Year 1 Year 2 Year 3
1 H 100% 358,475 358,475 0
2 H 100% 1,089,819 0 0
3 F 100% 1,799,710 0 0
4 G 100% 1,933,116 966,558 0
5 G 100% 2,317,327 0 0
6 G 100% 2,410,929 0 0
7 H 100% 2,652,184 0 0
8 G 100% 2,957,685 0 0
9 D 100% 3,137,989 3,137,989 3,137,989
10 D 100% 3,204,044 3,204,044 0
11 A 100% 4,727,724 4,727,724 4,727,724
12 D 100% 4,830,517 0 0
13 D 100% 4,912,097 4,912,097 0
14 H 100% 4,928,989 0 0
15 F 100% 5,042,312 0 0
16 E 100% 5,320,364 0 0
17 D 100% 5,435,457 2,717,729 0
18 C 100% 5,517,586 5,517,586 5,517,586
19 E 100% 5,764,596 2,882,298 1,441,149
20 C 100% 5,847,845 5,847,845 5,847,845
21 H 100% 6,466,533 0 0
22 H 100% 6,480,322 0 0
23 B 100% 7,727,651 0 0

Page 47
 Example1C

24 F 100% 15,410,906 0 0
25 E 100% 20,238,895 0 0

Page 48
 Example1C

its hold to maturity time horizon. To illustrate a multi -

ws:

ow the exposures rolling off over a period of up to three

in the other examples have been extended over three

, but this example also introduces a term structure of
of the portfolio.

the model calculates a risk contribution for each obligor

Data Input to Model

Default rateSector split
Mean Standard General
Year Name Exposure Rating Default rate Deviation economy
1 1 (Year 1) 358,475 H 30.00% 15.00% 100%
2 (Year 1) 1,089,819 H 30.00% 15.00% 100%
3 (Year 1) 1,799,710 F 10.00% 5.00% 100%
4 (Year 1) 1,933,116 G 15.00% 7.50% 100%
5 (Year 1) 2,317,327 G 15.00% 7.50% 100%
6 (Year 1) 2,410,929 G 15.00% 7.50% 100%
7 (Year 1) 2,652,184 H 30.00% 15.00% 100%
8 (Year 1) 2,957,685 G 15.00% 7.50% 100%

9 (Year 1) 3,137,989 D 5.00% 2.50% 100%

10 (Year 1) 3,204,044 D 5.00% 2.50% 100%
11 (Year 1) 4,727,724 A 1.50% 0.75% 100%
12 (Year 1) 4,830,517 D 5.00% 2.50% 100%
13 (Year 1) 4,912,097 D 5.00% 2.50% 100%
14 (Year 1) 4,928,989 H 30.00% 15.00% 100%
15 (Year 1) 5,042,312 F 10.00% 5.00% 100%
16 (Year 1) 5,320,364 E 7.50% 3.75% 100%
17 (Year 1) 5,435,457 D 5.00% 2.50% 100%
18 (Year 1) 5,517,586 C 3.00% 1.50% 100%
19 (Year 1) 5,764,596 E 7.50% 3.75% 100%
20 (Year 1) 5,847,845 C 3.00% 1.50% 100%
21 (Year 1) 6,466,533 H 30.00% 15.00% 100%
22 (Year 1) 6,480,322 H 30.00% 15.00% 100%
23 (Year 1) 7,727,651 B 1.60% 0.80% 100%
24 (Year 1) 15,410,906 F 10.00% 5.00% 100%
25 (Year 1) 20,238,895 E 7.50% 3.75% 100%
2 1 (Year 2) 358,475 H 19.90% 9.95% 100%
4 (Year 2) 966,558 G 13.10% 6.55% 100%
9 (Year 2) 3,137,989 D 6.30% 3.15% 100%
10 (Year 2) 3,204,044 D 6.30% 3.15% 100%
11 (Year 2) 4,727,724 A 2.50% 1.25% 100%
13 (Year 2) 4,912,097 D 6.30% 3.15% 100%
17 (Year 2) 2,717,729 D 6.30% 3.15% 100%
18 (Year 2) 5,517,586 C 4.40% 2.20% 100%
19 (Year 2) 2,882,298 E 8.60% 4.30% 100%
20 (Year 2) 5,847,845 C 4.40% 2.20% 100%

Page 49
 Example1C

3 9 (Year 3) 3,137,989 D 7.00% 3.50% 100%

11 (Year 3) 4,727,724 A 3.50% 1.75% 100%
18 (Year 3) 5,517,586 C 5.30% 2.65% 100%
19 (Year 3) 1,441,149 E 8.60% 4.30% 100%
20 (Year 3) 5,847,845 C 5.30% 2.65% 100%

Page 50
 Example1C

Outputs - Risk Contributions, Percentiles and loss distribution

Credit Credit
Expected Risk Loss Loss
Name LossContribution Percentile Amount Amount
1 (Year 1) 107,543 127,990 Mean 17,277,632 0
2 (Year 1) 326,946 398,799 50.00 14,004,723 202,389
3 (Year 1) 179,971 219,839 75.00 24,443,572 404,778
4 (Year 1) 289,967 358,605 95.00 44,412,639 607,167
5 (Year 1) 347,599 435,219 97.50 52,213,223 809,556
6 (Year 1) 361,639 449,260 99.00 ### 1,011,945
7 (Year 1) 795,655 1,012,367 99.50 69,344,616 1,214,334
8 (Year 1) 443,653 563,033 99.75 76,431,751 1,416,723

9 (Year 1) 156,899 200,514 99.90 85,604,997 1,619,112

10 (Year 1) 160,202 203,816 1,821,501
11 (Year 1) 70,916 94,747 2,023,890
12 (Year 1) 241,526 320,963 2,226,279
13 (Year 1) 245,605 330,177 2,428,668
14 (Year 1) 1,478,697 1,986,128 2,631,057
15 (Year 1) 504,231 673,375 2,833,446
16 (Year 1) 399,027 541,946 3,035,835
17 (Year 1) 271,773 367,052 3,238,224
18 (Year 1) 165,528 226,039 3,440,613
19 (Year 1) 432,345 592,201 3,643,002
20 (Year 1) 175,435 239,378 3,845,391
21 (Year 1) 1,939,960 2,687,580 4,047,780
22 (Year 1) 1,944,097 2,729,534 4,250,169
23 (Year 1) 123,642 178,615 4,452,558
24 (Year 1) 1,541,091 2,646,619 4,654,947
25 (Year 1) 1,517,917 2,846,573 4,857,336
1 (Year 2) 71,337 84,900 5,059,725
4 (Year 2) 126,619 151,809 5,262,114
9 (Year 2) 197,693 252,647 5,464,503
10 (Year 2) 201,855 256,809 5,666,892
11 (Year 2) 118,193 157,912 5,869,281
13 (Year 2) 309,462 416,023 6,071,670
17 (Year 2) 171,217 216,726 6,274,059
18 (Year 2) 242,774 331,524 6,476,448
19 (Year 2) 247,878 316,322 6,678,837
20 (Year 2) 257,305 351,088 6,881,226

Page 51
 Example1C

9 (Year 3) 219,659 280,719 7,083,615

11 (Year 3) 165,470 221,076 7,286,004
18 (Year 3) 292,432 399,335 7,488,393
19 (Year 3) 123,939 153,411 7,690,782
20 (Year 3) 309,936 422,901 7,893,171
8,095,560
8,297,949
8,500,338
8,702,727
8,905,116
9,107,505
9,309,894
9,512,283
9,714,672
9,917,061
10,119,450
10,321,839
10,524,228
10,726,617
10,929,006
11,131,395
11,333,784
11,536,173
11,738,562
11,940,951
12,143,340
12,345,729
12,548,118
12,750,507
12,952,896
13,155,285
13,357,674
13,560,063
13,762,452
13,964,841
14,167,230
14,369,619
14,572,008
14,774,397
14,976,786
15,179,175
15,381,564
15,583,953
15,786,342
15,988,731
16,191,120
16,393,509
16,595,898
16,798,287
17,000,676
17,203,065
17,405,454
17,607,843
17,810,232

Page 52
Example1C

18,012,621
18,215,010
18,417,399
18,619,788
18,822,177
19,024,566
19,226,955
19,429,344
19,631,733
19,834,122
20,036,511
20,238,900
20,441,289
20,643,678
20,846,067
21,048,456
21,250,845
21,453,234
21,655,623
21,858,012
22,060,401
22,262,790
22,465,179
22,667,568
22,869,957
23,072,346
23,274,735
23,477,124
23,679,513
23,881,902
24,084,291
24,286,680
24,489,069
24,691,458
24,893,847
25,096,236
25,298,625
25,501,014
25,703,403
25,905,792
26,108,181
26,310,570
26,512,959
26,715,348
26,917,737
27,120,126
27,322,515
27,524,904
27,727,293
27,929,682
28,132,071
28,334,460
28,536,849
28,739,238

Page 53
Example1C

28,941,627
29,144,016
29,346,405
29,548,794
29,751,183
29,953,572
30,155,961
30,358,350
30,560,739
30,763,128
30,965,517
31,167,906
31,370,295
31,572,684
31,775,073
31,977,462
32,179,851
32,382,240
32,584,629
32,787,018
32,989,407
33,191,796
33,394,185
33,596,574
33,798,963
34,001,352
34,203,741
34,406,130
34,608,519
34,810,908
35,013,297
35,215,686
35,418,075
35,620,464
35,822,853
36,025,242
36,227,631
36,430,020
36,632,409
36,834,798
37,037,187
37,239,576
37,441,965
37,644,354
37,846,743
38,049,132
38,251,521
38,453,910
38,656,299
38,858,688
39,061,077
39,263,466
39,465,855
39,668,244

Page 54
Example1C

39,870,633
40,073,022
40,275,411
40,477,800
40,680,189
40,882,578
41,084,967
41,287,356
41,489,745
41,692,134
41,894,523
42,096,912
42,299,301
42,501,690
42,704,079
42,906,468
43,108,857
43,311,246
43,513,635
43,716,024
43,918,413
44,120,802
44,323,191
44,525,580
44,727,969
44,930,358
45,132,747
45,335,136
45,537,525
45,739,914
45,942,303
46,144,692
46,347,081
46,549,470
46,751,859
46,954,248
47,156,637
47,359,026
47,561,415
47,763,804
47,966,193
48,168,582
48,370,971
48,573,360
48,775,749
48,978,138
49,180,527
49,382,916
49,585,305
49,787,694
49,990,083
50,192,472
50,394,861
50,597,250

Page 55
Example1C

50,799,639
51,002,028
51,204,417
51,406,806
51,609,195
51,811,584
52,013,973
52,216,362
52,418,751
52,621,140
52,823,529
53,025,918
53,228,307
53,430,696
53,633,085
53,835,474
54,037,863
54,240,252
54,442,641
54,645,030
54,847,419
55,049,808
55,252,197
55,454,586
55,656,975
55,859,364
56,061,753
56,264,142
56,466,531
56,668,920
56,871,309
57,073,698
57,276,087
57,478,476
57,680,865
57,883,254
58,085,643
58,288,032
58,490,421
58,692,810
58,895,199
59,097,588
59,299,977
59,502,366
59,704,755
59,907,144
60,109,533
60,311,922
60,514,311
60,716,700
60,919,089
61,121,478
61,323,867
61,526,256

Page 56
Example1C

61,728,645
61,931,034
62,133,423
62,335,812
62,538,201
62,740,590
62,942,979
63,145,368
63,347,757
63,550,146
63,752,535
63,954,924
64,157,313
64,359,702
64,562,091
64,764,480
64,966,869
65,169,258
65,371,647
65,574,036
65,776,425
65,978,814
66,181,203
66,383,592
66,585,981
66,788,370
66,990,759
67,193,148
67,395,537
67,597,926
67,800,315
68,002,704
68,205,093
68,407,482
68,609,871
68,812,260
69,014,649
69,217,038
69,419,427
69,621,816
69,824,205
70,026,594
70,228,983
70,431,372
70,633,761
70,836,150
71,038,539
71,240,928
71,443,317
71,645,706
71,848,095
72,050,484
72,252,873
72,455,262

Page 57
Example1C

72,657,651
72,860,040
73,062,429
73,264,818
73,467,207
73,669,596
73,871,985
74,074,374
74,276,763
74,479,152
74,681,541
74,883,930
75,086,319
75,288,708
75,491,097
75,693,486
75,895,875
76,098,264
76,300,653
76,503,042
76,705,431
76,907,820
77,110,209
77,312,598
77,514,987
77,717,376
77,919,765
78,122,154
78,324,543
78,526,932
78,729,321
78,931,710
79,134,099
79,336,488
79,538,877
79,741,266
79,943,655
80,146,044
80,348,433
80,550,822
80,753,211
80,955,600
81,157,989
81,360,378
81,562,767
81,765,156
81,967,545
82,169,934
82,372,323
82,574,712
82,777,101
82,979,490
83,181,879
83,384,268

Page 58
Example1C

83,586,657
83,789,046
83,991,435
84,193,824
84,396,213
84,598,602
84,800,991
85,003,380
85,205,769
85,408,158
85,610,547
85,812,936
86,015,325
86,217,714
86,420,103
86,622,492
86,824,881
87,027,270
87,229,659
87,432,048
87,634,437
87,836,826
88,039,215
88,241,604
88,443,993
88,646,382
88,848,771
89,051,160
89,253,549
89,455,938
89,658,327
89,860,716
90,063,105
90,265,494
90,467,883
90,670,272
90,872,661
91,075,050
91,277,439
91,479,828
91,682,217
91,884,606
92,086,995
92,289,384

Page 59
 Example1C

loss distribution
Marginal Probability

Probability Hold to Maturity Credit Loss Distribution

0.057848 2.50%
-
0.012537
-
0.001698
0.003550 2.00%
0.007822
0.000962

0.004258
0.002959 1.50%
0.005127
0.001365
0.010199
0.000483
0.012908 1.00%
0.007347
0.012190
0.002846
0.004676
0.001638 0.50%
0.003779
0.002744
0.003722
0.001906
0.00%
0.007166
0 20,000,000 40,000,000 60,000,000 80,000,000
0.016090
0.004922
0.009508 Loss
0.007809
0.009987
0.006697
0.006671
0.012383
0.012492
0.006559

Page 60
 Example1C

0.006688
0.004097
0.006751
0.005744
0.009481
0.006878
0.009229
0.006100
0.007478
0.006712
0.007061
0.006091
0.007480
0.006681
0.007510
0.006656
0.005559
0.006006
0.006787
0.006927
0.006181
0.006526
0.008617
0.007913
0.006721
0.006844
0.006724
0.006673
0.006027
0.006874
0.006834
0.006759
0.005794
0.005940
0.005657
0.005850
0.005864
0.006199
0.005945
0.005902
0.005400
0.005418
0.008090
0.005335
0.005945
0.005168
0.005298
0.005590
0.005466
0.004912
0.005204
0.005209
0.005168
0.004795

Page 61
 Example1C

0.005511
0.004921
0.005487
0.004908
0.005227
0.004541
0.004588
0.004327
0.004529
0.004362
0.004323
0.006170
0.004356
0.005358
0.004122
0.004445
0.004376
0.004631
0.004083
0.004111
0.004316
0.004393
0.003855
0.004192
0.003517
0.004291
0.003885
0.004313
0.003635
0.003897
0.003448
0.003608
0.003444
0.003514
0.003280
0.003576
0.003844
0.003398
0.003490
0.003295
0.003381
0.003287
0.003237
0.003393
0.003366
0.003228
0.003141
0.002898
0.003003
0.002903
0.003074
0.002852
0.003006
0.002795

Page 62
 Example1C

0.002850
0.002695
0.002700
0.002595
0.002663
0.002578
0.002627
0.002526
0.002446
0.002390
0.002414
0.002465
0.002330
0.002327
0.002387
0.002325
0.002266
0.002218
0.002163
0.002152
0.002103
0.002116
0.002068
0.002079
0.001982
0.001983
0.001914
0.001917
0.001868
0.001869
0.001821
0.001811
0.001750
0.001728
0.001811
0.001681
0.001705
0.001624
0.001619
0.001614
0.001586
0.001530
0.001517
0.001511
0.001490
0.001441
0.001459
0.001401
0.001426
0.001370
0.001378
0.001313
0.001310
0.001267

Page 63
 Example1C

0.001266
0.001236
0.001222
0.001232
0.001189
0.001206
0.001145
0.001141
0.001118
0.001112
0.001081
0.001062
0.001058
0.001044
0.001014
0.001005
0.000964
0.000979
0.000950
0.000956
0.000915
0.000919
0.000883
0.000880
0.000856
0.000849
0.000825
0.000826
0.000816
0.000797
0.000784
0.000766
0.000755
0.000745
0.000734
0.000724
0.000712
0.000703
0.000688
0.000671
0.000662
0.000648
0.000645
0.000628
0.000625
0.000608
0.000603
0.000586
0.000579
0.000565
0.000560
0.000548
0.000543
0.000531

Page 64
 Example1C

0.000521
0.000510
0.000503
0.000498
0.000486
0.000479
0.000473
0.000464
0.000456
0.000447
0.000438
0.000431
0.000424
0.000418
0.000409
0.000405
0.000395
0.000390
0.000381
0.000376
0.000367
0.000363
0.000355
0.000350
0.000342
0.000337
0.000333
0.000325
0.000321
0.000313
0.000308
0.000303
0.000298
0.000292
0.000286
0.000282
0.000277
0.000272
0.000268
0.000262
0.000259
0.000253
0.000250
0.000243
0.000240
0.000235
0.000231
0.000226
0.000223
0.000219
0.000215
0.000212
0.000207
0.000203

Page 65
 Example1C

0.000199
0.000196
0.000192
0.000189
0.000186
0.000182
0.000179
0.000176
0.000172
0.000169
0.000166
0.000164
0.000160
0.000157
0.000154
0.000151
0.000148
0.000146
0.000143
0.000141
0.000138
0.000135
0.000133
0.000130
0.000128
0.000126
0.000123
0.000121
0.000119
0.000117
0.000114
0.000112
0.000110
0.000108
0.000106
0.000104
0.000102
0.000100
0.000098
0.000096
0.000095
0.000093
0.000091
0.000089
0.000088
0.000086
0.000084
0.000083
0.000081
0.000080
0.000078
0.000077
0.000075
0.000074

Page 66
 Example1C

0.000072
0.000071
0.000070
0.000068
0.000067
0.000066
0.000064
0.000063
0.000062
0.000061
0.000060
0.000059
0.000057
0.000056
0.000055
0.000054
0.000053
0.000052
0.000051
0.000050
0.000049
0.000048
0.000047
0.000046
0.000045
0.000045
0.000044
0.000043
0.000042
0.000041
0.000040
0.000040
0.000039
0.000038
0.000037
0.000037
0.000036
0.000035
0.000035
0.000034
0.000033
0.000033
0.000032
0.000031
0.000031
0.000030
0.000029
0.000029
0.000028
0.000028
0.000027
0.000027
0.000026
0.000026

Page 67
 Example1C

0.000025
0.000025
0.000024
0.000024
0.000023
0.000023
0.000022
0.000022
0.000021
0.000021
0.000021
0.000020
0.000020
0.000019
0.000019
0.000019
0.000018
0.000018
0.000018
0.000017
0.000017
0.000017
0.000016
0.000016
0.000016
0.000015
0.000015
0.000015
0.000014
0.000014
0.000014
0.000014
0.000013
0.000013
0.000013
0.000012
0.000012
0.000012
0.000012
0.000011
0.000011
0.000011
0.000011
0.000011

Page 68
 Example1C

s Distribution

,000 80,000,000 100,000,000

Page 69
 Example2

Example 2 - Each obligor allocated to only one sector

In example 2, each obligor is allocated to only one sector. In this example, countries
are the sectors. This assumes that each obligor is subject to only one systematic
factor, which is responsible for all of the uncertainty of the obligor's default rate.

Obligor Details
Default rate Sector split
Mean Standard
Name Exposure Rating Default rate Deviation US Japan
1 358,475 H 30.00% 15.00% 100% 0%
2 1,089,819 H 30.00% 15.00% 0% 100%
3 1,799,710 F 10.00% 5.00% 0% 100%
4 1,933,116 G 15.00% 7.50% 100% 0%
5 2,317,327 G 15.00% 7.50% 0% 0%
6 2,410,929 G 15.00% 7.50% 0% 0%
7 2,652,184 H 30.00% 15.00% 100% 0%
8 2,957,685 G 15.00% 7.50% 0% 100%
9 3,137,989 D 5.00% 2.50% 0% 0%
10 3,204,044 D 5.00% 2.50% 0% 0%
11 4,727,724 A 1.50% 0.75% 100% 0%
12 4,830,517 D 5.00% 2.50% 0% 0%
13 4,912,097 D 5.00% 2.50% 0% 0%
14 4,928,989 H 30.00% 15.00% 0% 100%
15 5,042,312 F 10.00% 5.00% 0% 0%
16 5,320,364 E 7.50% 3.75% 0% 0%
17 5,435,457 D 5.00% 2.50% 100% 0%
18 5,517,586 C 3.00% 1.50% 100% 0%
19 5,764,596 E 7.50% 3.75% 100% 0%
20 5,847,845 C 3.00% 1.50% 100% 0%
21 6,466,533 H 30.00% 15.00% 100% 0%
22 6,480,322 H 30.00% 15.00% 0% 0%
23 7,727,651 B 1.60% 0.80% 0% 100%
24 15,410,906 F 10.00% 5.00% 0% 0%
25 20,238,895 E 7.50% 3.75% 100% 0%

Page 70
 Example2

Outputs - Risk Contributions, Percentiles and loss d

ector split Credit
Expected Risk Loss
Europe Total Name LossContribution Percentile Amount
0% 100% 1 107,543 168,936 Mean 14,221,863
0% 100% 2 326,946 511,728 50.00 11,638,427
0% 100% 3 179,971 302,643 75.00 20,130,908
0% 100% 4 289,967 578,033 95.00 36,057,338
100% 100% 5 347,599 737,015 97.50 42,221,594
100% 100% 6 361,639 751,055 99.00 ###
0% 100% 7 795,655 1,790,652 99.50 55,540,041
0% 100% 8 443,653 901,736 99.75 60,993,272
100% 100% 9 156,899 365,862 99.90 68,017,542
100% 100% 10 160,202 369,164
0% 100% 11 70,916 196,576
100% 100% 12 241,526 662,634
100% 100% 13 245,605 698,278
0% 100% 14 1,478,697 3,846,771
100% 100% 15 504,231 1,409,577
100% 100% 16 399,027 1,177,778
0% 100% 17 271,773 788,418
0% 100% 18 165,528 496,416
0% 100% 19 432,345 1,313,502
0% 100% 20 175,435 527,898
0% 100% 21 1,939,960 6,152,202
100% 100% 22 1,944,097 6,417,499
0% 100% 23 123,642 418,641
100% 100% 24 1,541,091 8,820,070
0% 100% 25 1,517,917 10,528,419

Page 71
 Example2

entiles and loss distribution

Credit

Marginal Probability
Loss
AmountProbability Credit Loss Distribution
2.50%
0 0.062217
202,389 -
404,778 0.012567
607,167 -
809,556 0.001586
1,011,945 - 2.00%
1,214,334 0.014056
1,416,723 -
1,619,112 0.002821
1,821,501 0.005099
2,023,890 0.007132 1.50%
2,226,279 0.001030
2,428,668 0.018075
2,631,057 0.000130
2,833,446 0.016843
3,035,835 0.008979 1.00%
3,238,224 0.010139
3,440,613 0.001812
3,643,002 0.005601
3,845,391 0.000784
4,047,780 0.004418
0.50%
4,250,169 0.003687
4,452,558 0.003865
4,654,947 0.001824
4,857,336 0.009176
5,059,725 0.024124
5,262,114 0.006134 0.00%
5,464,503 0.013317 0 10,000,000 20,000,000 30,000,000 40,00
5,666,892 0.006431 Loss
5,869,281 0.009293
6,071,670 0.005076
6,274,059 0.008960
6,476,448 0.016482
6,678,837 0.018602
6,881,226 0.008112
7,083,615 0.008065
7,286,004 0.004502
7,488,393 0.009645
7,690,782 0.006614
7,893,171 0.014445
8,095,560 0.007351
8,297,949 0.010160
8,500,338 0.007036

Page 72
 Example2

8,702,727 0.008213
8,905,116 0.007289
9,107,505 0.009600
9,309,894 0.007904
9,512,283 0.009289
9,714,672 0.007387
9,917,061 0.008408
10,119,450 0.008695
10,321,839 0.006448
10,524,228 0.007350
10,726,617 0.006693
10,929,006 0.007270
11,131,395 0.005679
11,333,784 0.007243
11,536,173 0.010862
11,738,562 0.010843
11,940,951 0.007828
12,143,340 0.008072
12,345,729 0.006921
12,548,118 0.006993
12,750,507 0.006061
12,952,896 0.009100
13,155,285 0.008083
13,357,674 0.008601
13,560,063 0.005935
13,762,452 0.005981
13,964,841 0.005567
14,167,230 0.006667
14,369,619 0.006517
14,572,008 0.007085
14,774,397 0.005997
14,976,786 0.006154
15,179,175 0.005585
15,381,564 0.005450
15,583,953 0.010166
15,786,342 0.005672
15,988,731 0.006171
16,191,120 0.004976
16,393,509 0.005061
16,595,898 0.005432
16,798,287 0.006147
17,000,676 0.004714
17,203,065 0.004945
17,405,454 0.004934
17,607,843 0.004849
17,810,232 0.004220
18,012,621 0.006535
18,215,010 0.004906
18,417,399 0.006160
18,619,788 0.004746
18,822,177 0.004950
19,024,566 0.003835
19,226,955 0.004236
19,429,344 0.003820

Page 73
 Example2

19,631,733 0.004342
19,834,122 0.004042
20,036,511 0.003975
20,238,900 0.006869
20,441,289 0.003971
20,643,678 0.005997
20,846,067 0.003820
21,048,456 0.004370
21,250,845 0.003628
21,453,234 0.004397
21,655,623 0.003298
21,858,012 0.003586
22,060,401 0.004198
22,262,790 0.004833
22,465,179 0.003252
22,667,568 0.004127
22,869,957 0.002721
23,072,346 0.004464
23,274,735 0.003381
23,477,124 0.004247
23,679,513 0.002879
23,881,902 0.003363
24,084,291 0.002626
24,286,680 0.002978
24,489,069 0.002764
24,691,458 0.003177
24,893,847 0.002670
25,096,236 0.003263
25,298,625 0.003727
25,501,014 0.002894
25,703,403 0.003188
25,905,792 0.002671
26,108,181 0.002851
26,310,570 0.002489
26,512,959 0.002647
26,715,348 0.003099
26,917,737 0.003028
27,120,126 0.002876
27,322,515 0.002875
27,524,904 0.002274
27,727,293 0.002550
27,929,682 0.002270
28,132,071 0.002721
28,334,460 0.002117
28,536,849 0.002585
28,739,238 0.002280
28,941,627 0.002417
29,144,016 0.002028
29,346,405 0.002096
29,548,794 0.002028
29,751,183 0.002194
29,953,572 0.001977
30,155,961 0.002093
30,358,350 0.001919

Page 74
 Example2

30,560,739 0.001813
30,763,128 0.001763
30,965,517 0.001742
31,167,906 0.001966
31,370,295 0.001662
31,572,684 0.001725
31,775,073 0.001893
31,977,462 0.001803
32,179,851 0.001716
32,382,240 0.001705
32,584,629 0.001553
32,787,018 0.001516
32,989,407 0.001438
33,191,796 0.001609
33,394,185 0.001471
33,596,574 0.001635
33,798,963 0.001399
34,001,352 0.001446
34,203,741 0.001277
34,406,130 0.001344
34,608,519 0.001281
34,810,908 0.001300
35,013,297 0.001200
35,215,686 0.001243
35,418,075 0.001166
35,620,464 0.001143
35,822,853 0.001324
36,025,242 0.001110
36,227,631 0.001192
36,430,020 0.001045
36,632,409 0.001045
36,834,798 0.001027
37,037,187 0.001027
37,239,576 0.000937
37,441,965 0.000935
37,644,354 0.000955
37,846,743 0.000969
38,049,132 0.000855
38,251,521 0.000973
38,453,910 0.000846
38,656,299 0.000958
38,858,688 0.000832
39,061,077 0.000879
39,263,466 0.000742
39,465,855 0.000770
39,668,244 0.000716
39,870,633 0.000740
40,073,022 0.000705
40,275,411 0.000725
40,477,800 0.000778
40,680,189 0.000690
40,882,578 0.000754
41,084,967 0.000658
41,287,356 0.000668

Page 75
 Example2

41,489,745 0.000616
41,692,134 0.000632
41,894,523 0.000576
42,096,912 0.000571
42,299,301 0.000604
42,501,690 0.000612
42,704,079 0.000553
42,906,468 0.000578
43,108,857 0.000488
43,311,246 0.000563
43,513,635 0.000495
43,716,024 0.000540
43,918,413 0.000454
44,120,802 0.000491
44,323,191 0.000440
44,525,580 0.000458
44,727,969 0.000421
44,930,358 0.000434
45,132,747 0.000407
45,335,136 0.000435
45,537,525 0.000429
45,739,914 0.000404
45,942,303 0.000393
46,144,692 0.000373
46,347,081 0.000367
46,549,470 0.000351
46,751,859 0.000357
46,954,248 0.000366
47,156,637 0.000348
47,359,026 0.000351
47,561,415 0.000339
47,763,804 0.000314
47,966,193 0.000316
48,168,582 0.000298
48,370,971 0.000307
48,573,360 0.000276
48,775,749 0.000297
48,978,138 0.000277
49,180,527 0.000286
49,382,916 0.000260
49,585,305 0.000260
49,787,694 0.000248
49,990,083 0.000252
50,192,472 0.000239
50,394,861 0.000240
50,597,250 0.000225
50,799,639 0.000222
51,002,028 0.000213
51,204,417 0.000211
51,406,806 0.000214
51,609,195 0.000199
51,811,584 0.000202
52,013,973 0.000203
52,216,362 0.000194

Page 76
 Example2

52,418,751 0.000190
52,621,140 0.000184
52,823,529 0.000176
53,025,918 0.000170
53,228,307 0.000166
53,430,696 0.000172
53,633,085 0.000159
53,835,474 0.000166
54,037,863 0.000153
54,240,252 0.000155
54,442,641 0.000143
54,645,030 0.000146
54,847,419 0.000138
55,049,808 0.000136
55,252,197 0.000130
55,454,586 0.000130
55,656,975 0.000125
55,859,364 0.000124
56,061,753 0.000125
56,264,142 0.000118
56,466,531 0.000118
56,668,920 0.000111
56,871,309 0.000109
57,073,698 0.000106
57,276,087 0.000103
57,478,476 0.000099
57,680,865 0.000097
57,883,254 0.000097
58,085,643 0.000095
58,288,032 0.000090
58,490,421 0.000093
58,692,810 0.000086
58,895,199 0.000090
59,097,588 0.000083
59,299,977 0.000084
59,502,366 0.000076
59,704,755 0.000077
59,907,144 0.000073
60,109,533 0.000073
60,311,922 0.000070
60,514,311 0.000070
60,716,700 0.000070
60,919,089 0.000067
61,121,478 0.000067
61,323,867 0.000064
61,526,256 0.000062
61,728,645 0.000059
61,931,034 0.000058
62,133,423 0.000056
62,335,812 0.000055
62,538,201 0.000055
62,740,590 0.000054
62,942,979 0.000052
63,145,368 0.000051

Page 77
 Example2

63,347,757 0.000048
63,550,146 0.000049
63,752,535 0.000046
63,954,924 0.000047
64,157,313 0.000043
64,359,702 0.000044
64,562,091 0.000041
64,764,480 0.000041
64,966,869 0.000039
65,169,258 0.000039
65,371,647 0.000037
65,574,036 0.000038
65,776,425 0.000037
65,978,814 0.000035
66,181,203 0.000034
66,383,592 0.000033
66,585,981 0.000032
66,788,370 0.000031
66,990,759 0.000031
67,193,148 0.000031
67,395,537 0.000029
67,597,926 0.000029
67,800,315 0.000028
68,002,704 0.000027
68,205,093 0.000026
68,407,482 0.000026
68,609,871 0.000025
68,812,260 0.000024
69,014,649 0.000024
69,217,038 0.000023
69,419,427 0.000023
69,621,816 0.000022
69,824,205 0.000022
70,026,594 0.000021
70,228,983 0.000021
70,431,372 0.000020
70,633,761 0.000019
70,836,150 0.000019
71,038,539 0.000018
71,240,928 0.000018
71,443,317 0.000017
71,645,706 0.000017
71,848,095 0.000016
72,050,484 0.000016
72,252,873 0.000016
72,455,262 0.000015
72,657,651 0.000015
72,860,040 0.000014
73,062,429 0.000014

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 Example2

oss Distribution

30,000,000 40,000,000 50,000,000 60,000,000

Loss

Page 79
 Example3

Example 3 - Each obligor apportioned to several sectors

In example 3, each obligor is apportioned to a number of sectors. Countries are the
sectors. This reflects the situation in which the fortunes of an obligor are affected by
a number of systematic factors.

Obligor Details
Default rate Sector split
Mean Standard
Name Exposure Rating Default rate Deviation Specific US
1 358,475 H 30.00% 15.00% 50% 30%
2 1,089,819 H 30.00% 15.00% 25% 25%
3 1,799,710 F 10.00% 5.00% 25% 25%
4 1,933,116 G 15.00% 7.50% 75% 5%
5 2,317,327 G 15.00% 7.50% 50% 10%
6 2,410,929 G 15.00% 7.50% 50% 20%
7 2,652,184 H 30.00% 15.00% 25% 10%
8 2,957,685 G 15.00% 7.50% 25% 25%
9 3,137,989 D 5.00% 2.50% 25% 25%
10 3,204,044 D 5.00% 2.50% 75% 10%
11 4,727,724 A 1.50% 0.75% 50% 10%
12 4,830,517 D 5.00% 2.50% 50% 20%
13 4,912,097 D 5.00% 2.50% 25% 25%
14 4,928,989 H 30.00% 15.00% 25% 10%
15 5,042,312 F 10.00% 5.00% 25% 25%
16 5,320,364 E 7.50% 3.75% 75% 10%
17 5,435,457 D 5.00% 2.50% 50% 20%
18 5,517,586 C 3.00% 1.50% 50% 10%
19 5,764,596 E 7.50% 3.75% 25% 25%
20 5,847,845 C 3.00% 1.50% 25% 10%
21 6,466,533 H 30.00% 15.00% 25% 25%
22 6,480,322 H 30.00% 15.00% 75% 10%
23 7,727,651 B 1.60% 0.80% 25% 25%
24 15,410,906 F 10.00% 5.00% 50% 20%
25 20,238,895 E 7.50% 3.75% 75% 10%

Page 80
 Example3

Outputs - Risk Contributions, Percentiles a

Sector split
Expected Risk
Japan Europe Total Name LossContribution Percentile
10% 10% 100% 1 107,543 132,135 Mean
25% 25% 100% 2 326,946 502,289 50.00
20% 30% 100% 3 179,971 300,141 75.00
10% 10% 100% 4 289,967 478,303 95.00
10% 30% 100% 5 347,599 636,952 97.50
10% 20% 100% 6 361,639 647,720 99.00
10% 55% 100% 7 795,655 1,622,446 99.50
20% 30% 100% 8 443,653 900,853 99.75
25% 25% 100% 9 156,899 327,733 99.90
5% 10% 100% 10 160,202 316,679
10% 30% 100% 11 70,916 178,954
10% 20% 100% 12 241,526 599,473
25% 25% 100% 13 245,605 643,179
10% 55% 100% 14 1,478,697 3,913,177
30% 20% 100% 15 504,231 1,296,202
5% 10% 100% 16 399,027 1,053,788
10% 20% 100% 17 271,773 721,496
10% 30% 100% 18 165,528 456,637
20% 30% 100% 19 432,345 1,227,919
10% 55% 100% 20 175,435 498,248
20% 30% 100% 21 1,939,960 5,785,915
5% 10% 100% 22 1,944,097 5,834,960
20% 30% 100% 23 123,642 424,355
10% 20% 100% 24 1,541,091 8,577,162
10% 5% 100% 25 1,517,917 10,291,517

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 Example3

tions, Percentiles and loss distribution

Credit Credit

Marginal Probability
Loss Loss
Amount AmountProbability Credit Los
14,221,863 0 0.049859 2.50%
11,879,523 202,389 -
20,017,506 404,778 0.012399
34,771,678 607,167 -
40,396,985 809,556 0.001579
### 1,011,945 - 2.00%
52,374,307 1,214,334 0.012238
57,208,805 1,416,723 -
63,422,062 1,619,112 0.003103
1,821,501 0.004422
2,023,890 0.007311 1.50%
2,226,279 0.001131
2,428,668 0.016815
2,631,057 0.000148
2,833,446 0.016397
3,035,835 0.007673 1.00%
3,238,224 0.009910
3,440,613 0.001967
3,643,002 0.005756
3,845,391 0.000879
4,047,780 0.004818 0.50%
4,250,169 0.003220
4,452,558 0.004330
4,654,947 0.001965
4,857,336 0.008666
5,059,725 0.021434 0.00%
5,262,114 0.006729 0 10,000,000 20,000,000
5,464,503 0.013615
5,666,892 0.006388
5,869,281 0.009449
6,071,670 0.005014
6,274,059 0.008145
6,476,448 0.016036
6,678,837 0.018484
6,881,226 0.007864
7,083,615 0.009306
7,286,004 0.004458
7,488,393 0.009671
7,690,782 0.007045
7,893,171 0.015267
8,095,560 0.006862
8,297,949 0.011157
8,500,338 0.007190

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 Example3

8,702,727 0.008773
8,905,116 0.007956
9,107,505 0.009656
9,309,894 0.007497
9,512,283 0.010512
9,714,672 0.007532
9,917,061 0.008740
10,119,450 0.008667
10,321,839 0.007094
10,524,228 0.007670
10,726,617 0.007511
10,929,006 0.007823
11,131,395 0.006054
11,333,784 0.007362
11,536,173 0.011409
11,738,562 0.011094
11,940,951 0.008539
12,143,340 0.008595
12,345,729 0.007080
12,548,118 0.007548
12,750,507 0.006422
12,952,896 0.009394
13,155,285 0.008850
13,357,674 0.009030
13,560,063 0.006446
13,762,452 0.006691
13,964,841 0.006031
14,167,230 0.006810
14,369,619 0.007127
14,572,008 0.007693
14,774,397 0.006285
14,976,786 0.006607
15,179,175 0.005769
15,381,564 0.005867
15,583,953 0.010296
15,786,342 0.005779
15,988,731 0.006790
16,191,120 0.005418
16,393,509 0.005386
16,595,898 0.005747
16,798,287 0.006514
17,000,676 0.005036
17,203,065 0.005307
17,405,454 0.005322
17,607,843 0.005277
17,810,232 0.004398
18,012,621 0.006666
18,215,010 0.005233
18,417,399 0.006519
18,619,788 0.005051
18,822,177 0.005163
19,024,566 0.004076
19,226,955 0.004421
19,429,344 0.004066

Page 83
 Example3

19,631,733 0.004682
19,834,122 0.004258
20,036,511 0.004152
20,238,900 0.007140
20,441,289 0.004109
20,643,678 0.006092
20,846,067 0.003915
21,048,456 0.004660
21,250,845 0.003736
21,453,234 0.004725
21,655,623 0.003357
21,858,012 0.003714
22,060,401 0.004488
22,262,790 0.004848
22,465,179 0.003384
22,667,568 0.004534
22,869,957 0.002759
23,072,346 0.004499
23,274,735 0.003578
23,477,124 0.004420
23,679,513 0.002918
23,881,902 0.003575
24,084,291 0.002716
24,286,680 0.003072
24,489,069 0.002880
24,691,458 0.003171
24,893,847 0.002729
25,096,236 0.003399
25,298,625 0.003930
25,501,014 0.002907
25,703,403 0.003333
25,905,792 0.002645
26,108,181 0.002917
26,310,570 0.002543
26,512,959 0.002725
26,715,348 0.003062
26,917,737 0.003289
27,120,126 0.002868
27,322,515 0.002907
27,524,904 0.002297
27,727,293 0.002640
27,929,682 0.002255
28,132,071 0.002871
28,334,460 0.002107
28,536,849 0.002673
28,739,238 0.002285
28,941,627 0.002399
29,144,016 0.002055
29,346,405 0.002166
29,548,794 0.001927
29,751,183 0.002213
29,953,572 0.001996
30,155,961 0.002104
30,358,350 0.001936

Page 84
 Example3

30,560,739 0.001822
30,763,128 0.001752
30,965,517 0.001733
31,167,906 0.001945
31,370,295 0.001592
31,572,684 0.001704
31,775,073 0.001898
31,977,462 0.001837
32,179,851 0.001673
32,382,240 0.001677
32,584,629 0.001468
32,787,018 0.001500
32,989,407 0.001396
33,191,796 0.001579
33,394,185 0.001462
33,596,574 0.001608
33,798,963 0.001340
34,001,352 0.001398
34,203,741 0.001234
34,406,130 0.001279
34,608,519 0.001222
34,810,908 0.001269
35,013,297 0.001142
35,215,686 0.001195
35,418,075 0.001089
35,620,464 0.001071
35,822,853 0.001333
36,025,242 0.001020
36,227,631 0.001133
36,430,020 0.000969
36,632,409 0.000987
36,834,798 0.000960
37,037,187 0.001003
37,239,576 0.000860
37,441,965 0.000871
37,644,354 0.000896
37,846,743 0.000890
38,049,132 0.000770
38,251,521 0.000924
38,453,910 0.000779
38,656,299 0.000898
38,858,688 0.000768
39,061,077 0.000800
39,263,466 0.000664
39,465,855 0.000702
39,668,244 0.000641
39,870,633 0.000680
40,073,022 0.000641
40,275,411 0.000642
40,477,800 0.000707
40,680,189 0.000618
40,882,578 0.000701
41,084,967 0.000570
41,287,356 0.000611

Page 85
 Example3

41,489,745 0.000535
41,692,134 0.000574
41,894,523 0.000499
42,096,912 0.000508
42,299,301 0.000543
42,501,690 0.000557
42,704,079 0.000480
42,906,468 0.000515
43,108,857 0.000414
43,311,246 0.000492
43,513,635 0.000433
43,716,024 0.000486
43,918,413 0.000386
44,120,802 0.000433
44,323,191 0.000374
44,525,580 0.000386
44,727,969 0.000359
44,930,358 0.000374
45,132,747 0.000341
45,335,136 0.000373
45,537,525 0.000375
45,739,914 0.000337
45,942,303 0.000339
46,144,692 0.000305
46,347,081 0.000309
46,549,470 0.000291
46,751,859 0.000300
46,954,248 0.000294
47,156,637 0.000302
47,359,026 0.000293
47,561,415 0.000288
47,763,804 0.000255
47,966,193 0.000264
48,168,582 0.000237
48,370,971 0.000258
48,573,360 0.000222
48,775,749 0.000249
48,978,138 0.000226
49,180,527 0.000234
49,382,916 0.000206
49,585,305 0.000210
49,787,694 0.000192
49,990,083 0.000202
50,192,472 0.000190
50,394,861 0.000194
50,597,250 0.000180
50,799,639 0.000175
51,002,028 0.000166
51,204,417 0.000162
51,406,806 0.000173
51,609,195 0.000152
51,811,584 0.000156
52,013,973 0.000157
52,216,362 0.000153

Page 86
 Example3

52,418,751 0.000145
52,621,140 0.000143
52,823,529 0.000130
53,025,918 0.000130
53,228,307 0.000125
53,430,696 0.000130
53,633,085 0.000120
53,835,474 0.000129
54,037,863 0.000114
54,240,252 0.000118
54,442,641 0.000106
54,645,030 0.000107
54,847,419 0.000100
55,049,808 0.000101
55,252,197 0.000094
55,454,586 0.000096
55,656,975 0.000090
55,859,364 0.000088
56,061,753 0.000094
56,264,142 0.000083
56,466,531 0.000087
56,668,920 0.000078
56,871,309 0.000079
57,073,698 0.000075
57,276,087 0.000076
57,478,476 0.000068
57,680,865 0.000068
57,883,254 0.000068
58,085,643 0.000068
58,288,032 0.000061
58,490,421 0.000066
58,692,810 0.000058
58,895,199 0.000063
59,097,588 0.000057
59,299,977 0.000058
59,502,366 0.000051
59,704,755 0.000052
59,907,144 0.000048
60,109,533 0.000049
60,311,922 0.000047
60,514,311 0.000047
60,716,700 0.000046
60,919,089 0.000044
61,121,478 0.000046
61,323,867 0.000041
61,526,256 0.000041
61,728,645 0.000038
61,931,034 0.000039
62,133,423 0.000036
62,335,812 0.000035
62,538,201 0.000036
62,740,590 0.000036
62,942,979 0.000033
63,145,368 0.000033

Page 87
 Example3

63,347,757 0.000029
63,550,146 0.000031
63,752,535 0.000029
63,954,924 0.000030
64,157,313 0.000026
64,359,702 0.000028
64,562,091 0.000025
64,764,480 0.000026
64,966,869 0.000024
65,169,258 0.000024
65,371,647 0.000022
65,574,036 0.000023
65,776,425 0.000022
65,978,814 0.000021
66,181,203 0.000021
66,383,592 0.000019
66,585,981 0.000019
66,788,370 0.000018
66,990,759 0.000018
67,193,148 0.000018
67,395,537 0.000018
67,597,926 0.000017
67,800,315 0.000017

Page 88
 Example3

Credit Loss Distribution

00 20,000,000 30,000,000 40,000,000 50,000,000 60,000,000

Loss

Page 89
 Blank Template

Blank Template
This worksheet has been set up as a blank template, to allow users to customise and input their own da
steps outlined below:

(1) Copy your data into this spreadsheet. The data should be in the same form as the examples, with up
permitted. The header row shown below has one column for sectors.If more than one sector is requir
added. Examples (2) and (3) in this workbook illustate how this should be done.

(2) Use the "Activate Model" button to call the model. Alter the data ranges to accommodate the cor
your data, and alter the output settings and ranges as required.

Obligor Details
Default rate Sector split
Mean Standard General
Name Exposure Default rate Deviation economy

Page 90
 Blank Template

omise and input their own data. To use this sheet, follow the

orm as the examples, with up to 4,000 obligors and 8 sectors

ore than one sector is required then more columns must be
one.

ges to accommodate the correct row and column ranges for

Outputs - Risk Contributions, Percentiles and loss distribution

Credit Credit
Expected Risk Loss Loss
Name Loss Contribution Percentile Amount Amount

Page 91
 Blank Template

ribution

Probability

Page 92