This Excel workbook contains examples of credit risk modeling techniques including: 1) Calculating diversity scores for portfolios of varying sizes 2) Using Moody's binomial expansion technique to estimate portfolio expected loss 3) Conducting Monte Carlo simulations on structured heterogeneous portfolios 4) Running Monte Carlo simulations to calculate total loss for heterogeneous portfolios under lower and upper bound assumptions 5) Applying the infinite homogeneous portfolio approach to estimate average portfolio risk measures The examples are from the textbook "Managing Credit Risk Under The Basel III Framework" and were prepared by Dr. Lam Yat-fai of CapitaLogic Limited.

1. Example Index
Copyright 2018 CapitaLogic Limited
Example Description Excel technique
1 Diversity score
2 Moody's binomial expansion technique
3 Structured heterogeneous portfolio Monte Carlo simulation
4 Total heterogeneous portfolio, lower bound Monte Carlo simulation
5 Total heterogeneous portfolio, upper bound Monte Carlo simulation
6 Application of infinite homogeneous portfolio
7 Application of structured heterogeneous portfolio
8 LGDs and default rates
9 Historical simulation with one sub-portfolio
10 Historical simulation with two sub-portfolios
11 Historical simulation with three sub-portfolios
This Excel workbook is prepared in accordance with
Chapter 4 of the text book
"Managing Credit Risk Under The Basel III Framework, 3rd
ed"
Authored by :Dr. LAM Yat-fai (林日辉)
Principal, Structured Products Analytics, CapitaLogic Limited
Adjunct Professor of Finance, City University of Hong Kong
Doctor of Business Administration
CFA, CAIA, CAMS, FRM, PRM
Website: https://sites.google.com/site/crmbase
E-mail: crmbasel@gmail.com
Copyright 2018 CapitaLogic Limited

2. Example 1 Diversity score
1 2 3 4 5 6 7 8 9 10 No. of Diversity
1 1 borrowers score
2 2 3 1 1
3 4 5 6 2 1.5
4 7 8 9 10 3 2
5 11 12 13 14 15 4 2.333333
6 16 17 18 19 20 21 5 2.666667
7 22 23 24 25 26 27 28 6 3
8 29 30 31 32 33 34 35 36 7 3.25
9 37 38 39 40 41 42 43 44 45 8 3.5
10 46 47 48 49 50 51 52 53 54 55 9 3.75
10 4
11 4.2
12 4.4
1 13 4.6
1.5 2 14 4.8
2.333333 2.666667 3 15 5
3.25 3.5 3.75 4 16 5.166667
4.2 4.4 4.6 4.8 5 17 5.333333
5.166667 5.333333 5.5 5.666667 5.833333 6 18 5.5
6.142857 6.285714 6.428571 6.571429 6.714286 6.857143 7 19 5.666667
7.125 7.25 7.375 7.5 7.625 7.75 7.875 8 20 5.833333
8.111111 8.222222 8.333333 8.444444 8.555556 8.666667 8.777778 8.888889 9 21 6
9.1 9.2 9.3 9.4 9.5 9.6 9.7 9.8 9.9 10 22 6.142857
Copyright 2018 CapitaLogic Limited

3. Example 2 Moody's BET
Industry Borrower Diversity score Portfolio EAD 10000000
Aerospace and defense 2 1.5 LGD 60%
Automotive 3 2 PD 3%
Banking 8 3.5 Diversity score 57
Beverage, food, and tobacco 1 1
Chemicals, plastics and rubber 3 2 Worst case no. of defaults 7
Construction and building 2 1.5 XCDR 12.19%
Consumer goods: durable 4 2.333333 XCL 731495
Consumer goods: non-durable 3 2
Containers, packaging and glass 6 3
Energy: oil and gas 2 1.5
Financial institution, retail: insurance 7 3.25
Financial institution, retail: real estate 5 2.666667
Forest products and paper 3 2
Government and public finance 5 2.666667
Healthcare and pharmaceuticals 3 2
Hotel, gaming and leisure 4 2.333333
Media: advertising, printing and publishing 6 3
Media: diversified and production 3 2
Metals and mining 2 1.5
Retail 3 2
Services: business 2 1.5
Transportation: cargo 2 1.5
Transportation: consumer 2 1.5
Utilities: electric 5 2.666667
Utilities: water 6 3
Wholesale 8 3.5
Total 100 57.41667
Copyright 2018 CapitaLogic Limited

4. Example 3 Structured heterogeneous
Debt EAD LGD PD CCC Specific Normal[0,1]Uniform[0,1] Default Loss
1 99226 64.68% 0.11% 0.233578 -0.17159 -0.14961 0.440536 0 0 Systematic 0.001253
2 121793 55.47% 0.50% 0.213456 -0.57974 -0.51358 0.303773 0 0 Default loss 0
3 108530 54.51% 7.41% 0.122952 0.340485 0.319306 0.625253 0 0
4 83405 56.40% 2.13% 0.161367 -1.18796 -1.08739 0.138432 0 0 XCL 597738.8
5 76637 52.61% 0.01% 0.239401 0.058854 0.051941 0.520712 0 0
6 108033 48.70% 1.21% 0.185529 0.587029 0.530322 0.702056 0 0
7 119043 61.23% 1.05% 0.190987 -0.95977 -0.86272 0.194146 0 0 Monte Carlo simulation
8 99985 67.70% 0.87% 0.197672 -1.57851 -1.41336 0.078775 0 0
9 105900 74.40% 2.15% 0.160956 0.167861 0.154262 0.561298 0 0
10 70423 64.49% 4.59% 0.132091 0.115971 0.108496 0.543199 0 0
11 110235 54.11% 9.75% 0.120916 -1.06388 -0.99705 0.159369 0 0
12 106290 56.92% 6.11% 0.125655 -0.58548 -0.54702 0.292182 0 0
13 66627 54.43% 4.92% 0.130252 0.673024 0.628116 0.735036 0 0
14 74849 56.72% 3.90% 0.137073 0.975018 0.906196 0.817584 0 0
15 85565 58.46% 1.97% 0.164813 1.858711 1.699158 0.955355 0 0
16 71209 51.24% 1.39% 0.179889 0.260456 0.236401 0.593439 0 0
17 68684 61.70% 4.30% 0.133978 -0.73093 -0.67975 0.248333 0 0
18 113894 66.17% 4.09% 0.135526 0.696825 0.64835 0.741621 0 0
19 119584 74.74% 4.56% 0.132274 -1.42406 -1.32608 0.092407 0 0
20 97455 78.37% 9.09% 0.121274 0.34894 0.327534 0.628368 0 0
21 115295 70.33% 12.13% 0.120279 -0.4177 -0.39134 0.347773 0 0
22 133704 59.59% 15.89% 0.120043 0.795871 0.747009 0.772471 0 0
23 112362 41.50% 8.57% 0.121653 -0.34831 -0.326 0.372212 0 0
24 113837 44.03% 6.17% 0.125488 -0.47487 -0.44364 0.328653 0 0
25 103345 44.98% 6.53% 0.124584 -0.77745 -0.72697 0.233623 0 0
26 110189 44.94% 11.57% 0.120369 -0.46139 -0.4323 0.332762 0 0
27 95081 66.15% 7.57% 0.122725 0.046579 0.044066 0.517574 0 0
28 113305 66.07% 6.82% 0.123965 -0.11508 -0.10727 0.457289 0 0
29 116042 48.92% 6.45% 0.124771 0.089966 0.084609 0.533714 0 0
30 79473 54.37% 2.33% 0.157431 -1.19699 -1.09824 0.136049 0 0
Using
Copyright 2018 CapitaLogic Limited

5. Example 4 Total heterogeneous, lower
Debt EAD LGD PD Uniform[0,1] Default Loss
1 34696 64.68% 0.11% 0.659003 0 0 Systematic -0.00125
2 41551 55.47% 0.50% 0.880853 0 0 Default loss 14102
3 34875 54.51% 7.41% 0.324041 0 0
4 26907 56.40% 2.13% 0.997748 0 0 XCL 128567.4
5 24546 52.61% 0.01% 0.150464 0 0
6 36779 48.70% 1.21% 0.23281 0 0
7 40519 61.23% 1.05% 0.646259 0 0 Monte Carlo simulation
8 32221 67.70% 0.87% 0.364311 0 0
9 35248 74.40% 2.15% 0.140165 0 0
10 23920 64.49% 4.59% 0.442871 0 0
11 36085 54.11% 9.75% 0.264138 0 0
12 34779 56.92% 6.11% 0.906429 0 0
13 23000 54.43% 4.92% 0.323344 0 0
14 27138 56.72% 3.90% 0.995343 0 0
15 28218 58.46% 1.97% 0.621262 0 0
16 24734 51.24% 1.39% 0.104723 0 0
17 22855 61.70% 4.30% 0.016892 1 14101.54
18 38165 66.17% 4.09% 0.783419 0 0
19 39417 74.74% 4.56% 0.626965 0 0
20 32298 78.37% 9.09% 0.754948 0 0
21 38951 70.33% 12.13% 0.661377 0 0
22 42781 59.59% 15.89% 0.182763 0 0
23 36051 41.50% 8.57% 0.4098 0 0
24 38313 44.03% 6.17% 0.44719 0 0
25 35029 44.98% 6.53% 0.248868 0 0
26 36396 44.94% 11.57% 0.28239 0 0
27 30715 66.15% 7.57% 0.783161 0 0
28 38939 66.07% 6.82% 0.793376 0 0
29 37640 48.92% 6.45% 0.489429 0 0
30 27234 54.37% 2.33% 0.146528 0 0
Using
Copyright 2018 CapitaLogic Limited

6. Example 5 Total heterogeneous, upper
Debt EAD LGD PD Uniform[0,1] Default Loss
1 34696 64.68% 0.11% 0.4995 0 0 Systematic -0.00125
2 41551 55.47% 0.50% 0 0 Default loss 0
3 34875 54.51% 7.41% 0 0
4 26907 56.40% 2.13% 0 0 XCL 572487.6
5 24546 52.61% 0.01% 0 0
6 36779 48.70% 1.21% 0 0
7 40519 61.23% 1.05% 0 0 Monte Carlo simulation
8 32221 67.70% 0.87% 0 0
9 35248 74.40% 2.15% 0 0
10 23920 64.49% 4.59% 0 0
11 36085 54.11% 9.75% 0 0
12 34779 56.92% 6.11% 0 0
13 23000 54.43% 4.92% 0 0
14 27138 56.72% 3.90% 0 0
15 28218 58.46% 1.97% 0 0
16 24734 51.24% 1.39% 0 0
17 22855 61.70% 4.30% 0 0
18 38165 66.17% 4.09% 0 0
19 39417 74.74% 4.56% 0 0
20 32298 78.37% 9.09% 0 0
21 38951 70.33% 12.13% 0 0
22 42781 59.59% 15.89% 0 0
23 36051 41.50% 8.57% 0 0
24 38313 44.03% 6.17% 0 0
25 35029 44.98% 6.53% 0 0
26 36396 44.94% 11.57% 0 0
27 30715 66.15% 7.57% 0 0
28 38939 66.07% 6.82% 0 0
29 37640 48.92% 6.45% 0 0
30 27234 54.37% 2.33% 0 0
Using
Copyright 2018 CapitaLogic Limited

7. Example 6 Application of IHP
EAD LGD Rating RM EAD LGD PD RM
1 9696 51.51% A 1.57 Average 10,007.46 0.4998182 0.0834%
2 10477 50.84% A 1.51 SD 284.99964 0.0141534
3 9527 48.46% A 3.05 CV 2.85% 2.83%
4 9859 48.75% A 1.38
5 10272 51.71% A 1.10 Count 500 500 500
6 9637 48.78% A 2.83 Minimum 9501 0.4752 0.86
7 9572 49.92% A 3.06 Maximum 10494 0.525 3.06
8 9856 51.33% A 1.97 Below 1 year 2.80%
9 10350 49.76% A 1.47
10 10024 48.66% A 1.31
11 10395 51.20% A 1.82
12 10062 49.96% A 2.17 Portfolio EAD 5,003,730
13 9888 52.05% A 2.32 LGD 0.4998182
14 10337 50.37% A 1.72 PD 0.0834%
15 10414 49.66% A 1.00
16 10199 51.20% A 2.35 CCC 0.2350987
17 9920 51.31% A 1.85 XCDR 0.0299643
18 10454 49.16% A 2.23 XCL 74,939
19 10161 50.49% A 1.17
20 10308 52.14% A 1.83
21 9984 48.04% A 1.56
22 9944 51.97% A 2.95
23 10288 47.91% A 1.19
24 10040 48.74% A 2.75
25 10292 52.30% A 2.76
26 10168 51.40% A 1.78
27 9626 47.57% A 2.66
28 10250 50.02% A 1.73
29 10443 51.35% A 2.84
30 10424 51.47% A 2.51
31 9898 50.70% A 1.30
32 9557 52.45% A 2.95
Copyright 2018 CapitaLogic Limited

8. Example 7 Application of SHP
EAD LGD PD RM EAD LGD RM
1 11865 47.42% 0.0333% 1.57 Average 10101.35 0.515385
2 14504 69.70% 0.0834% 1.51 SD 2792.3339 0.1382318
3 10158 57.81% 0.3345% 3.05 CV 27.64% 26.82%
4 13430 56.65% 2.5652% 1.38
5 7575 44.28% 7.1682% 1.10 Count 60 60 60
6 9419 61.85% 0.0333% 2.83 Minimum 5005 0.2577
7 14002 29.74% 0.0834% 3.06 Maximum 14718 0.7446
8 9554 54.44% 0.3345% 1.97 Below 1 year 8.33%
9 10833 52.99% 2.5652% 1.47
10 8110 73.15% 7.1682% 1.31
11 8957 40.95% 0.0333% 1.82
12 14406 42.59% 0.0834% 0.47
13 11232 61.90% 0.3345% 2.32
14 7129 29.32% 2.5652% 1.72
15 6509 52.62% 7.1682% 1.38
16 12466 60.59% 0.0333% 2.35
17 7185 70.80% 0.0834% 1.85
18 9402 42.70% 0.3345% 2.23
19 7880 37.74% 2.5652% 1.17
20 10591 51.84% 7.1682% 1.83
21 12941 65.45% 0.0333% 1.56
22 8007 36.96% 0.0834% 2.95
23 8750 56.18% 0.3345% 1.19
24 6421 47.42% 2.5652% 0.47
25 13785 39.51% 7.1682% 2.76
26 6927 53.13% 0.0333% 1.78
27 6300 53.09% 0.0834% 2.66
28 11764 55.66% 0.3345% 1.73
29 5005 62.40% 2.5652% 0.85
30 11091 44.32% 7.1682% 2.51
31 7096 37.89% 0.0333% 1.30
32 13463 71.42% 0.0834% 2.95
Copyright 2018 CapitaLogic Limited

9. Example 8 LGDs and DRs
Year DR
Senior BBB BB B
Unsecured Senior
2016 68.70% 63.28% 75.50% 0.0000% 0.1340% 1.5310%
2015 62.44% 63.40% 41.46% 0.0000% 0.2910% 2.2390%
2014 53.91% 60.92% 61.22% 0.0590% 0.1410% 0.4980%
2013 55.02% 79.29% 73.64% 0.1200% 0.5820% 0.9060%
2012 56.72% 66.25% 62.65% 0.0710% 0.1430% 0.5430%
2011 58.69% 63.34% 68.11% 0.3550% 0.1590% 0.3430%
2010 49.31% 62.50% 66.34% 0.0750% 0.0000% 0.3830%
2009 63.46% 76.90% 54.69% 0.9300% 1.7650% 7.2150%
2008 66.47% 76.68% 0.70526 1.0240% 2.3430% 3.9890%
2007 46.35% 43.85% 42.79% 0.0000% 0.0000% 0.0000%
2006 44.98% 58.59% 43.89% 0.0000% 0.1940% 1.0700%
2005 45.12% 67.23% 48.75% 0.1630% 0.0000% 0.8150%
2004 47.91% 57.67% 6.00% 0.0000% 0.3780% 0.7960%
2003 58.13% 62.18% 87.69% 0.0000% 0.8790% 2.5810%
2002 70.47% 78.61% 76.60% 1.0140% 1.4000% 4.5730%
2001 78.76% 80.19% 84.06% 0.1800% 1.1590% 9.2400%
2000 75.84% 79.25% 68.14% 0.3500% 1.2690% 5.7440%
1999 61.98% 73.09% 64.36% 0.0930% 1.5030% 4.8950%
1998 60.47% 55.01% 81.81% 0.1090% 0.8960% 3.8750%
1997 43.90% 55.27% 66.90% 0.0000% 0.1750% 1.9980%
1996 37.25% 56.25% 77.40% 0.0000% 0.0000% 1.5050%
1995 52.40% 65.70% 58.46% 0.0000% 0.2670% 4.0150%
1994 46.27% 70.39% 61.99% 0.0000% 0.0000% 4.1910%
1993 62.87% 48.09% 55.85% 0.0000% 0.6220% 4.3760%
1992 50.81% 50.60% 61.96% 0.0000% 0.3370% 7.3450%
1991 63.34% 58.18% 75.58% 0.2490% 3.8480% 13.1990%
1990 61.84% 74.47% 80.50% 0.2650% 3.7660% 13.7070%
1989 56.43% 64.28% 73.19% 0.5290% 2.9570% 7.5490%
1988 54.76% 68.59% 66.23% 0.0000% 1.3530% 5.9340%
1987 36.25% 53.50% 53.12% 0.0000% 3.0240% 5.4370%
Subordinated
LGD
Copyright 2018 CapitaLogic Limited

10. Example 9 Historical simulation 1
XCL 71459
EAD
Year LGD DR Loss
2016 68.7% 0.0000% 0
2015 62.4% 0.0000% 0
2014 53.9% 0.0590% 3180.454
2013 55.0% 0.1200% 6602.04
2012 56.7% 0.0710% 4026.978
2011 58.7% 0.3550% 20836.37
2010 49.3% 0.0750% 3698.175
2009 63.5% 0.9300% 59015.94
2008 66.5% 1.0240% 68068.35
2007 46.3% 0.0000% 0
2006 45.0% 0.0000% 0
2005 45.1% 0.1630% 7354.723
2004 47.9% 0.0000% 0
2003 58.1% 0.0000% 0
2002 70.5% 1.0140% 71458.61
2001 78.8% 0.1800% 14176.8
2000 75.8% 0.3500% 26542.95
1999 62.0% 0.0930% 5764.326
1998 60.5% 0.1090% 6590.685
1997 43.9% 0.0000% 0
1996 37.3% 0.0000% 0
1995 52.4% 0.0000% 0
1994 46.3% 0.0000% 0
1993 62.9% 0.0000% 0
1992 50.8% 0.0000% 0
1991 63.3% 0.2490% 15770.42
1990 61.8% 0.2650% 16387.07
1989 56.4% 0.5290% 29852
1988 54.8% 0.0000% 0
1987 36.2% 0.0000% 0
BBB senior unsecured
10,000,000
Copyright 2018 CapitaLogic Limited

11. Example 10 Historical simulation 2
Default XCL 201229
EAD loss
Year LGD DR Loss LGD DR Loss
2016 68.7% 0.0000% 0 63.3% 0.1340% 5935.476 5935.476
2015 62.4% 0.0000% 0 63.4% 0.2910% 12914.17 12914.17
2014 53.9% 0.0590% 954.1362 60.9% 0.1410% 6012.508 6966.644
2013 55.0% 0.1200% 1980.612 79.3% 0.5820% 32302.75 34283.36
2012 56.7% 0.0710% 1208.093 66.3% 0.1430% 6631.725 7839.819
2011 58.7% 0.3550% 6250.911 63.3% 0.1590% 7049.297 13300.21
2010 49.3% 0.0750% 1109.453 62.5% 0.0000% 0 1109.453
2009 63.5% 0.9300% 17704.78 76.9% 1.7650% 95014.89 112719.7
2008 66.5% 1.0240% 20420.51 76.7% 2.3430% 125762.9 146183.4
2007 46.3% 0.0000% 0 43.8% 0.0000% 0 0
2006 45.0% 0.0000% 0 58.6% 0.1940% 7957.065 7957.065
2005 45.1% 0.1630% 2206.417 67.2% 0.0000% 0 2206.417
2004 47.9% 0.0000% 0 57.7% 0.3780% 15258.69 15258.69
2003 58.1% 0.0000% 0 62.2% 0.8790% 38258.12 38258.12
2002 70.5% 1.0140% 21437.58 78.6% 1.4000% 77041.72 98479.3
2001 78.8% 0.1800% 4253.04 80.2% 1.1590% 65054.09 69307.13
2000 75.8% 0.3500% 7962.885 79.3% 1.2690% 70397.78 78360.66
1999 62.0% 0.0930% 1729.298 73.1% 1.5030% 76894.83 78624.13
1998 60.5% 0.1090% 1977.206 55.0% 0.8960% 34502.9 36480.1
1997 43.9% 0.0000% 0 55.3% 0.1750% 6770.33 6770.33
1996 37.3% 0.0000% 0 56.3% 0.0000% 0 0
1995 52.4% 0.0000% 0 65.7% 0.2670% 12279.33 12279.33
1994 46.3% 0.0000% 0 70.4% 0.0000% 0 0
1993 62.9% 0.0000% 0 48.1% 0.6220% 20937.95 20937.95
1992 50.8% 0.0000% 0 50.6% 0.3370% 11935.36 11935.36
1991 63.3% 0.2490% 4731.125 58.2% 3.8480% 156711 161442.1
1990 61.8% 0.2650% 4916.121 74.5% 3.7660% 196312.5 201228.7
1989 56.4% 0.5290% 8955.6 64.3% 2.9570% 133055.2 142010.8
1988 54.8% 0.0000% 0 68.6% 1.3530% 64961.59 64961.59
1987 36.2% 0.0000% 0 53.5% 3.0240% 113246.7 113246.7
BBB senior unsecured BB subordinated
3,000,000 7,000,000
Copyright 2018 CapitaLogic Limited

12. Example 11 Historical simulation 3
Default XCL 530410
EAD loss
Year LGD DR Loss LGD DR Loss LGD DR Loss
2016 68.7% 0.0000% 0 63.3% 0.1340% 2543.776 75.5% 1.5310% 46236.2 48779.98
2015 62.4% 0.0000% 0 63.4% 0.2910% 5534.645 41.5% 2.2390% 37127.1 42661.74
2014 53.9% 0.0590% 954.1362 60.9% 0.1410% 2576.789 61.2% 0.4980% 12195.02 15725.95
2013 55.0% 0.1200% 1980.612 79.3% 0.5820% 13844.03 73.6% 0.9060% 26687.14 42511.78
2012 56.7% 0.0710% 1208.093 66.3% 0.1430% 2842.168 62.7% 0.5430% 13608.45 17658.71
2011 58.7% 0.3550% 6250.911 63.3% 0.1590% 3021.127 68.1% 0.3430% 9344.966 18617
2010 49.3% 0.0750% 1109.453 62.5% 0.0000% 0 66.3% 0.3830% 10162.52 11271.97
2009 63.5% 0.9300% 17704.78 76.9% 1.7650% 40720.67 54.7% 7.2150% 157841.1 216266.6
2008 66.5% 1.0240% 20420.51 76.7% 2.3430% 53898.37 70.5% 3.9890% 112531.3 186850.2
2007 46.3% 0.0000% 0 43.8% 0.0000% 0 42.8% 0.0000% 0 0
2006 45.0% 0.0000% 0 58.6% 0.1940% 3410.171 43.9% 1.0700% 18784.92 22195.09
2005 45.1% 0.1630% 2206.417 67.2% 0.0000% 0 48.8% 0.8150% 15892.5 18098.92
2004 47.9% 0.0000% 0 57.7% 0.3780% 6539.438 6.0% 0.7960% 1910.4 8449.838
2003 58.1% 0.0000% 0 62.2% 0.8790% 16396.34 87.7% 2.5810% 90528.06 106924.4
2002 70.5% 1.0140% 21437.58 78.6% 1.4000% 33017.88 76.6% 4.5730% 140116.7 194572.2
2001 78.8% 0.1800% 4253.04 80.2% 1.1590% 27880.32 84.1% 9.2400% 310678.4 342811.7
2000 75.8% 0.3500% 7962.885 79.3% 1.2690% 30170.48 68.1% 5.7440% 156547 194680.3
1999 62.0% 0.0930% 1729.298 73.1% 1.5030% 32954.93 64.4% 4.8950% 126011 160695.2
1998 60.5% 0.1090% 1977.206 55.0% 0.8960% 14786.96 81.8% 3.8750% 126807.1 143571.2
1997 43.9% 0.0000% 0 55.3% 0.1750% 2901.57 66.9% 1.9980% 53468.08 56369.65
1996 37.3% 0.0000% 0 56.3% 0.0000% 0 77.4% 1.5050% 46592.39 46592.39
1995 52.4% 0.0000% 0 65.7% 0.2670% 5262.57 58.5% 4.0150% 93883.55 99146.12
1994 46.3% 0.0000% 0 70.4% 0.0000% 0 62.0% 4.1910% 103923.4 103923.4
1993 62.9% 0.0000% 0 48.1% 0.6220% 8973.407 55.9% 4.3760% 97766.84 106740.2
1992 50.8% 0.0000% 0 50.6% 0.3370% 5115.155 62.0% 7.3450% 182029.7 187144.8
1991 63.3% 0.2490% 4731.125 58.2% 3.8480% 67161.84 75.6% 13.1990% 399053.3 470946.2
1990 61.8% 0.2650% 4916.121 74.5% 3.7660% 84133.95 80.5% 13.7070% 441359.9 530410
1989 56.4% 0.5290% 8955.6 64.3% 2.9570% 57023.68 73.2% 7.5490% 220995.5 286974.7
1988 54.8% 0.0000% 0 68.6% 1.3530% 27840.68 66.2% 5.9340% 157201.2 185041.8
1987 36.2% 0.0000% 0 53.5% 3.0240% 48534.29 53.1% 5.4370% 115514.5 164048.8
B subordinated
4,000,000
BBB senior unsecured BB subordinated senior
3,000,000 3,000,000
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