| Theta | |||||||||
| 0.25 | 0.5 | 0.75 | 1.00 | 1.25 | 1.5 | 1.75 | 2.00 | ||
| Probability of Default | 0.6600% | 0.5800% | 0.3700% | 0.3900% | 0.3500% | 0.1800% | 0.2100% | 0.0700% | |
| Asset Value | Minimum | 61.61% | 68.37% | 70.84% | 69.65% | 72.37% | 71.81% | 71.77% | 76.97% |
| 1st Quartile | 97.98% | 98.04% | 97.94% | 97.67% | 97.73% | 97.63% | 97.33% | 97.37% | |
| Median | 105.00% | 105.00% | 104.70% | 104.50% | 104.60% | 104.50% | 103.90% | 103.90% | |
| Mean | 105.00% | 105.20% | 105.10% | 105.10% | 105.20% | 105.20% | 105.00% | 111.70% | |
| 3rd Quartile | 111.90% | 112.00% | 111.80% | 111.80% | 112.10% | 111.80% | 111.60% | 111.70% | |
| Maximum | 146.40% | 148.50% | 157.80% | 158.50% | 168.90% | 176.90% | 155.60% | 170.30% | |
| Standard Deviation | 10.37% | 10.35% | 10.32% | 10.54% | 10.77% | 10.66% | 10.89% | 10.97% | |
| Skewness | 0.0841 | 0.1224 | 0.2452 | 0.3089 | 0.3853 | 0.5212 | 0.5490 | 0.6485 | |
| Loss-Given-Default | Minimum | −0.17% | 3.38% | 3.33% | 2.32% | 2.48% | 3.50% | 2.98% | 0.06% |
| 1st Quartile | 25.94% | 27.50% | 27.64% | 27.17% | 27.59% | 27.47% | 27.48% | 26.30% | |
| Median | 39.98% | 38.06% | 38.22% | 37.94% | 38.58% | 38.32% | 38.40% | 40.09% | |
| Mean | 55.81% | 40.65% | 40.62% | 40.49% | 40.85% | 40.44% | 40.66% | 55.31% | |
| 3rd Quartile | 136.70% | 51.08% | 51.15% | 51.01% | 51.43% | 50.96% | 51.39% | 159.80% | |
| Maximum | 146.40% | 150.60% | 164.20% | 143.40% | 156.40% | 140.30% | 139.40% | 159.80% | |
| Standard Deviation | 21.72% | 10.35% | 17.87% | 18.08% | 18.01% | 17.61% | 17.96% | 21.75% | |
| Skewness | 0.5850 | 0.8456 | 0.7782 | 0.7978 | 0.8182 | 0.7664 | 0.7803 | 0.6425 | |
| Credit Loss | Minimum | 0.0155% | 0.0619% | 0.0286% | 0.0444% | 0.0250% | 0.0337% | 0.0178% | 0.0024% |
| 1st Quartile | 0.1282% | 0.1590% | 0.0833% | 0.0792% | 0.0802% | 0.0481% | 0.0388% | 0.0134% | |
| Median | 0.2129% | 0.2142% | 0.1117% | 0.1329% | 0.1043% | 0.0715% | 0.0593% | 0.0195% | |
| Mean | 0.2387% | 0.2492% | 0.1313% | 0.1412% | 0.1235% | 0.0725% | 0.0609% | 0.0178% | |
| 3rd Quartile | 0.3310% | 0.2967% | 0.1664% | 0.2071% | 0.1432% | 0.0873% | 0.0788% | 0.0224% | |
| Maximum | 0.5429% | 0.6146% | 0.3595% | 0.2660% | 0.3781% | 0.1305% | 0.1324% | 0.0309% | |
| Credit Loss Meas. | Expected Credit Loss | 0.2387% | 0.2492% | 0.1313% | 0.1412% | 0.1235% | 0.0960% | 0.0609% | 0.0250% |
| Credit VaR-90th Percentile | 184.51% | 178.25% | 165.92% | 163.51% | 165.49% | 103.84% | 100.00% | 106.90% | |
| Credit Expected Shortfall-90th Perc. | 206.87% | 209.27% | 216.55% | 177.72% | 233.99% | 121.77% | 147.09% | 123.24% | |
| Credit VaR-99th Percentile | 224.81% | 245.20% | 254.61% | 163.51% | 289.18% | 131.13% | 210.70% | 121.60% | |
| Credit Expected Shortfall-99th Perc. | 227.40% | 246.65% | 273.78% | 177.72% | 306.05% | 135.94% | 217.28% | 123.24% | |
| Credit VaR-99.9th Percentile | 227.14% | 246.51% | 271.87% | 188.07% | 304.36% | 135.46% | 216.62% | 123.07% | |
| Credit Expected Shortfall-99.9th Perc. | 227.40% | 246.65% | 273.78% | 188.36% | 306.05% | 135.94% | 217.28% | 123.07% | |
| Credit VaR-99.97th Percentile | 227.32% | 246.61% | 273.21% | 188.27% | 305.54% | 135.80% | 217.08% | 123.19% | |
| Credit Expected Shortfall-99.97th Perc. | 227.40% | 246.65% | 273.78% | 188.36% | 306.05% | 135.94% | 217.28% | 123.24% | |
| Standard Deviation of Credit Loss | 57.18% | 51.32% | 55.74% | 47.72% | 60.26% | 27.43% | 49.86% | 39.12% | |
| Skewness of Credit Loss | 440.72 | 344.46 | 491.02 | 346.17 | 262.20 | 253.71 | 139.34 | −1062.11 | |
| Expected Holding Period Credit Loss | 1.3238 | 1.4181 | 3.1008 | 3.2804 | 4.3812 | 6.8967 | 12.1572 | 35.0964 | |