| Simulation Parameter | Value |
| Reference date | 31 Dec 2018 |
| Monte Carlo Scenarios | 10,000 |
| CPR | 15% |
| Default Correlation | 5% |
| Clean lag | 3 months |
| Dirty lag | 8 months |
| Dirty event probability | 40% |
| Timesteps | 60 (monthly steps over 5 years’ horizon) |
| Bootstrap sub-runs | 100 |
| Number of loans per bootstrap | 1000 |