| Defaults | Portfolio value change | Probabilitya |
| 0 | 0% | 90.44% |
| 1 | −10% | 9.14% |
| 2 | −20% | 0.42% |
| 3 | −30% | 0.01% |
| 4 | −40% | 0.00% |
| 5 | −50% | 0.00% |
| 6 | −60% | 0.00% |
| 7 | −70% | 0.00% |
| 8 | −80% | 0.00% |
| 9 | −90% | 0.00% |
| 10 | −100% | 0.00% |