Result: CRI ratio for the portfolio

Input: ISIN, Issuer, Rating, % Weight

Output: CRI

Require: a minimum of one position in a portfolio

1) Aggregate the same issuers

if same issuer is repeated in portfolio then

sum of weights for the same issuer

end

2) Classify each rating

∀ issuer ∃ rating

3) Classify the default probability

∀ rating ∃ default probability pi, see Table 4

4) Calculate initial value

( 1 e 100 p T i ) , where pi is taken from step 3

5) Map the desired number of issuers

∀ rating ∃ ni

6) Calculate the diversification factor DF

α 100 * 1 w i 1 n i , given that α = 1.05

7) Calculate the CRI contribution per issuer

Calculation: step 1 * step 4 * step 6

8) Aggregate the CRI ratio for each issuer

sum of all issuers from step 7