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Investor Presentaiton

What does "Significant” mean? Type of product Interpreting << significant » depends on several factors Original credit risk at origination A given PD variation in absolute terms is more significant for assets with better quality at inception Expected maturity The probability of default increases with maturity Qualitative indicators Which can then be translated into PD levels 60 Corporate- PD (%) PD - Corporates 50 S&P rating 1 Y 5 Y 10 Y AAA 0.00 0.36 40 0.76 40 AA 0.02 0.39 1.03 30 30 A 0.07 0.59 1.71 BBB 0.20 1.73 3.93 20 20 BB 0.71 8.05 14.04 10 B 5.10 22.04 28.87 0 CCC/C 26.85 46.74 51.13 AAA AA A BBB BB B CCC/C 1 Year Note: Standard and Poor's Global Corporate Average Cumulative Default Rates by Rating Modifier (1981 - 2012) 5 Year - 10 Year
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