Portfolio Stress Testing Calculation
Dump File Imported on:
12-JUL-2018 11:48:12 AM
Month of Dump File:
9
Report Date:
12-JUL-2018 01:14:25 PM
Generated By:
Reine Abdel-Samad
Report Currency:
US Dollar
Obligor & Facility Risk Rating Frequency Distribution as of 12-JUL-2018 01:14:28 PM
LOW
HIGH
RISK RATING RISK RATING
RANGE
RANGE
TOTAL NUMBER OF OBLIGORS IN RANGE
ORR
TOTAL NUMBER FACILITIES IN RANGE
FRR
BEFORE STRESS
TESTING
AFTER STRESS
TESTING
BEFORE STRESS
TESTING
AFTER STRESS
TESTING
0.00
0.50
0
0
0
0
0.51
1.00
0
0
9
9
1.01
1.50
0
0
240
240
1.51
2.00
0
0
683
683
2.01
2.50
0
0
0
0
2.51
3.00
0
0
0
0
3.01
3.50
0
0
0
0
3.51
4.00
2
0
99
0
4.01
4.50
5
2
56
99
4.51
5.00
14
5
56
56
5.01
5.50
26
15
398
56
5.51
6.00
22
25
204
396
6.01
6.50
14
22
68
204
6.51
7.00
10
14
155
68
7.01
7.50
9
10
70
155
7.51
8.00
8
9
28
70
8.01
8.50
2
8
10
28
8.51
9.00
1
2
19
10
9.01
9.50
0
1
0
19
9.51
10.00
0
0
0
0
Page 1 of 17
Portfolio Stress Testing Calculation
Portfolio Capital Adequacy
AUTHORIZED
PORTFOLIO CAPITAL ADEQUACY
OUTSTANDING
BEFORE STRESS
TESTING
AFTER STRESS
TESTING
BEFORE STRESS
TESTING
AFTER STRESS
TESTING
Capital Adequacy Expected Loss
2,630,654
9,499,244
2,996,602
13,688,869
Capital Adequacy Unexpected Loss
4,257,591
11,461,219
5,203,569
16,679,562
168,303,585
168,303,585
253,312,157
253,312,157
PRR Expected Loss
5.88
6.94
5.60
6.91
Unexpected Loss % EAR & OAR
3%
7%
2%
7%
15,223,260
15,213,544
21,979,045
21,969,125
Exposure & Outstanding at Risk Totals
Standardized Approach Capital Charge
Page 2 of 17
Portfolio Stress Testing Calculation
Historical Risk Adjusted Return on Capital
AUTHORIZED
HISTORICAL RAROC
OUTSTANDING
BEFORE STRESS
TESTING
AFTER STRESS
TESTING
BEFORE STRESS
TESTING
AFTER STRESS
TESTING
Total Revenue
14,177,689
14,171,444
21,930,571
21,924,148
Cost of Funding
(6,317,731)
(6,314,262)
(9,505,995)
(9,502,452)
7,859,958
7,857,182
12,424,576
12,421,696
55%
55%
57%
57%
(3,929,979)
(3,928,591)
(6,212,288)
(6,210,848)
3,929,979
3,928,591
6,212,288
6,210,848
50%
50%
50%
50%
(1,972,991)
(7,124,433)
(2,247,451)
(10,266,652)
1,956,988
(3,195,842)
3,964,837
(4,055,803)
25%
(41%)
32%
(33%)
(3,193,193)
(8,595,914)
(3,902,677)
(12,509,672)
RAROC
1,478,009
(4,485,229)
3,379,435
(5,932,254)
RORAC %
61%
(37%)
102%
(32%)
Total Net Revenue
Gross Margin %
Operating Expenses
Net Operating Income
Net Operating Margin %
Expected Loss
Net Profit after Expected Loss
Net Profit Margin %
Unexpected Losses
Page 3 of 17
Portfolio Stress Testing Calculation
Projected Risk Adjusted Return on Capital
AUTHORIZED
PROJECTED RAROC
OUTSTANDING
BEFORE STRESS
TESTING
AFTER STRESS
TESTING
BEFORE STRESS
TESTING
AFTER STRESS
TESTING
Total Revenue
14,177,689
14,171,444
21,930,571
21,924,148
Cost of Funding
(6,317,731)
(6,314,262)
(9,505,995)
(9,502,452)
7,859,958
7,857,182
12,424,576
12,421,696
55%
55%
57%
57%
(3,929,979)
(3,928,591)
(6,212,288)
(6,210,848)
3,929,979
3,928,591
6,212,288
6,210,848
50%
50%
50%
50%
(1,972,991)
(7,124,433)
(2,247,451)
(10,266,652)
1,956,988
(3,195,842)
3,964,837
(4,055,803)
25%
(41%)
32%
(33%)
(3,193,193)
(8,595,914)
(3,902,677)
(12,509,672)
RAROC
1,478,009
(4,485,229)
3,379,435
(5,932,254)
RORAC %
61%
(37%)
102%
(32%)
Total Net Revenue
Gross Margin %
Operating Expenses
Net Operating Income
Net Operating Margin %
Expected Loss
Net Profit after Expected Loss
Net Profit Margin %
Unexpected Losses
Page 4 of 17
Portfolio Stress Testing Calculation
Analysis by Industry - Authorized Before Stress Testing
INDUSTRY
Manufacturing - Beverage & Tobacco
Manufacturing - Electrical Equipment,
Wholesale Trade - Nondurable Goods
Manufacturing - Wood Products
Manufacturing - Primary Metals
Construction - Specialty Trade
Real Estate
Retail Trade - Clothing & Clothing
Manufacturing - Computer &
Wholesale Trade - Durable Goods
AUTHORIZED
IRB CA
RAROC
OBLIGORS
EXP AT RISK
STD CA
RORAC %
PRR
3,095,051
383,346
(69,491)
6
3,095,051
266,330
(27%)
6.89
2,563,312
299,287
(39,689)
2
2,563,312
269,148
(14%)
6.80
15,391,848
1,429,622
(294,736)
8
15,391,848
1,535,728
(35%)
6.75
282,087
16,446
1,794
1
282,087
29,619
38%
6.21
3,047,471
164,811
7,637
4
3,047,471
319,984
25%
6.18
11,434,388
477,109
132,978
10
11,434,388
951,500
73%
5.84
27,176,921
1,083,971
150,409
14
27,176,921
2,853,545
45%
5.84
705,219
25,670
2,161
1
705,219
74,048
32%
5.64
352,609
12,835
5,179
1
352,609
37,024
96%
5.64
5,601,614
184,807
88,790
3
5,601,614
588,169
111%
5.53
Page 5 of 17
Portfolio Stress Testing Calculation
INDUSTRY
Retail Trade - Electronics &
Manufacturing - Chemical
Transportation - Air
Manufacturing - Miscellaneous
Mining (except oil and gas)
Utilities
Management of Companies &
Retail Trade - Sporting Goods, Hobby,
Transportation - Support Activities
Manufacturing - Petroleum & Coal
Manufacturing - Fabricated Metal
Information - Telecommunications
AUTHORIZED
IRB CA
RAROC
OBLIGORS
EXP AT RISK
STD CA
RORAC %
PRR
8,665,075
257,010
107,451
2
8,665,075
909,833
102%
5.49
6,439,552
193,690
70,205
7
6,439,552
588,173
89%
5.48
493,653
15,254
2,510
3
493,653
51,834
48%
5.45
2,466,780
64,871
35,401
6
2,466,780
190,097
129%
5.38
13,371,677
371,406
232,608
5
13,202,425
1,225,350
138%
5.35
19,899,231
540,789
339,799
4
19,899,231
1,984,322
138%
5.31
824,937
22,326
10,647
4
824,937
83,377
109%
5.31
5,348,096
128,911
98,964
2
5,348,096
561,550
163%
5.19
992,767
19,480
11,054
2
992,767
38,037
134%
5.14
3,808,181
79,591
75,716
1
3,808,181
399,859
197%
5.04
15,999,629
254,695
331,920
2
15,999,629
460,238
290%
4.98
4,087,104
61,219
52,997
5
4,087,104
305,430
181%
4.80
Page 6 of 17
Portfolio Stress Testing Calculation
INDUSTRY
Finance - Funds, Trusts & Other
Accommodation
Healthcare - Ambulatory Health Care
Manufacturing - Nonmetallic Mineral
Construction - Heavy & Civil
Professional, Scientific & Technical
Finance - Securities, Commodity
Retail Trade - Gasoline Stations
Retail Trade - Motor Vehicles & Parts
AUTHORIZED
IRB CA
RAROC
OBLIGORS
EXP AT RISK
STD CA
RORAC %
PRR
3,521,896
39,189
66,774
3
3,521,896
235,393
350%
4.62
2,004,374
24,823
46,160
3
2,004,374
210,459
359%
4.60
105,783
1,039
1,311
1
105,783
5,183
255%
4.46
5,727,656
55,696
135,974
7
5,727,656
555,494
478%
4.46
271,556
81
2,272
1
271,556
0
5,593%
1.38
94,032
28
2,494
1
94,032
0
17,700%
1.38
1,410,437
0
37,553
1
1,410,437
148,096
N/A
1.00
0
0
0
1
0
0
N/A
1.00
3,289,903
0
87,594
2
3,289,903
345,440
N/A
1.00
Page 7 of 17
Portfolio Stress Testing Calculation
Analysis by Industry - Authorized After Stress Testing
INDUSTRY
Retail Trade - Motor Vehicles & Parts
Manufacturing - Electrical Equipment,
Manufacturing - Beverage & Tobacco
Retail Trade - Electronics &
Finance - Funds, Trusts & Other
Accommodation
Real Estate
Manufacturing - Wood Products
Wholesale Trade - Nondurable Goods
Manufacturing - Nonmetallic Mineral
AUTHORIZED
IRB CA
RAROC
OBLIGORS
EXP AT RISK
STD CA
RORAC %
PRR
3,289,903
2,960,912
(1,189,300)
2
3,289,903
345,440
(92%)
8.00
2,563,312
1,182,685
(428,745)
2
2,563,312
269,148
(78%)
7.67
3,095,051
1,156,095
(413,152)
6
3,095,051
266,330
(78%)
7.57
8,665,075
3,230,878
(1,174,688)
2
8,665,075
909,833
(80%)
7.57
3,521,896
860,410
(285,761)
3
3,521,896
235,393
(72%)
7.35
2,004,374
288,324
(66,472)
3
2,004,374
210,459
(44%)
7.05
27,084,396
3,963,192
(1,071,443)
13
27,084,396
2,843,830
(52%)
7.04
282,087
43,216
(8,609)
1
282,087
29,619
(30%)
7.00
15,391,848
1,621,223
(367,380)
8
15,391,848
1,535,728
(39%)
6.83
5,727,656
555,473
(78,589)
7
5,727,656
555,494
(21%)
6.82
Page 8 of 17
Portfolio Stress Testing Calculation
INDUSTRY
Manufacturing - Miscellaneous
Construction - Specialty Trade
Manufacturing - Primary Metals
Wholesale Trade - Durable Goods
Manufacturing - Computer &
Retail Trade - Clothing & Clothing
Retail Trade - Sporting Goods, Hobby,
Transportation - Air
Manufacturing - Petroleum & Coal
Finance - Securities, Commodity
Manufacturing - Fabricated Metal
Mining (except oil and gas)
AUTHORIZED
IRB CA
RAROC
OBLIGORS
EXP AT RISK
STD CA
RORAC %
PRR
2,466,780
267,824
(46,020)
6
2,466,780
190,097
(25%)
6.82
11,434,388
1,103,917
(109,436)
10
11,434,388
951,500
(7%)
6.69
3,047,471
205,829
(9,135)
4
3,047,471
319,984
5%
6.42
5,601,614
294,907
47,292
3
5,601,614
588,169
49%
6.10
352,609
17,172
3,545
1
352,609
37,024
58%
6.00
705,219
34,344
(1,108)
1
705,219
74,048
8%
6.00
5,348,096
260,452
50,338
2
5,348,096
561,550
55%
6.00
493,653
24,041
(776)
3
493,653
51,834
8%
6.00
3,808,181
185,458
36,858
1
3,808,181
399,859
56%
6.00
1,410,437
68,688
14,180
1
1,410,437
148,096
58%
6.00
15,999,629
677,317
168,340
2
15,999,629
460,238
71%
5.99
13,371,677
617,777
140,822
5
13,202,425
1,225,350
62%
5.96
Page 9 of 17
Portfolio Stress Testing Calculation
INDUSTRY
Management of Companies &
Utilities
Transportation - Support Activities
Manufacturing - Chemical
Healthcare - Ambulatory Health Care
Information - Telecommunications
Construction - Heavy & Civil
Professional, Scientific & Technical
Retail Trade - Gasoline Stations
AUTHORIZED
IRB CA
RAROC
OBLIGORS
EXP AT RISK
STD CA
RORAC %
PRR
824,937
38,686
4,590
4
824,937
83,377
40%
5.96
19,899,231
918,809
198,922
4
19,899,231
1,984,322
60%
5.94
992,767
37,089
4,246
2
992,767
38,037
40%
5.82
6,439,552
250,629
49,025
7
6,439,552
588,173
56%
5.77
105,783
2,432
802
1
105,783
5,183
83%
5.26
4,087,104
92,498
41,666
5
4,087,104
305,430
105%
5.19
271,556
136
2,266
1
271,556
0
2,797%
1.38
94,032
47
2,492
1
94,032
0
8,850%
1.38
0
0
0
1
0
0
N/A
1.00
Page 10 of 17
Portfolio Stress Testing Calculation
Analysis by Industry - Outstanding Before Stress Testing
INDUSTRY
Real Estate
Manufacturing - Beverage & Tobacco
Manufacturing - Wood Products
Manufacturing - Primary Metals
Manufacturing - Electrical Equipment,
Wholesale Trade - Nondurable Goods
Manufacturing - Computer &
Retail Trade - Clothing & Clothing
Construction - Specialty Trade
Wholesale Trade - Durable Goods
OUTSTANDING
IRB CA
RAROC
OBLIGORS
OUT AT RISK
STD CA
RORAC %
PRR
43,581,273
2,613,176
317
14
43,581,273
4,515,645
15%
6.30
9,632,537
523,333
60,128
6
9,632,537
864,588
41%
6.24
232,915
13,579
1,481
1
232,915
24,456
38%
6.21
4,057,084
205,911
10,957
4
3,897,896
409,279
26%
6.14
2,347,216
121,078
18,629
2
2,347,216
246,458
48%
6.14
22,138,334
980,438
108,290
8
22,138,334
2,244,242
39%
5.96
3,662,786
133,325
49,563
1
3,662,786
384,592
90%
5.64
788,199
28,690
2,977
1
788,199
82,761
36%
5.64
13,327,000
457,909
192,118
10
13,327,000
1,194,588
102%
5.63
8,850,992
292,334
141,373
3
8,850,992
929,354
112%
5.53
Page 11 of 17
Portfolio Stress Testing Calculation
INDUSTRY
Retail Trade - Electronics &
Utilities
Mining (except oil and gas)
Management of Companies &
Manufacturing - Chemical
Retail Trade - Sporting Goods, Hobby,
Manufacturing - Nonmetallic Mineral
Information - Telecommunications
Transportation - Support Activities
Manufacturing - Petroleum & Coal
Transportation - Air
Finance - Funds, Trusts & Other
OUTSTANDING
IRB CA
RAROC
OBLIGORS
OUT AT RISK
STD CA
RORAC %
PRR
7,025,635
182,216
97,435
2
7,025,635
737,692
126%
5.37
16,727,537
427,639
279,625
4
16,727,537
1,629,321
143%
5.26
25,933,979
657,496
478,499
5
25,933,406
2,413,391
157%
5.24
15,147,404
360,432
275,692
4
15,126,122
1,053,300
169%
5.24
9,196,319
203,788
132,430
7
9,196,319
763,941
145%
5.17
4,872,704
113,223
92,922
2
4,872,704
511,634
173%
5.14
14,941,209
275,964
350,493
7
14,941,209
1,472,900
279%
5.08
5,168,814
107,991
74,824
5
5,168,814
508,473
149%
5.06
892,977
15,384
10,970
2
892,977
27,367
165%
5.04
3,830,327
80,054
76,156
1
3,830,327
402,184
197%
5.04
3,830,508
59,969
84,698
3
3,830,508
236,777
313%
4.98
2,976,404
39,513
55,897
3
2,976,404
179,646
293%
4.75
Page 12 of 17
Portfolio Stress Testing Calculation
INDUSTRY
Manufacturing - Miscellaneous
Manufacturing - Fabricated Metal
Healthcare - Ambulatory Health Care
Accommodation
Professional, Scientific & Technical
Construction - Heavy & Civil
Retail Trade - Motor Vehicles & Parts
Finance - Securities, Commodity
Retail Trade - Gasoline Stations
OUTSTANDING
IRB CA
RAROC
OBLIGORS
OUT AT RISK
STD CA
RORAC %
PRR
3,115,178
36,756
62,587
6
3,115,178
198,577
366%
4.73
25,895,078
247,081
595,407
2
25,895,078
448,131
522%
4.60
460,667
4,929
6,072
1
460,667
24,660
250%
4.53
1,833,052
17,861
43,681
3
1,833,052
192,470
464%
4.41
94,808
28
2,506
1
94,808
0
17,637%
1.38
240,677
72
2,047
1
240,677
0
5,686%
1.38
0
0
0
2
0
0
N/A
1.00
2,691,585
0
71,663
1
2,691,585
282,616
N/A
1.00
0
0
0
1
0
0
N/A
1.00
Page 13 of 17
Portfolio Stress Testing Calculation
Analysis by Industry - Outstanding After Stress Testing
INDUSTRY
Manufacturing - Electrical Equipment,
Retail Trade - Electronics &
Manufacturing - Nonmetallic Mineral
Manufacturing - Miscellaneous
Transportation - Air
Manufacturing - Beverage & Tobacco
Real Estate
Manufacturing - Wood Products
Finance - Funds, Trusts & Other
Accommodation
OUTSTANDING
IRB CA
RAROC
OBLIGORS
OUT AT RISK
STD CA
RORAC %
PRR
2,347,216
1,076,747
(389,834)
2
2,347,216
246,458
(78%)
7.66
7,025,635
3,084,652
(1,153,998)
2
7,025,635
737,692
(83%)
7.65
14,941,209
5,400,304
(1,844,145)
7
14,941,209
1,472,900
(74%)
7.55
3,115,178
1,033,146
(362,366)
6
3,115,178
198,577
(76%)
7.51
3,830,508
1,231,924
(417,405)
3
3,830,508
236,777
(73%)
7.49
9,632,537
1,918,386
(553,058)
6
9,632,537
864,588
(60%)
7.24
43,486,794
7,281,753
(1,978,594)
13
43,486,794
4,505,725
(51%)
7.11
232,915
35,683
(7,108)
1
232,915
24,456
(30%)
7.00
2,976,404
356,409
(79,046)
3
2,976,404
179,646
(41%)
6.94
1,833,052
209,765
(37,379)
3
1,833,052
192,470
(30%)
6.91
Page 14 of 17
Portfolio Stress Testing Calculation
OUTSTANDING
IRB CA
RAROC
OBLIGORS
INDUSTRY
OUT AT RISK
STD CA
RORAC %
PRR
Wholesale Trade - Nondurable Goods
22,138,334
2,670,621
(578,794)
8
22,138,334
2,244,242
(36%)
6.89
13,327,000
1,172,286
(82,078)
10
13,327,000
1,194,588
(1%)
6.63
4,057,084
250,958
(7,423)
4
3,897,896
409,279
9%
6.36
8,850,992
431,118
89,436
3
8,850,992
929,354
58%
6.00
3,830,327
186,537
37,073
1
3,830,327
402,184
56%
6.00
3,662,786
178,378
32,586
1
3,662,786
384,592
53%
6.00
2,691,585
131,080
27,061
1
2,691,585
282,616
58%
6.00
788,199
38,385
(676)
1
788,199
82,761
11%
6.00
4,872,704
237,301
47,089
2
4,872,704
511,634
56%
6.00
16,727,537
754,262
158,179
4
16,727,537
1,629,321
58%
5.92
892,977
33,966
3,775
2
892,977
27,367
40%
5.86
25,933,979
1,038,489
337,289
5
25,933,406
2,413,391
81%
5.77
Construction - Specialty Trade
Manufacturing - Primary Metals
Wholesale Trade - Durable Goods
Manufacturing - Petroleum & Coal
Manufacturing - Computer &
Finance - Securities, Commodity
Retail Trade - Clothing & Clothing
Retail Trade - Sporting Goods, Hobby,
Utilities
Transportation - Support Activities
Mining (except oil and gas)
Page 15 of 17
Portfolio Stress Testing Calculation
INDUSTRY
Information - Telecommunications
Management of Companies &
Manufacturing - Fabricated Metal
Manufacturing - Chemical
Healthcare - Ambulatory Health Care
Professional, Scientific & Technical
Construction - Heavy & Civil
Retail Trade - Motor Vehicles & Parts
Retail Trade - Gasoline Stations
OUTSTANDING
IRB CA
RAROC
OBLIGORS
OUT AT RISK
STD CA
RORAC %
PRR
5,168,814
182,328
47,818
5
5,168,814
508,473
68%
5.62
15,147,404
491,078
226,993
4
15,126,122
1,053,300
111%
5.58
25,895,078
664,658
434,365
2
25,895,078
448,131
162%
5.48
9,196,319
266,500
109,791
7
9,196,319
763,941
99%
5.44
460,667
11,550
3,650
1
460,667
24,660
80%
5.33
94,808
47
2,504
1
94,808
0
8,818%
1.38
240,677
120
2,042
1
240,677
0
2,843%
1.38
0
0
0
2
0
0
N/A
1.00
0
0
0
1
0
0
N/A
1.00
Page 16 of 17
Portfolio Stress Testing Calculation
Page 17 of 17