Page 61

F.

Tables

Table A.

Prescribed Baseline Annual Default Costs (in bps) using Moody’s Data as of February 2008

PBR credit Moody's\WAL rating 1 Aaa 2 Aa1 3 Aa2 4 Aa3 5 A1 6 A2 7 A3 8 Baa1 9 Baa2 10 Baa3 11 Ba1 12 Ba2 13 Ba3 14 B1 15 B2 16 B3 17 Caa1 18 Caa2 19 Caa3 20 Ca

Table B.

1 0.0 0.0 0.1 0.2 0.4 0.8 2.8 6.4 16.3 42.0 90.5 173.5 262.0 436.4 621.8 1,009.1 1,440.9 2,026.5 3,974.3 7,090.1

2 0.0 0.1 0.4 0.9 1.7 3.3 7.0 13.0 26.3 61.4 123.4 226.2 295.0 453.8 573.8 832.5 1,095.2 1,427.1 2,806.9 7,090.1

3 0.0 0.3 0.8 1.7 3.4 6.5 10.6 16.5 32.5 70.0 134.7 243.5 311.3 468.5 565.2 789.8 1,004.3 1,253.0 2,385.2 7,090.1

4 0.0 0.5 1.0 2.2 4.1 7.5 11.8 18.1 36.9 76.8 143.1 257.9 328.6 480.1 560.8 779.3 983.8 1,191.4 2,269.9 7,090.1

5 0.1 0.5 1.2 2.4 4.5 8.1 12.6 19.1 39.8 81.0 148.8 267.6 349.6 495.0 567.4 788.6 999.3 1,191.9 2,316.1 7,090.1

6 0.1 0.6 1.3 2.7 4.9 8.6 13.5 20.4 40.3 80.0 143.9 253.8 334.4 464.0 525.7 726.3 922.7 1,089.4 2,090.5 7,090.1

7 0.1 0.7 1.4 2.9 5.2 9.2 14.4 21.7 42.4 80.6 140.4 241.0 321.0 441.5 492.9 689.6 879.6 1,023.7 1,942.9 7,090.1

8 0.1 0.8 1.5 3.1 5.5 9.5 14.9 22.7 44.0 81.4 138.4 232.5 313.1 425.5 467.1 663.7 855.0 982.5 1,850.2 7,090.1

9 0.1 0.8 1.7 3.3 5.9 10.1 15.6 23.5 44.7 81.9 137.2 228.0 308.2 415.2 449.6 641.2 840.7 960.8 1,809.0 7,090.1

10 0.1 0.9 1.8 3.7 6.4 11.1 16.7 24.3 45.2 81.8 135.7 224.1 305.9 409.4 436.4 626.1 839.5 952.3 1,815.6 7,090.1

Default Cost Margin (in bps) included in Table A

PBR credit Moody's\WAL rating 1 Aaa 2 Aa1 3 Aa2 4 Aa3 5 A1 6 A2 7 A3 8 Baa1 9 Baa2 10 Baa3 11 Ba1 12 Ba2 13 Ba3 14 B1 15 B2 16 B3 17 Caa1 18 Caa2 19 Caa3 20 Ca

1 0.0 0.0 0.1 0.1 0.3 0.5 1.9 4.3 12.4 24.5 54.4 108.7 154.9 258.0 348.8 587.1 818.3 1,095.1 2,164.5 790.1

2 0.0 0.1 0.3 0.6 1.2 2.3 4.9 9.2 19.8 34.2 71.1 136.0 148.9 230.2 260.2 409.8 513.1 595.6 1,290.9 790.1

3 0.0 0.2 0.5 1.1 2.2 4.2 6.9 10.7 23.8 35.4 70.9 137.3 146.3 222.5 230.1 368.9 439.6 453.7 1,017.4 790.1

4 0.0 0.3 0.6 1.3 2.4 4.5 7.0 10.8 26.2 36.2 71.0 139.8 153.0 227.1 222.7 371.0 441.5 416.2 999.6 790.1

© 2010 National Association of Insurance Commissioners

5 0.0 0.3 0.6 1.4 2.5 4.5 7.0 10.6 27.6 37.4 72.7 144.6 166.2 240.0 231.4 392.0 475.9 435.6 1,131.9 790.1

61

6

7

8

9

0.0 0.3 0.7 1.4 2.6 4.6 7.3 11.0 26.7 34.2 65.6 129.0 147.3 209.2 193.1 344.0 423.6 361.6 987.6 790.1

0.0 0.4 0.7 1.5 2.7 4.8 7.5 11.4 27.4 32.9 61.4 118.7 134.3 189.6 165.4 320.9 403.1 317.1 918.2 790.1

0.0 0.4 0.8 1.6 2.8 4.9 7.6 11.7 28.0 32.1 58.9 112.2 127.9 178.9 148.4 307.4 393.9 282.1 870.1 790.1

0.0 0.4 0.8 1.7 2.9 5.0 7.8 11.8 28.0 31.3 56.8 108.1 124.8 173.5 138.3 297.3 389.7 250.6 841.8 790.1

10 0.0 0.4 0.9 1.8 3.1 5.4 8.1 11.8 17.6 34.2 61.0 103.7 124.9 173.0 133.1 294.4 395.2 224.8 843.8 790.1

VM-20_APF_form_5-18-11  

3. Show what changes are needed by providing a red-line version of the original verbiage with deletions and identify the verbiage to be dele...

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