Integrity certificate: credit risk portfolio
Re-run against these exact files on 2026-08-29.

Every line was measured, not asserted. The checks are ordinary pandas over
the CSVs sitting beside this file, so you can re-run them yourself.

  PASS  AAA: 0 of 68 loans defaulted (S&P published PD: 0.00%)
  PASS  AA: 0 of 281 loans defaulted (S&P published PD: 0.00%)
  PASS  A: 0 of 718 loans defaulted (S&P published PD: 0.00%)
  PASS  BBB: 2 of 1,261 loans defaulted, 0.16% (S&P published PD: 0.03%)
  PASS  BB: 3 of 919 loans defaulted, 0.33% (S&P published PD: 0.28%)
  PASS  B: 9 of 639 loans defaulted, 1.41% (S&P published PD: 1.61%)
  PASS  CCC: 88 of 314 loans defaulted, 28.03% (S&P published PD: 26.92%)
  PASS  senior_unsecured LGD is exactly 40% on all 3,480 such loans (Basel F-IRB supervisory value)
  PASS  subordinated LGD is exactly 75% on all 720 such loans (Basel F-IRB supervisory value)
  PASS  ead equals drawn_amount + ccf x undrawn_commitment on all 4,200 loans
  PASS  term_loan rows have undrawn_commitment exactly 0 on all 1,917 such loans
  PASS  expected_loss equals pd x lgd x ead on all 4,200 loans
  PASS  realized_loss is exactly 0 on all 4,098 non-defaulted loans
  PASS  realized_loss equals lgd x ead on all 102 defaulted loans
  PASS  loans.borrower_id has zero orphans against borrowers.csv

15 checks, 15 passing.

Portfolio totals, measured from these files:
  total EAD              $5,629,505,202.10
  total expected loss       $62,364,848.60  (1.108% of EAD)
  total realized loss       $75,869,968.00  (102 of 4,200 loans defaulted)

Sources for every non-derived number:
  PD   S&P Global Ratings, Annual Global Corporate Default and Rating
       Transition Study, averaged across the 2019-2024 editions.
  LGD  Basel Foundation IRB supervisory value (BIS / OSFI Capital Adequacy
       Requirements, Chapter 5, Internal Ratings-Based Approach).
  CCF  Basel standardized-approach credit conversion factor table.

Generated by Misata, https://www.misata.studio
