| Corporate default probabilities | Quantile | Loss standard model | Loss contagion model | Contagion impact |
| Unstressed | 99% | 1,115,153 | 1,162,329 | 47,176 | 4% | 99.50% | 1,443,579 | 3,003,949 | 1,560,370 | 108% | 99.90% | 2,258,857 | 4,968,393 | 2,709,536 | 120% | 99.99% | 3,543,441 | 5,713,486 | 2,170,045 | 61% |
| Stressed by 5% | 99% | 1,115,153 | 1,250,570 | 135,417 | 12% | 99.50% | 1,443,579 | 3,003,949 | 1,560,370 | 108% | 99.90% | 2,333,935 | 4,968,393 | 2,634,458 | 113% | 99.99% | 3,584,506 | 5,713,486 | 2,128,979 | 59% |
| Stressed by 10% | 99% | 1,162,329 | 1,260,422 | 98,093 | 8% | 99.50% | 1,503,348 | 3,003,949 | 1,500,602 | 100% | 99.90% | 2,375,570 | 4,968,393 | 2,592,823 | 109% | 99.99% | 3,642,099 | 5,713,486 | 2,071,387 | 57% |
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