Optimization Model

Int X D/A
# Industry Code Business Risk Financial Risk Bond Rating 2005 2005
1 B H L BBB 5.83 31.57
3 B H L BBB 6.24 28.76
37 B H M BB 0.76 47.60
41 B H L BBB 10.17 28.91
43 B H M BB 1.44 54.75
89 B H H B 1.50 61.67
109 B H H B 0.00 44.81
122 B H M BB 2.26 53.36
142 B H M BB 1.00 58.51
143 B H H B 1.00 65.12
144 B H H B 0.00 68.19
158 B H H B 0.00 60.76
2 C M M A 3.09 46.62
5 C M M A 1.53 35.57
6 C M L AA 5,110.92 0.00
7 C M L AA 6.07 35.47
8 C M L AA 5.60 29.60
9 C M M A 0.00
11 C M M A -3.12 25.64
13 C M L AA 3.21 23.50
15 C M L AA 124.60 0.00
16 C M L AA 3.25 27.91
17 C M L AA 5.99 37.35
18 C M L AA 9,488.00 0.00
19 C M L AA 429.33 0.71
20 C M L AA 5.47 39.84
21 C M L AA 4.53 17.18
22 C M L AA 11.25 5.82
23 C M L AA 85.09 0.00
24 C M L AA 42.14 3.78
25 C M M A 0.00 43.48
26 C M H BBB 0.00 45.38
27 C M M A 0.00 32.62
28 C M H BBB 0.38 70.28
29 C M H BBB 0.93 61.03
30 C M L AA 0.44 30.26
31 C M H BBB 0.00 51.09
32 C M H BBB 0.00 49.01
33 C M M A 1.35 45.40
34 C M M A 0.00 19.21
35 C M M A 0.21 35.57
36 C M M A 0.48 37.14
38 C M M A 1.98 56.26
39 C M M A 2.65 56.49
76 C M M A 2.93 35.97
77 C M M A 2.22 47.04
78 C M H BBB 1.24 65.35
79 C M M A 0.38 41.78
80 C M M A 1.58 43.83
 82 C M M A 0.32 42.52
83 C M M A 3.13 51.93
86 C M M A 0.00 0.00
88 C M M A 0.00 30.42
90 C M M A 1.21 42.73
92 C M H BBB 0.84 68.77
96 C M L AA 3.30 36.42
97 C M L AA 3.30 37.91
101 C M L AA 3.30 37.91
102 C M M A 2.94 46.91
103 C M H BBB 1.58 61.41
105 C M M A 0.31 54.23
106 C M L AA 3.18 35.00
107 C M H BBB 1.76 61.44
108 C M H BBB 1.31 69.10
111 C M L AA 7.48 15.12
114 C M M A 1.62 55.40
115 C M H BBB 2.91 57.76
116 C M M A 1.22 52.52
117 C M M A 2.99 37.83
118 C M M A 1.56 48.98
119 C M M A 1.45 56.79
120 C M H BBB 0.79 65.12
123 C M M A 1.79 50.52
124 C M H BBB 0.43 60.89
127 C M M A 1.68 37.46
129 C M M A 1.08 52.48
130 C M H BBB 0.00 35.46
131 C M M A 2.91 41.98
134 C M H BBB 2.76 56.91
138 C M H BBB 2.98 60.14
139 C M M A 5.77 45.38
140 C M H BBB 0.17 48.80
141 C M H BBB 0.00 69.02
146 C M H BBB 0.00 108.18
149 C M H BBB 0.95 58.03
150 C M H BBB 0.00 68.46
151 C M H BBB 0.00 233.40
152 C M M A 0.00 25.01
153 C M H BBB 0.00 37.23
154 C M H BBB 1.35 61.18
155 C M M A 0.45 44.27
160 C M H BBB 0.00 69.36
164 C M H BBB 0.00 99.61
167 C M H BBB 0.00 73.50
168 C M H BBB 0.00 44.33
10 F H M BB 4.88 18.43
14 F H L BBB 8.89 19.37
40 F H L BBB 25.94 8.60
42 F H L BBB 36.31 14.56
44 F H L BBB 33.60 10.77
45 F H M BB
 46 F H H B 1.34 50.87
47 F H M BB 3.41 32.84
48 F H L BBB 3.74 9.02
49 F H M BB 4.47 21.46
50 F H M BB 1.70 35.63
51 F H L BBB 6.60 1.08
52 F H H B 0.00 80.14
72 F H H B 0.00 57.44
73 F H H B 0.00 13.61
75 F H L BBB 52.88 11.54
84 F H H B 2.63 37.51
87 F H L BBB 5.69 9.44
93 F H M BB 1.34 20.55
95 F H H B 1.00 72.02
98 F H M BB 37.36 33.67
99 F H H B 1.17 28.47
100 F H L BBB 2.82 8.33
104 F H M BB 5.67 19.89
110 F H M BB 0.00 0.00
128 F H H B 2.78 39.39
133 F H M BB 1.48 26.18
135 F H H B 0.00 55.61
137 F H L BBB 9.66 1.83
156 F H M BB 6.06 16.67
159 F H M BB 4.85 36.64
161 F H M BB 7.40 24.88
162 F H M BB 3.38 14.47
163 F H H B 0.53 129.56
165 F H H B 0.04 96.54
166 F H M BB 2.29 36.19
53 G M L AA 52.44 0.00
54 G M L AA 12.71 13.34
55 G M L AA 8.12 30.28
56 G M H BBB 1.31 56.24
85 G M L AA 1.99 19.03
94 G M H BBB 1.65 73.43
112 G M L AA 2.30 10.18
113 G M M A 1.86 50.80
121 G M M A 2.16 48.04
125 G M M A 2.69 61.27
126 G M L AA 2.15 25.49
132 G M H BBB 0.00 32.07
136 G M M A 1.82 32.52
145 G M H BBB 0.00 35.45
147 G M H BBB 1.33 50.84
148 G M M A 6.38 45.31
157 G M M A 1.61 28.44
4 J H L BBB 12.56 19.58
12 J H L BBB 0.00
57 J H M BB 2.23 36.03
58 J H H B 0.00 34.16
74 J H H B 0.00 63.90
59 K L L AAA 3,285.74 0.00
60 K L L AAA 4.60 11.30
61 K L M AA 6.10 37.35
62 K L H A 5.46 50.76
63 K L H A 2.55 21.04
64 K L H A 0.22 18.17
65 L H M BB 14.32 19.74
66 L H H B 2.94 46.25
67 L H L BBB 541.86 0.00
68 L H L BBB 20.14 0.00
69 L H M BB 7.90 12.64
70 L H M BB 0.00
71 L H M BB 1.06 9.97
81 L H M BB 1.74 31.48
91 L H H B 0.00 57.60
Op Mgn Int X D/A Op Mgn TOTAL
2005 Score Score Score SCORE Interest % Default % Loan $
5.39 4.0 8.0 4.0 16.0 5.3% 12.8% 618
7.57 4.0 8.0 4.0 16.0 5.3% 12.5% 768
2.16 2.0 6.0 4.0 12.0 6.7% 33.2% 387
6.38 4.0 8.0 4.0 16.0 5.3% 12.9% 695
2.50 3.0 4.0 4.0 11.0 6.7% 30.6% 927
6.58 3.0 2.0 4.0 9.0 7.5% 56.9% 675
(123.30) 1.0 6.0 1.0 8.0 7.5% 59.9% 916
7.73 3.0 6.0 4.0 13.0 6.7% 29.0% 821
5.32 2.0 4.0 4.0 10.0 6.7% 27.0% 887
5.73 2.0 2.0 4.0 8.0 7.5% 49.2% 1,126
(5.76) 1.0 2.0 1.0 4.0 7.5% 48.7% 825
(7.10) 1.0 4.0 1.0 6.0 7.5% 61.1% 884
12.92 3.0 4.0 4.0 11.0 4.7% 2.7% 752
2.52 3.0 6.0 4.0 13.0 4.7% 2.5% 836
27.70 4.0 8.0 4.0 16.0 4.6% 1.3% 745
9.86 4.0 6.0 4.0 14.0 4.6% 1.8% 747
5.24 4.0 8.0 4.0 16.0 4.6% 1.7% 762
16.04 1.0 8.0 4.0 13.0 4.7% 3.8% 758
-4.81 1.0 8.0 1.0 10.0 4.7% 3.0% 858
3.82 4.0 8.0 4.0 16.0 4.6% 1.3% 951
17.86 4.0 8.0 4.0 16.0 4.6% 1.7% 737
4.65 4.0 8.0 4.0 16.0 4.6% 1.8% 952
1.33 4.0 6.0 4.0 14.0 4.6% 1.4% 709
3.53 4.0 8.0 4.0 16.0 4.6% 1.3% 834
11.01 4.0 8.0 4.0 16.0 4.6% 1.6% 666
7.67 4.0 6.0 4.0 14.0 4.6% 1.3% 718
6.32 4.0 8.0 4.0 16.0 4.6% 1.4% 910
1.97 4.0 8.0 4.0 16.0 4.6% 1.6% 606
5.79 4.0 8.0 4.0 16.0 4.6% 1.6% 622
2.90 4.0 8.0 4.0 16.0 4.6% 1.4% 748
1.88 1.0 6.0 4.0 11.0 4.7% 3.1% 971
(5.88) 1.0 4.0 1.0 6.0 5.3% 9.7% 715
(19.73) 1.0 8.0 1.0 10.0 4.7% 2.5% 943
1.13 2.0 2.0 4.0 8.0 5.3% 11.5% 1,071
2.33 2.0 2.0 4.0 8.0 5.3% 9.5% 765
0.66 2.0 8.0 4.0 14.0 4.6% 1.6% 818
(2.14) 1.0 4.0 1.0 6.0 5.3% 8.3% 758
(34.09) 1.0 4.0 1.0 6.0 5.3% 15.0% 613
4.38 2.0 4.0 4.0 10.0 4.7% 3.7% 867
(67.94) 1.0 8.0 1.0 10.0 4.7% 2.9% 944
0.31 2.0 6.0 4.0 12.0 4.7% 2.6% 893
0.47 2.0 6.0 4.0 12.0 4.7% 2.0% 693
6.39 3.0 4.0 4.0 11.0 4.7% 3.0% 877
7.55 3.0 4.0 4.0 11.0 4.7% 2.6% 914
9.39 3.0 6.0 4.0 13.0 4.7% 2.6% 807
6.48 3.0 4.0 4.0 11.0 4.7% 3.3% 938
5.60 2.0 2.0 4.0 8.0 5.3% 11.5% 865
1.48 2.0 6.0 4.0 12.0 4.7% 1.7% 753
6.33 3.0 6.0 4.0 13.0 4.7% 2.5% 798
 0.81 2.0 6.0 4.0 12.0 4.7% 2.8% 406
5.49 4.0 4.0 4.0 12.0 4.7% 2.7% 959
(2.42) 1.0 8.0 1.0 10.0 4.7% 2.5% 742
(16.32) 1.0 8.0 1.0 10.0 4.7% 3.4% 471
2.09 2.0 6.0 4.0 12.0 4.7% 3.0% 1,074
7.16 2.0 2.0 4.0 8.0 5.3% 6.4% 845
6.51 4.0 6.0 4.0 14.0 4.6% 1.5% 631
7.57 4.0 6.0 4.0 14.0 4.6% 1.7% 945
7.57 4.0 6.0 4.0 14.0 4.6% 1.8% 617
3.34 3.0 4.0 4.0 11.0 4.7% 3.6% 630
3.39 3.0 2.0 4.0 9.0 5.3% 12.9% 776
1.15 2.0 4.0 4.0 10.0 4.7% 3.8% 859
3.49 4.0 8.0 4.0 16.0 4.6% 1.1% 624
5.50 3.0 2.0 4.0 9.0 5.3% 7.5% 1,246
3.65 2.0 2.0 4.0 8.0 5.3% 8.6% 759
4.91 4.0 8.0 4.0 16.0 4.6% 1.6% 768
11.25 3.0 4.0 4.0 11.0 4.7% 3.1% 500
3.17 3.0 2.0 4.0 9.0 5.3% 9.9% 864
4.19 2.0 4.0 4.0 10.0 4.7% 2.6% 534
6.75 3.0 6.0 4.0 13.0 4.7% 3.3% 877
5.34 3.0 4.0 4.0 11.0 4.7% 3.4% 431
7.03 3.0 4.0 4.0 11.0 4.7% 2.9% 1,000
3.51 2.0 2.0 4.0 8.0 5.3% 9.6% 737
6.72 3.0 4.0 4.0 11.0 4.7% 3.1% 1,019
2.44 2.0 2.0 4.0 8.0 5.3% 11.3% 1,030
5.50 3.0 6.0 4.0 13.0 4.7% 2.6% 816
3.49 2.0 4.0 4.0 10.0 4.7% 4.1% 955
(27.41) 1.0 6.0 1.0 8.0 5.3% 10.7% 597
6.87 3.0 6.0 4.0 13.0 4.7% 2.1% 659
13.20 3.0 2.0 4.0 9.0 5.3% 8.4% 791
8.50 3.0 2.0 4.0 9.0 5.3% 9.7% 728
10.93 4.0 4.0 4.0 12.0 4.7% 3.7% 885
0.73 1.0 4.0 4.0 9.0 5.3% 10.7% 1,122
(6.44) 1.0 2.0 1.0 4.0 5.3% 10.4% 669
(8.44) 1.0 2.0 1.0 4.0 5.3% 8.5% 438
4.31 2.0 2.0 4.0 8.0 5.3% 8.2% 753
(10.24) 1.0 2.0 1.0 4.0 5.3% 13.2% 751
(56.51) 1.0 2.0 1.0 4.0 5.3% 10.7% 741
(4.37) 1.0 8.0 1.0 10.0 4.7% 2.6% 591
(1.86) 1.0 6.0 1.0 8.0 5.3% 11.5% 751
9.74 2.0 2.0 4.0 8.0 5.3% 14.6% 934
1.77 2.0 6.0 4.0 12.0 4.7% 3.7% 584
(3.76) 1.0 2.0 1.0 4.0 5.3% 11.3% 839
(87.32) 1.0 2.0 1.0 4.0 5.3% 9.3% 506
(6.57) 1.0 2.0 1.0 4.0 5.3% 6.8% 591
(81.04) 1.0 4.0 1.0 6.0 5.3% 11.1% 901
4.16 3.0 6.0 4.0 13.0 6.7% 33.1% 662
10.95 4.0 6.0 4.0 14.0 5.3% 8.5% 960
8.85 4.0 8.0 4.0 16.0 5.3% 10.2% 860
19.21 4.0 6.0 4.0 14.0 5.3% 8.7% 1,063
16.47 4.0 8.0 4.0 16.0 5.3% 7.6% 715
5.42 1.0 8.0 4.0 13.0 6.7% 29.4% 631
 5.00 2.0 2.0 4.0 8.0 7.5% 59.3% 615
8.90 3.0 4.0 4.0 11.0 6.7% 33.2% 843
1.14 3.0 8.0 4.0 15.0 5.3% 11.9% 945
8.72 3.0 6.0 4.0 13.0 6.7% 26.0% 469
8.47 2.0 4.0 4.0 10.0 6.7% 29.2% 819
11.45 4.0 8.0 4.0 16.0 5.3% 7.7% 903
(9.52) 1.0 2.0 1.0 4.0 7.5% 62.6% 934
(786.80) 1.0 2.0 1.0 4.0 7.5% 58.1% 871
(5.97) 1.0 6.0 1.0 8.0 7.5% 46.8% 988
2.64 4.0 8.0 4.0 16.0 5.3% 7.6% 1,165
13.16 2.0 2.0 4.0 8.0 7.5% 46.0% 1,014
3.51 3.0 8.0 4.0 15.0 5.3% 9.0% 1,031
2.83 2.0 6.0 4.0 12.0 6.7% 23.6% 653
14.96 1.0 2.0 4.0 7.0 7.5% 63.2% 1,056
14.70 4.0 4.0 4.0 12.0 6.7% 33.1% 600
2.42 1.0 4.0 4.0 9.0 7.5% 63.0% 693
0.62 2.0 8.0 4.0 14.0 5.3% 8.2% 794
1.32 3.0 6.0 4.0 13.0 6.7% 34.6% 944
5.90 1.0 8.0 4.0 13.0 6.7% 36.7% 729
6.97 2.0 2.0 4.0 8.0 7.5% 70.6% 774
4.67 2.0 4.0 4.0 10.0 6.7% 24.8% 782
(0.85) 1.0 2.0 1.0 4.0 7.5% 57.3% 609
14.43 4.0 8.0 4.0 16.0 5.3% 13.6% 710
9.46 3.0 6.0 4.0 13.0 6.7% 30.1% 1,009
6.03 3.0 4.0 4.0 11.0 6.7% 27.9% 633
8.49 4.0 4.0 4.0 12.0 6.7% 23.7% 624
3.78 3.0 6.0 4.0 13.0 6.7% 33.6% 633
2.76 1.0 2.0 4.0 7.0 7.5% 49.3% 672
0.30 1.0 2.0 4.0 7.0 7.5% 54.0% 1,207
3.25 2.0 4.0 4.0 10.0 6.7% 25.8% 864
1.62 4.0 8.0 4.0 16.0 4.6% 1.4% 628
1.75 4.0 8.0 4.0 16.0 4.6% 1.3% 575
8.46 4.0 6.0 4.0 14.0 4.6% 1.5% 716
5.09 1.0 2.0 4.0 7.0 5.3% 10.4% 622
2.45 3.0 8.0 4.0 15.0 4.6% 1.1% 937
5.20 2.0 2.0 4.0 8.0 5.3% 13.4% 297
1.85 3.0 8.0 4.0 15.0 4.6% 1.0% 602
7.79 2.0 4.0 4.0 10.0 4.7% 2.2% 974
7.70 3.0 4.0 4.0 11.0 4.7% 2.6% 850
3.41 4.0 2.0 4.0 10.0 4.7% 2.6% 922
1.73 3.0 8.0 4.0 15.0 4.6% 1.8% 615
(36.71) 1.0 6.0 1.0 8.0 5.3% 10.5% 893
2.84 2.0 6.0 4.0 12.0 4.7% 2.3% 1,007
(15.17) 1.0 4.0 1.0 6.0 5.3% 6.3% 780
3.52 1.0 2.0 4.0 7.0 5.3% 8.2% 475
3.82 4.0 4.0 4.0 12.0 4.7% 2.3% 747
1.07 2.0 6.0 4.0 12.0 4.7% 2.5% 512
6.14 4.0 8.0 4.0 16.0 5.3% 11.4% 891
12.11 2.0 8.0 4.0 14.0 5.3% 12.6% 831
1.56 3.0 4.0 4.0 11.0 6.7% 31.7% 711
(100.41) 2.0 6.0 1.0 9.0 7.5% 53.3% 590
(148.70) 2.0 2.0 1.0 5.0 7.5% 49.2% 715
 16.26 4.0 8.0 4.0 16.0 4.5% 0.6% 809
16.42 2.0 8.0 4.0 14.0 4.5% 0.7% 358
2.96 4.0 2.0 4.0 10.0 4.6% 1.4% 1,060
17.32 3.0 2.0 4.0 9.0 4.7% 3.0% 765
14.07 1.0 4.0 4.0 9.0 4.7% 2.8% 975
-183.67 1.0 6.0 1.0 8.0 4.7% 3.2% 799
17.46 3.0 4.0 4.0 11.0 6.7% 25.8% 825
15.41 2.0 2.0 4.0 8.0 7.5% 52.7% 907
7.26 4.0 8.0 4.0 16.0 5.3% 8.0% 665
6.46 4.0 8.0 4.0 16.0 5.3% 9.9% 1,196
1.02 3.0 6.0 4.0 13.0 6.7% 38.0% 504
16.00 1.0 8.0 4.0 13.0 6.7% 34.3% 605
1.27 1.0 6.0 4.0 11.0 6.7% 27.4% 846
3.56 2.0 4.0 4.0 10.0 6.7% 24.8% 925
(100.56) 1.0 2.0 1.0 4.0 7.5% 48.2% 657
131,649
0
Binary EV
Xi Payout
0 INPUTS AND OUTPUTS
0 TOTAL PAYOUT DEFAULT RECOVERY
0 0 72.4%
0 FUNDS LENT FUNDS AVAILABLE
0 0 $70,000
0 RETURNS $
0 (70,000)
0 RETURNS %
0 #DIV/0!
0 # of companies funded
0 0
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Table 1: Financial Risk Comparison Table 2: Score Break Down
Interest Coverage (Int X) (Higher the better) Score # of Co # Per Rating
Low (25%) Median (50%) High (75%) 16 23 39
B 0.57x 1.22x 3.15x 15 5
C 0.18x 1.40x 3.12x 14 11
F 1.26x 3.38x 6.33x 13 15 60
G 1.61x 1.99x 2.69x 12 15
J 0.00x 1.12x 4.81x 11 14
K 3.06x 5.03x 5.94x 10 16
L 1.57x 5.42x 15.78x 9 8 38
8 19
Debt/Assets (D/A) (Lower the better) 7 5
Low (25%) Median (50%) High (75%) 6 6
B 41.5 54.1 61.0
C 35.2 44.3 56.9
F 12.6 21.5 37.1
G 25.5 32.5 50.8
J 19.6 34.2 36.0
K 13.0 19.6 33.3
L 0.0 12.6 31.5

Operating Margin (Op Mgn) (Higher the better)

Low (25%) Median (50%) High (75%)
B 0.2% 5.4% 6.4%
C 0.6% 3.5% 6.6%
F 2.6% 5.2% 9.0%
G 1.7% 2.8% 5.1%
J (100.4%) 1.6% 6.1%
K 5.7% 15.2% 16.4%
L 1.3% 6.5% 15.4%
 Table 3: Financial Risk Allocation
% Per Rating Fin Risk H M L
28% L SCORES 6 9 10 13 14
L
L
44% M
M
M
M
28% H
H
H
H
 Bond Ratings (Exhibit 3)
L Estimated
16 Business Risk Financial Risk Ratings
H B
HIGH M BB
L BBB
H BBB
MEDIUM M A
L AA
H A
LOW M AA
L AAA
Financial Risk Table (Exhibit 1 and 4)
Bond Rating Interest % Default % Default DEV
AAA 4.5% 0.6% 0.1%
AA 4.6% 1.5% 0.3%
A 4.7% 2.9% 0.5%
BBB 5.3% 10.3% 2.0%
BB 6.7% 29.9% 5.0%
B 7.5% 53.7% 8.0%