XYZ bank has two assets outstanding. summarized below. Assuming a correlation of 0.45 between the assets, compute ELp, ULp, RCA, RCB

Asset A Asset B commitments(COM) 20,000,000 14,000,000 Outstandings (OS) 13,000,000 10,000,000 Usage Given Default (UGD) 55% 70%

EDF 1.5% 4%

LGD 60% 70%

EDF 3.5% 6.75%

LGD 15% 15