━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
                                │                    Gross                                         Net
                                  ───────────────────────────────────────────  ───────────────────────────────────────────
portfolio    unit    layer      │    Mean       SD     CV   VaR 99%  TVaR 99%     Mean       SD     CV   VaR 99%  TVaR 99%
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
Portfolio A  Unit 1  0 xs 0     │ 12.145M   4.290M  0.353   65.209M   98.543M  18.558M  13.913M  0.750  102.879M  140.088M
                     5M xs 5M   │  7.783M  17.811M  2.288   40.617M   64.582M   8.924M  12.048M  1.350   31.870M   36.839M
                     40M xs 10M │ 27.046M  88.824M  3.284   72.542M  115.113M  28.009M  21.576M  0.770  130.984M  192.473M
             ─────────────────────────────────────────────────────────────────────────────────────────────────────────────
             Unit 2  0 xs 0     │ 26.884M  71.780M  2.670  158.479M  181.669M   5.910M   4.319M  0.731   32.987M   52.549M
                     5M xs 5M   │ 23.509M  65.788M  2.798   97.865M  114.553M  10.475M   3.796M  0.362   53.962M   76.214M
                     40M xs 10M │ 23.985M  32.629M  1.360   74.232M  115.463M   5.705M  19.097M  3.348   16.747M   22.830M
──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
Portfolio B  Unit 1  0 xs 0     │ 27.384M  23.473M  0.857  106.785M  133.012M  23.414M  25.725M  1.099  131.218M  156.274M
                     5M xs 5M   │ 11.366M  28.301M  2.490   42.956M   59.741M  18.171M  14.734M  0.811   91.518M  136.742M
                     40M xs 10M │ 27.609M  39.388M  1.427   93.052M  127.991M   6.711M  19.735M  2.941   35.203M   54.198M
             ─────────────────────────────────────────────────────────────────────────────────────────────────────────────
             Unit 2  0 xs 0     │  9.319M  19.529M  2.096   24.941M   30.188M  10.035M  18.329M  1.826   59.020M   82.882M
                     5M xs 5M   │  6.628M  21.393M  3.228   27.402M   36.701M  19.330M  14.235M  0.736   53.447M   65.452M
                     40M xs 10M │ 28.960M  36.239M  1.251  160.059M  235.263M  27.125M  11.234M  0.414  118.782M  170.228M
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