Work out exposure at default instantly with clear inputs, formula shown and shareable results.
Exposure at default exceeds the current drawn balance because distressed borrowers draw down available limits before failing. The credit conversion factor captures that expected additional drawdown, plus accrued but unpaid interest.
Exposure at default
EAD = drawn × (1 + accruals) + undrawn × credit conversion factor
Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.
Because a borrower heading for default typically uses every facility available, converting commitment into real exposure.
It depends on facility type and cancellability — uncommitted lines attract low factors, committed revolvers much higher ones.