The standalone Unexpected Loss (UL) for a single loan is calculated as: $UL_i = EAD \times \sqrt{PD \times \sigma_{LGD}^2 + LGD^2 \times \sigma_{PD}^2}$

Given:

• $EAD = 3,000,000$
• $PD = 4\% = 0.04$
• $\sigma_{PD} = 19.6\%$ (Using exact variance $\sigma_{PD}^2 = 0.04 \times 0.96 = 0.0384$)
• $LGD = 15\% = 0.15$
• $\sigma_{LGD} = 9\% = 0.09$

Plugging in the numbers: $UL_i = 3,000,000 \times \sqrt{0.04 \times (0.09)^2 + (0.15)^2 \times 0.0384}$ $UL_i = 3,000,000 \times \sqrt{0.000324 + 0.000864}$ $UL_i = 3,000,000 \times \sqrt{0.001188} = 3,000,000 \times 0.034467 \approx 103,402$

For a highly granular portfolio with constant pairwise default correlation $\rho$, the Unexpected Loss Contribution (ULC) of a single loan is: $ULC_i = UL_i \times \sqrt{\rho}$ $ULC_i = 103,402 \times \sqrt{0.25} = 103,402 \times 0.5 = 51,701$

Therefore, the correct estimate is CNY 51,701.