To understand the contribution of various risk factors to the overall riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. Recently, the importance of this issue has been highlighted by the decision of the Basel committee to allow sophisticated banks to use their own internal credit portfolio risk. In this note we use ‘default-mode’ credit portfolio risk models to study the importance of the factors correlation and granularity for the overall risk of credit risky portfolios.