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.A DECADE IN
TRANSITION
PACRA TRANSITION STUDY (FY03 FY12)
1 2 3
Study Basics!!!
The Regulatory Requirement Study Disclosures
Transit Stations.
Regulatory Requirement
A Schematic Illustration
Stability
Performance of PACRA Ratings
RATINGS DATA (post-data mining)
Transition Analysis
Transition Matrices
Default Rates
Accuracy
Default Analysis
Distance-toDi t t Default
Static Pools are groupings of data that stay together in the group for the ENTIRE LENGTH & BREADTH A of f the measurement period of the pool
PACRA Static Pools are adjusted for all withdrawals during a measurement period An initial rating of FY11 will form part of the next year (FY12) pool, if not withdrawn NO, a rating put in default & subsequently withdrawn is counted as D ONLY.
How many static pools can be constructed out of our raw data For FY09 Pool Composition
FY09 in FY09 FY09 in FY10 FY09 in FY11 FY09 in FY12
FY10
FY11
FY12
FY12 in FY12
FY09
12
FY10
9
FY11
8
FY12
Categorized into: Upgrades (Nos.) Downgrades (Nos.) D f lt (Nos.) Default (N ) 1 3 0 0 4 0 Transition rates Upgrade Rates (%) Downgrade Rates (%) Annual Default Rates (%) 14% 42% 33% 33% 25% 22% 33% 13% 13% 13% 0 4 3 2 0 3 1 1 1
FY09
ADR FY09
FY10
ADR FY10
FY11
ADR FY11
FY12
ADR FY12
42.7%
Time (in months) from the assignment of highest ratings (for the last time) till D
i i.
Actual default rates experienced in each rating category; & ii. Rating transitions over time F the For th purposes of f items it (i) and d (ii), (ii) the time period would be five years.
SECPs SECP s Directive under the Credit Rating Companies Rules, 1995
Code of Conduct Fundamentals for domestic Credit Rating Agencies April 2011
CLAUSE 3.8 - In order to promote transparency and to enable the market to best judge the
se?
Disclosures
Findings
Transition Analysis Stability of ratings a) Annual & multi-year transition rates/ transition matrices for each of the 10 years from FY03 to FY12 b) Average (annual & multi-year) transition rates / transition matrices for the 10 years (FY03 FY12) a) b) c) d) e) f) g)
Average Annual transition rates Annual transition rates Average annual transition matrix Average 3-year transition matrix Average 5-year 5 year transition matrix Average 7-year transition matrix Average 10-year transition matrix
a) Annual Default Rates (ADRs) for each year from FY03 to FY12 b) Cumulative Default Rates (CDRs): CDR CDR-1, 1, CDR CDR-2, 2, CDR CDR-3, 3, CDR-4, CDR-5, CDR-6, CDR-7, CDR-8, CDR-9, CDR-10 c) Distance-to-Default