Вы находитесь на странице: 1из 29

LETS WALK THROUGH

.A DECADE IN

TRANSITION
PACRA TRANSITION STUDY (FY03 FY12)

Thursday November 15, 2012

Humaira Jamil (Manager Rating Criteria)

1 2 3

Tools of the Trade!!!


What is a Transition Study ? Study St d Tools T l

Study Basics!!!
The Regulatory Requirement Study Disclosures

Study Findings !!!


PACRA Universe Composition & Activity Trends PACRA decade-wide Transition & Default trends

Transit Stations.

Transit Station 1: What is a Transition Study ?

Terminology & Concept


WHAT ? A Set of Tools & Analyses for a CRA ratings performance appraisal WHY ?

WHAT GOES IN THE MAKING OF A TRANSITION STUDY ?

Self Assessment CRA intercomparison possible standard tools & analyses

Historical ratings data

STATIC POOLS @ Issuer Level

Regulatory Requirement

Transit Station 1: What is a Transition Study ?

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

Transit Station 1: Tools of the Trade

Tools of the Trade Static Pools


WHAT ?
Annual (Single / Multiple) Monthly (Smallest measurement period)

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withdrawals during a measurement period An initial rating of FY11 will form part of the next year (FY12) pool, if not withdrawn NO, a rating put in default & subsequently withdrawn is counted as D ONLY.

Transit Station 1: Tools of the Trade

How Many y Static Pools in a 10-year y Annual Study y?


How many static pools FORM part of PACRA Transition Study (FY03-FY112 Age of the Pool (Years)
1 2 3 4 5 6 7 8 9 10 Total Static Pools

Number of such pools l 10 9 8 7 6 5 4 3 2 1 55

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

Age of the Pool (Years) 1 2 3 4 1 2 3 1 2 1

FY10

FY10 in FY10 FY10 in FY11 FY10 in FY12

FY11

FY11 in i FY11 FY11 in FY12

FY12

FY12 in FY12

Transit Station 1: Tools of the Trade

Understanding Transition Rates. Rates


FY08
Withdrawn Adjusted Static Pools (Nos.) 7 12

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

Transit Station 1: Tools of the Trade

Tools of the Trade Transition Matrices


5-Year Transition Pool (FY08-FY12) EoY (FY12) BoY (FY08) AAA AA+ AA AA AAA+ A ABBB+ BBB BBBBB-B CCC-C WASP 1 1 1 1 1 2 AAA AA+ 100% 100% AA 100% AAA+ A ABBB+ BBB BBBBB-B 100% CCC-C D 100% 100% W -

Transit Station 1: Tools of the Trade

Making Sense of Default Rates


FY08
ADR FY08 MDR FY08 MDR FY08 in FY09 MDR FY08 in FY10 MDR FY09 MDR FY09 in FY10 MDR FY09 in FY11

FY09
ADR FY09

FY10
ADR FY10

FY11
ADR FY11

FY12
ADR FY12

Transit Station 1: Tools of the Trade Calculating CDR-5


Years Static Pool Defaults Withd w l Withdrawals Withdrawal-adjusted static pool (WASP) Survivors @ default risk MDRs Survivors CDRs
N/A 0 (FY08 BoY) 7 0 0 7 N/A 0 0 7 7

Calculating Default Rates


(Relevant Static Pool: FY08: ADR = 0%)
1 (FY08 EoY) 2 (FY08 in FY09) 3 (FY08 in FY10) 4 (FY08 in FY11) 5 (FY08 in FY12) 0 0 7 7 0% 100% 0% 0% 100% 0% 1 0 7 7 14.3% 85.7% 14.3% 66.7% 42.7% 2 0 7 6 33.3% 100% 0 0 7 4 0%

42.7%

Transit Station 1: Tools of the Trade

Time-to-Default Time to Default

Time (in months) from the assignment of initial ratings till D

Time (in months) from the assignment of highest ratings (for the last time) till D

Time (in months) from the assignment of a rating category till D

Transit Station 2: Study Basics

WHAT the Regulators g Requir q ?


SECP Clause 2(e) ACRAA Clause 3.8 1. Each rating agency should publish at least annually ll a default d f l and d transition study d along l with the methodology 2. The default study should provide details of the following: Annual default rates for each rating category; 3-year average cumulative default rates; 1-year y transition rates

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

Transit Station 2: Study Basics

WHAT the Regulators g Requir q ?


IOSCO performance of the ratings, the CRA, where possible, should publish sufficient information about the historical default rates of CRA rating categories and whether the default rates of these h categories i have h changed h d over time, i so that h interested i d parties i can understand d d the h historical performance of each category and if and how rating categories have changed, and be able to draw quality comparisons among ratings given by different CRAs. If the nature of the rating or other circumstances make a historical default rate inappropriate, statistically invalid, or otherwise likely to mislead the users of the rating, the CRA should explain this. This information should include verifiable, quantifiable historical information about the performance of its rating opinions, organized and structured, and, where possible, standardized in such a way y to assist investors in drawing gp performance comparisons p between different CRAs. CODE OF CONDUCT FUNDAMENTALS FOR CREDIT RATING AGENCIES
- REVISED MAY 2008

CLAUSE 3.8 - In order to promote transparency and to enable the market to best judge the

Transit Station 2: Study Basics

WHAT this Study y proposes p p to Discl


PACRA Transition Study (FY03 FY12)

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

Default Analysis Accuracy of ratings

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
Initial-to-default Highest-to-default Category-to-default

a) Annual Default Rates (ADRs) for each year from FY03 to FY10 b) Cumulative Default Rates (CDRs): CDR-1, CDR2, CDR-3, CDR-4, CDR-5, CDR-6, CDR-7, CDR-8, CDR-9, CDR-10

Comparative Study

a) Transition & default rates (& distance-to-default) from PACRA compared to JCR-VIS (Pakistan), USA, Bangladesh, India, Malaysia

a) ADRs from PACRA compared to US (S&P & Moodys), India (CRISIL), Malaysia (RAM)

Transit Station 3: Study Findings

A Decade in Transition SNAPSH


PACRARatingsUniverse Composition (FY03 FY12)
100% 90% 80% 70 66 59 48 47 48 51 47 40 30 20 20% 10% 0% CCCC BBB BBB A AA AAA Total FY03 FY04 FY05 FY06 FY07 FY08 FY09 FY10 FY11 FY12 0 2 9 23 13 1 48 0 0 7 24 15 1 47 0 0 7 22 17 2 48 0 0 4 20 23 4 51 0 0 2 20 21 4 47 0 0 4 28 22 5 59 0 0 7 33 25 5 70 1 1 7 25 29 3 66 0 2 7 24 34 3 70 0 1 6 26 39 3 75 10 0 70 60 50 75 80 70

Ratings Comp position (%)

70% 60% 50% 40% 30%

PACRARatingsUniverseratingswiseconcentration (As@ June30, 2012)


18 16 14 12 10 8 6 4 2 0
FY12

Rating gs (Nos.)

AAA 3

AA+ 8

AA 17

AA 14

A+ 4

A 12

A 10

BBB+ 3

BBB 3

BBB BBB CCCC 0 1 0

Transit Station 3: Study Findings

A Decade in Transition SNAPSH


PACRARatings'Composition
45 40 35 30 25 20 15 10 5 0 AAA AA FY03 A FY07

Ratings (Nos.)

MedianRatingfor PACRAhovers around"AA"

BBB

BBB FY12

CCCC

Transit Station 3: Study Findings

A Decade in Transition SNAPSH


AnnualRatingActivityTrends
35% 30%

Transition Rates (%)

25% 20% 15% 10% 5% 0% FY03 FY04 FY05 FY06 FY07 FY08 FY09 FY10 FY11 FY12 Upgrade Rate (%) Downgrade Rate (%) DefaultRate (%)

100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Maintain Rate (%)

Transit Station 3: Study Findings

A Decade in Transition SNAPSH


Mult inotch Rating Act tivity (Nos.)
15 10 5 0
FY03 FY04 FY05 FY06 FY07

AnnualSinglenotchRatingActivity

AnnualMultinotchRatingActivity
Mu ultinotch Rating A Activity (Nos.)
6 4 2 0 2 4 6 8
Upgrades(Nos.) Downgrades(Nos.)
FY03 FY04 FY05 FY06 FY07 FY08 FY09 FY10 FY11 FY12

FY08

FY09

FY10

FY11

FY12

10
Upgrades(Nos.) Downgrades(Nos.)

Transit Station 3: Study Findings

A Decade in Transition SNAPSH


End of Year ( FY12) Withdrawal Transition Adjusted Static AAA (Years) : 1 Pool AAA 3 100.0% 12 5% 12.5% AA+ 8 AA 17 AA14 A+ 4 A 12 A10 BBB+ 3 BBB 3 BBB0 BB-B 1 CCC-C 0 Static Pool Size: 75 AA+ 87.5% 87 5% 5.9% AA 94.1% 7.1% AA85.7% 50.0% A+ 7.1% 50.0% 16.7% A 58.3% A16.7% 60.0% 33.3% BBB+ 66.7% 33.3% BBB 30.0% 33.3% BBB-

BB-B 10.0% 33.3% -

CCC-C -

D 8.3% 100.0% -

Withdrawals 0 0 1 0 1 1 1 0 0 0 -

Beginning of Y ear (FY 12)

Transit Station 3: Study Findings

A Decade in Transition SNAPSH


PACRAAverage CumulativeDefaultRates (BasedonperiodFY03 FY12)

16.00% 14.00% 12.00%

13.59% 12.26% 11.18% 8.30% 6.71% 5.68% 0.87% 2.50% 4.32% 5.59%

CDRs(%)

10.00% 8.00% 6.00% 4.00% 2.00% 0.00%

InvestmentGrade (AAABBB)

Transit Station 3: Study Findings

How STABLE are OUR RATINGS?


Transition Period (i-Year)

@ EndEnd
ABBB+ BBB BBBBB-B 3.41% 1.02% 1 22% 1.22% 5.26% CCC-C 1 22% 1.22% D 2.04% 4.35% 5.26% 50.00% 100 00% 100.00%

Average Annual Transition (FY03 (FY03-FY12) FY12) AAA AA+ AA AAA+ A

AAA AA+ AA AAA+ A A ABBB+ BBB BBBBB-B CCC C CCC-C

93.55% 6.45% 1 82% 92 1.82% 92.73% 73% 5.45% 5 45% 7.14% 83.67% 2.04% 1.02% 14.89% 77.66% 4.26% 2.27% 11.36% 68.18% 4.55% 3.41% 2.04% 11.22% 65.31% 9.18% 1.02% 3 66% 14.63% 3.66% 14 63% 60 60.98% 98% 6 10% 1.22% 6.10% 1 22% 2.17% 17.39% 54.35% 6.52% 2.17% 5.26% 15.79% 47.37% 20.00% 80.00% 12.50% 12.50% -

Beginnin ng of Year (Average FY03-FY12)

Transit Station 3: Study Findings

How STABLE are OUR RATINGS?

@ EndEnd
A1.54% 7.81% 15.00% 28 57% 28.57% 25.00% BBB+ 3.51% 1.67% 4 08% 4.08% 33.33% 11.11% BBB 1.56% 3.33% 2 04% 2.04% 8.33% 44.44% BBB1.54% 100.00% BB-B 1.56% 3.33% 4 08% 4.08% CCC-C D 6.25% 3.33% 4.17% 11.11% -

Average 3-Year Transition (FY03-FY12)


Transition Period (3-Year)

AAA 76.00% 2.63% -

AA+ 24.00% 76.32% 26.32% 3.08% -

AA 21.05% 59.65% 27.69% 9.38% 5.00% 11.11% 100.00% -

AA3.51% 55.38% 15.63% 1.67% 8 16% 8.16% 4.17% -

A+ 9.23% 43.75% 21.67% 10 20% 10.20% 4.17% -

A 9.38% 40.00% 28 57% 28.57% 8.33% 11.11% -

AAA AA+ AA AAA+ A A ABBB+ BBB BBBBB-B CCC-C CCC C

Beginning of Year (Average FY03-FY12)

Transit Station 3: Study Findings

How STABLE are OUR RATINGS?


Transition Period (5-Year)

@ EndEnd
A12.82% 17.50% 22.73% 38.46% BBB+ 3.23% 9.09% 7.69% 25.00% 100.00% BBB 3.23% 2.13% 2.50% 4.55% 7.69% 25.00% BBB2.13% BB-B 2.13% 5.13% 5.00% CCC-C D 2.56% 5.00% 4.55% 25.00% -

Average 5-Year Transition (FY03-FY12) AAA 64.71% AA+ 35.29% 64.00% 45.16% 4.26% AA 36.00% 41.94% 40.43% 10.26% 7.50% AA6.45% 38.30% 17.95% 12.50% 4.55% 7.69% A+ 6.38% 38.46% 15.00% 13.64% 7.69% A 2.56% 27.50% 22.73% 15.38% 25.00% -

AAA AA+ AA AA AAA+ A ABBB+ BBB BBBBB-B CCC-C

Beginn ning of Year (Average FY03-FY12)

Transit Station 3: Study Findings

How STABLE are OUR RATINGS?


Transition Period (7-Year)

@ EndEnd
A5.56% 17.65% 8.70% 16.67% 33.33% BBB+ 8.33% 11.11% 50.00% 100.00% BBB 5.88% 4.35% 33.33% BBB8.33% BB-B 3.45% 5.88% 4.35% 8.33% CCC-C D 5.88% 4.35% 8.33% 11.11% -

Average 7-Year Transition (FY03-FY12) AAA 75.00% AA+ 25.00% 61.54% 50.00% 10.34% AA 38.46% 44.44% 37.93% 11.76% 8.70% AA41.38% 11.76% 26.09% 16.67% A+ 3.45% 35.29% 8.70% 11.11% A 17.39% 33.33% 50.00% -

AAA AA+ AA AA AAA+ A ABBB+ BBB BBBBB-B CCC-C

Beginn ning of Year (Average FY03-FY12)

Transit Station 3: Study Findings

How STABLE are OUR RATINGS? @ EndEnd


A Average 10 10-Year Y T Transition ii (FY03-FY12) (FY03 FY12)
Transition Period (10-Year)

AAA 100.00% -

AA+ 100.00% 50.00% 12.50% -

AA 50.00% 62.50% 33.33% -

AA25.00% 66.67% -

A+ 50.00% -

A 50.00% -

A33.33% 100.00% -

BBB+ -

BBB 50.00% -

BBB-

BB-B 50.00% 33.33% -

CCC-C -

D 33.33% -

AAA AA+ AA AAA+ A ABBB+ BBB BBBBB-B CCC C CCC-C

Beginnin ng of Year (Average F FY03-FY12)

Transit Station 3: Study Findings

H How ACCURATE are OUR RATINGS? @ endd


PACRA Average Cumulative Default Rates (CDRs) - FY03-FY12 (% M (%, Modifier difi L Level) l) 1-Year AAA AA+ AA AAA+ A A ABBB+ BBB BBBBB B CCC C Investment Grade (AAA-BBB) 2.22% 5.00% 0.87% 2.50% 5.19% 4.24% 1 75% 1.75% 8.19% 4.32% 2-Year 12.03% 3.66% 2 04% 2.04% 10.18% 5.68% 3-Year 11.81% 13.28% 2 73% 2.73% 5.00% 4-Year 5-Year 6-Year 7-Year 8-Year 9-Year 10-Year

8.49% 9.00% 12.82% 19.02% 9.09% 16.65% 20.23% 12.97% 14.29% 26.17% 40.00% 5 00% 5.00% 10.00% 50.00% 25.00% 5.59% 6.71% 8.30% 12.26% 11.18% 13.59%

Transit Station 3: Study Findings

H How ACCURATE are OUR RATINGS? Time-to-Default Ti t D f lt


Average Time-to-Default ( (months) h)
Rating category (# of defaults) AAA AA A BBB BB-B CCC-C Initial-to-Default (# of defaults) N/A / N/A 49 (6) 79 (3) 14 (1) N/A
Note: When an entity emerges from a prior default, p , PACRA considers it a separate entity with the original rating as the first after the default event

Transit Station 3: Study Findings


TRANSITION TO DEFAULT (PACRA Defaults) Key y Lifetime Ratings g Entity / Issuers Network Leasing First Dawood Investment Bank Limited Dewan Cement Limited Maple Leaf Cement Factory Limited Shakarganj Mills Limited Pace (Pakistan) Limited Azgard Nine Limited Agritech Limited Maple Leaf Cement Factory Limited Pak Elektron Limited Initial BBB ( (Mar-00) ) BBB (May-98) A (Jul 06) (Jul-06) A (Oct-07) BBB+ (Feb-08) A+ (Jun-07) A (Apr-04) A+ (Jun-07) (Jun 07) BB (Ju1-10) A (Jul-06) Highest Financial Institutions BBB (Mar-00) ( ) A+ (Mar-03) Industrial Corporates A (Jul-06) (Jul 06) A (Oct-07) BBB+ (Feb-08) A+ (Jun-07) A+ (Nov-08) A+ (Jun 08) (Jun-08) BB (Ju1-10) A (Ju1-06) A(Nov-08) (Nov 08) BBB+ (Dec-08) BBB+ (Feb-08) A (Mar-10) A+ (Sept-09) A+ (Sept 09) (Sept-09) BB (Sept-10) A (Jan-11) CC (May-09) (May 09) BBB(Dec-09) BB(Apr-08) A (Oct-10) BB+ (Jun-10) BB+ (Jun 10) (Jun-10) BB (Ju1-11) BBB (Oct-11) D (Nov-09) (Nov 09) D (Dec-09) D (Nov-09) D (Mar-11) D (Sept-10) D (Sept 10) (Sept-10) D (Sept-11) D (Jan-12) BBB (Oct-05) ( ) A+ (Dec-08) BBB (Jan-06) ( ) BB (Nov-09) D (Oct-06) ( ) D (Dec-09) Prior to Default Rating g One year Last DEFAULT

H How A Accurate are OUR ratings ?

THANK YOU

Вам также может понравиться