Mapping the Journey: New Borrower Risk Rating Transitions (2021–2025)

Slide 1: Mapping the Journey: New Borrower Risk Rating Transitions (2021–2025)

An Analysis of Risk Category Evolution & Model Group Shifts

Slide 2: Origination Year: 2021

Slide 3: Rating Distribution for Base Year: 2021

Slide 4: Insights into Rating Model Distribution (Base Year 2021)

Slide 5: Rating Shift Analysis (RSA) for Borrowers Originating in 2021

Slide 6: Risk Category Wise Distribution: 2021

Slide 7: Risk Category Wise Shift Analysis (Originating Year: 2021)

Slide 8: Risk Category Wise Shift Analysis (Originating Year 2021 - NR Adj.)

Slide 9: Transition Tables (Base Year: 2021)

Slide 10: Transition Tables (Base Year: 2021)

Slide 11: Transition Tables (Base Year: 2021)

Slide 12: Transition Tables (Base Year: 2021)

Slide 13: Transition Tables – NR Adj. (Base Year: 2021)

Slide 14: Transition Tables – NR Adj. (Base Year: 2021)

Slide 15: Transition Tables – NR Adj. (Base Year: 2021)

Slide 16: Transition Tables – NR Adj. (Base Year: 2021)

Slide 17: Comparative Analysis – Orig. Grade vs Orig. Model

Slide 18: Risk-category analysis: NP/ENBM

Slide 19: Risk-Category Analysis: Others

Slide 20: Rating Shift Analysis – Model Groups

Slide 21: Rating Shift Analysis: Model Groups (NR Adj.)

Slide 22: Transition Tables – NP/ENBM (Base Year: 2021)

Slide 23: Transition Tables – NP/ENBM (Base Year: 2021)

Slide 24: Transition Tables – NP/ENBM (Base Year: 2021)

Slide 25: Transition Tables – NP/ENBM (Base Year: 2021)

Slide 26: Transition Tables – Other (Base Year: 2021)

Slide 27: Transition Tables – Other (Base Year: 2021)

Slide 28: Transition Tables – Other (Base Year: 2021)

Slide 29: Transition Tables – Other (Base Year: 2021)

Slide 30: Origination Year: 2022

Slide 31: Rating Distribution for Base Year: 2022

Slide 32: Rating Model Distribution for Base Year 2022

Slide 33: Rating Shift Analysis (RSA) - (Originating Year: 2022)

Slide 34: Risk Category Wise Distribution: 2022

Slide 35: Risk Category Wise Shift Analysis (Base Year: 2022)

Slide 36: Risk Category Wise Shift Analysis – NR Adj. (Base Year: 2022)

Slide 37: Transition Tables (Base Year: 2022)

Slide 38: Transition Tables (Base Year: 2022)

Slide 39: Transition Tables - NR Adj. (Base Year: 2022)

Slide 40: Transition Tables – NR Adj. (Base Year: 2022)

Slide 41: Transition Tables – Other (Base Year: 2022)

Slide 42: Transition Tables – Other (Base Year: 2022)

Slide 43: Origination Year: 2023

Slide 44: Rating Distribution for Base Year: 2023

Slide 45: Rating Model Distribution for Base Year 2023

Slide 46: Rating Shift Analysis (RSA) for Borrowers Originating in 2023

Slide 47: Risk Category Wise Distribution: 2023

Slide 48: Risk Category Wise Shift Analysis (Originating Year: 2023)

Slide 49: Risk Category Wise Shift Analysis – NR Adj. (Originating in 2023)

Slide 50: Transition Tables (Base Year: 2023)

Slide 51: Transition Tables - NR Adj. (Base Year: 2023)

Slide 52: Comparative Analysis – Orig. Grade vs Orig. Model

Slide 53: Risk-category analysis: NP/ENBM

Slide 54: Risk-Category Analysis: Others

Slide 55: Rating Shift Analysis – Model Groups

Slide 56: Transition Tables – NP/ENBM (Base Year: 2023)

Slide 57: Transition Tables – Other (Base Year: 2023)

Slide 58: Origination Year: 2024

Slide 59: Rating Distribution for Base Year: 2024

Slide 60: Rating Model Distribution for Base Year 2024

Slide 61: Rating Shift Analysis (RSA) (Originating Year: 2024)

Slide 62: Risk Category Wise Distribution: 2024

Slide 63: Risk Category Wise Shift Analysis (Originating Year: 2024)

Slide 64: Risk Category Wise Shift Analysis: NR Adj. (Originating Year: 2024)

Slide 65: Transition Tables (Base Year: 2024)

Slide 66: Comparative Analysis – Orig. Grade vs Orig. Model

Slide 67: Risk-category analysis: NP/ENBM

Slide 68: Risk-Category Analysis: Others

Slide 69: Rating Shift Analysis – Model Groups

Slide 70: Transition Tables – NP/ENBM (Base Year: 2024)

Slide 71: Transition Tables – Other (Base Year: 2024)

Slide 72: Origination Year: 2025

Slide 73: Rating Distribution for Base Year: 2025

Slide 74: Risk Category Wise Distribution: 2025

Slide 75: Comparative Analysis – Orig. Grade vs Orig. Model

Slide 76: Risk-category analysis: NP/ENBM

Slide 77: Risk-Category Analysis: Others

Slide 78: Summary – Risk Category Wise

Slide 79: Summary – Models Wise

Slide 80: Summary – Grade Wise

Slide 81: Risk Rating Analysis- NP/ENBM

Slide 82: Risk Rating Analysis- Other models