Step 1: Plot the customers into different aging buckets at regular intervals during the period

Number of Customers 2017

Buckets Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17
Not Due 86,839 79,104 129,167 134,486 80,350 112,864 87,574
1-30 days 16,461 27,376 14,046 13,506 12,284 29,945 29,451
31-60 days 3,707 2,854 1,534 4,540 4,821 4,306 3,141
61-90 days 366 562 711 791 950 871 494
91-120 days 284 126 513 614 542 536 599
>120 days 566 844 240 118 538 356 881
Total 108,223 110,866 146,211 154,055 99,485 148,878 122,140

Step 2: Calculate the flow rate from mapping one monthly transition to another transition

2017
Transition from Transition to Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17
Not Due 1-30 days 31.53% 17.76% 10.46% 9.13% 37.27%
1-30 days 31-60 days 17.34% 5.60% 32.32% 35.70% 35.05%
31-60 days 61-90 days 15.16% 24.91% 51.56% 20.93% 18.07%
61-90 days 91-120 days 34.43% 91.28% 86.36% 68.52% 56.42%

Step 3: Calculate the average flow rates over the period

Average of flow rates

Transition from Transition to 2017 2018 2019 2020 2021 2022
Not Due 1-30 days 19.12% 19.73% 18.84% 19.28% 16.87% 24.30%
1-30 days 31-60 days 19.05% 14.56% 16.13% 13.90% 15.51% 9.55%
31-60 days 61-90 days 29.98% 37.56% 16.68% 34.30% 29.10% 29.00%
61-90 days 91-120 days 58.06% 53.53% 40.26% 48.33% 36.81% 49.80%

Step 4: Multiply the conditional probabilities to arrive at the probabilities of default at each aging bucket

Through the cycle probability of default

Bucket Wise default rates 2017 2018 2019 2020 2021 2022 2023
Not Due 0.63% 0.58% 0.20% 0.44% 0.28% 0.34% 0.44%
1-30 days 3.32% 2.93% 1.08% 2.31% 1.66% 1.38% 2.66%
31-60 days 17.41% 20.10% 6.71% 16.58% 10.71% 14.44% 15.38%
61-90 days 58.06% 53.53% 40.26% 48.33% 36.81% 49.80% 59.32%
2017 201
Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18
113,443 131,294 134,056 108,556 110,195 83,535 135,852 107,524 102,311 104,270
13,600 23,259 14,979 27,158 11,318 23,842 24,007 27,318 23,826 20,286
4,108 4,349 487 3,428 590 535 3,120 1,967 2,841 4,349
239 442 834 697 242 526 744 314 230 815
244 17 271 641 266 181 416 239 290 82
627 847 95 100 669 835 121 221 459 251
132,261 160,208 150,722 140,580 123,280 109,454 164,260 137,583 129,957 130,053

2017
Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18
26.09% 15.53% 20.50% 11.41% 20.26% 10.43% 21.64% 28.74% 20.11% 22.16%
10.49% 13.95% 31.98% 2.09% 22.89% 2.17% 4.73% 13.09% 8.19% 10.40%
11.47% 7.61% 10.76% 19.18% 143.12% 7.06% 89.15% 139.07% 10.06% 11.69%
68.77% 49.39% 7.11% 61.31% 76.86% 38.16% 74.79% 79.09% 32.12% 92.36%

2023 Average
16.73% 19.27%
17.28% 15.14%
25.94% 28.94%
59.32% 49.44%

Average
Default rate
0.42%
2.17%
14.31%
49.44%
 2018
Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19
105,941 104,284 96,249 135,378 93,112 114,271 132,513 82,872 74,012 77,187
14,762 21,037 20,152 18,438 28,711 13,710 18,125 26,060 22,292 10,942
4,033 4,041 1,117 667 4,275 2,538 4,410 3,366 4,469 2,457
308 433 633 491 514 470 166 565 668 135
719 6 351 257 283 99 186 - 207 433
196 311 44 246 373 560 220 42 17 145
125,959 130,112 118,546 155,477 127,268 131,648 155,620 112,905 101,665 91,299

2018
May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19
19.83% 14.16% 19.86% 19.32% 19.16% 21.21% 14.72% 15.86% 19.67% 26.90%
18.25% 19.88% 27.37% 5.31% 3.31% 23.19% 8.84% 32.17% 18.57% 17.15%
28.69% 7.08% 10.74% 15.66% 43.96% 77.06% 10.99% 6.54% 12.81% 19.85%
35.65% 88.22% 1.95% 81.06% 40.60% 57.64% 19.26% 39.57% 0.00% 36.64%
 2019
Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20
127,955 75,096 133,087 128,427 88,271 134,706 133,735 131,059 116,560 122,376
23,169 15,019 17,047 24,822 21,168 22,710 16,717 13,382 22,324 27,123
2,059 2,287 4,090 4,427 1,775 3,408 2,868 928 3,150 1,660
766 105 118 874 815 182 243 396 483 139
14 507 64 118 146 234 155 31 3 402
197 190 694 405 17 131 195 253 282 264
154,160 93,204 155,100 159,073 112,192 161,371 153,913 146,049 142,802 151,964

2019
Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19
14.78% 30.02% 11.74% 22.70% 18.65% 16.48% 25.73% 12.41% 10.01% 17.03%
11.02% 18.82% 9.87% 27.23% 25.97% 7.15% 16.10% 12.63% 5.55% 23.54%
3.02% 31.18% 5.10% 5.16% 21.37% 18.41% 10.25% 7.13% 13.81% 52.05%
64.82% 10.37% 66.19% 60.95% 100.00% 16.70% 28.71% 85.16% 12.76% 0.76%
 2020
Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20
84,040 130,433 121,947 138,843 109,537 101,299 75,554 123,903 85,396 107,822
21,006 15,610 22,603 25,831 10,102 24,104 24,027 12,264 17,091 24,853
3,761 3,755 367 2,013 1,405 2,236 2,244 3,297 4,677 3,918
923 599 282 637 370 930 114 148 698 609
97 3 262 45 384 188 155 75 54 480
132 94 63 297 134 365 252 334 166 18
109,959 150,494 145,524 167,666 121,932 129,122 102,346 140,021 108,082 137,700

2020
Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20
23.27% 17.17% 18.57% 17.33% 21.18% 7.28% 22.01% 23.72% 16.23% 13.79%
7.44% 13.87% 17.88% 2.35% 8.91% 5.44% 22.13% 9.31% 13.72% 38.14%
4.41% 55.60% 15.93% 7.51% 173.57% 18.38% 66.19% 5.10% 6.60% 21.17%
83.23% 69.78% 0.33% 43.74% 15.96% 60.28% 50.81% 16.67% 65.79% 36.49%
 2021
Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21
93,844 115,435 139,942 74,702 108,248 108,767 127,917 135,539 88,100 120,360
23,440 24,265 21,214 14,452 18,182 10,675 13,949 20,189 29,805 27,152
1,180 2,830 1,700 1,266 4,163 1,357 3,032 1,018 3,783 4,776
946 931 388 975 674 784 338 696 104 463
415 4 774 24 33 80 618 240 100 69
433 336 189 351 259 149 29 411 421 167
120,258 143,801 164,207 91,770 131,559 121,812 145,883 158,093 122,313 152,987

2021
Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21
29.10% 21.74% 25.86% 18.38% 10.33% 24.34% 9.86% 12.82% 15.78% 21.99%
22.92% 4.75% 12.07% 7.01% 5.97% 28.81% 7.46% 28.40% 7.30% 18.74%
13.02% 24.14% 78.90% 13.71% 57.35% 53.24% 18.83% 24.91% 22.96% 10.22%
68.77% 68.14% 0.42% 83.14% 6.19% 3.38% 11.87% 78.83% 71.01% 14.37%
 2022
Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22
137,785 122,192 123,675 135,315 84,135 134,059 94,098 89,932 83,214 116,834
12,770 17,865 10,560 27,818 20,260 23,640 22,939 17,072 27,191 23,477
3,619 2,464 3,875 2,590 4,359 2,433 1,404 1,534 752 439
953 972 246 371 750 275 134 202 141 794
59 625 271 111 246 668 92 21 17 42
72 89 581 619 568 510 925 909 246 200
155,258 144,207 139,208 166,824 110,318 161,585 119,592 109,670 111,561 141,786

2022
Sep-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22
30.82% 10.61% 12.97% 8.64% 22.49% 14.97% 28.10% 17.11% 18.14% 30.24%
16.02% 13.33% 19.30% 21.69% 24.53% 15.67% 12.01% 5.94% 6.69% 4.40%
12.24% 19.95% 26.86% 9.98% 9.57% 28.96% 6.31% 5.51% 14.39% 9.19%
66.35% 12.74% 65.58% 27.88% 45.12% 66.31% 89.07% 33.45% 15.67% 8.42%
022 2023
Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23
83,989 76,852 73,147 75,700 115,789 99,148 111,293 135,640 135,002 139,091
25,535 23,743 27,334 23,914 10,600 11,340 26,267 17,549 21,775 23,466
3,592 2,097 1,236 2,023 1,817 1,297 2,211 2,579 2,906 3,536
358 410 437 559 192 221 430 989 577 742
633 158 179 401 282 151 15 335 949 372
43 381 460 583 464 703 311 162 391 119
114,150 103,641 102,793 103,180 129,144 112,860 140,527 157,254 161,600 167,326

2022
Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23
28.21% 21.86% 28.27% 35.57% 32.69% 14.00% 9.79% 26.49% 15.77% 16.05%
1.61% 15.30% 8.21% 5.21% 7.40% 7.60% 12.24% 19.50% 9.82% 16.56%
105.59% 81.55% 11.41% 20.84% 45.23% 9.49% 12.16% 33.15% 44.73% 22.37%
29.79% 79.72% 44.13% 43.66% 91.76% 50.45% 78.65% 6.79% 77.91% 95.96%
 2023
Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23 Dec-23
115,768 132,945 71,834 117,304 71,472 139,519 136,898
23,495 12,339 18,485 16,428 14,244 20,002 15,016
4,138 1,823 2,641 4,319 4,478 4,564 708
856 745 957 994 590 927 300
480 637 663 212 673 386 43
412 429 356 874 111 528 382
145,149 148,918 94,936 140,131 91,568 165,926 153,347

2023
May-23 Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23 Dec-23
17.38% 16.89% 10.66% 13.90% 22.87% 12.14% 27.99% 10.76%
16.24% 17.63% 7.76% 21.40% 23.36% 27.26% 32.04% 3.54%
25.53% 24.21% 18.00% 52.50% 37.64% 13.66% 20.70% 6.57%
64.47% 64.69% 74.42% 88.99% 22.15% 67.71% 65.42% 4.64%
Step 1: Select the macroeconomic factors, extract their data from IMF and include it in the table

Macroeconomic Factors
Consumer Price Index GDP
Status Year Base Worst Best Status Year Base
Actual 2015 4.525 Actual 2015 3.812
Actual 2016 2.864 Actual 2016 4.072
Actual 2017 4.148 Actual 2017 4.609
Actual 2018 3.925 Actual 2018 6.096
Actual 2019 6.738 Actual 2019 3.120
Actual 2020 10.741 Actual 2020 (0.943)
Actual 2021 8.901 Actual 2021 5.770
Actual 2022 12.148 Actual 2022 6.169
Actual 2023 29.181 Actual 2023 (0.166)
Actual 2024 24.757 Actual 2024 2.000
Forecasted 2025 12.654 21.829 3.479 Forecasted 2025 3.500
Forecasted 2026 7.570 16.745 (1.605) Forecasted 2026 4.500
Forecasted 2027 6.499 15.674 (2.676) Forecasted 2027 5.000
Forecasted 2028 6.493 15.668 (2.682) Forecasted 2028 5.000
Forecasted 2029 6.493 15.668 (2.682) Forecasted 2029 5.000

Step 2: Calculate the mean and standard deviation of last 5 and 10 years and include the former in building best and worst case scenarios

5 Years Data 5 Years Data

AVG 17.146 AVG 2.566
stdev 9.17541006 stdev 3.29182647

10 Years Data 10 Years Data

Average 10.79 Average 3.45
Stdev 9.12 Stdev 2.50

Step 3: Calculate the z-value in a normal distribution usin mean and standard deviation of last 10 years for best, base and worst case scenarios

Year Base Worst Best Year Base Best

2025 0.20 1.21 (0.80) 2025 0.02 1.34
2026 (0.35) 0.65 (1.36) 2026 0.42 1.74
2027 (0.47) 0.54 (1.48) 2027 0.62 1.94
2028 (0.47) 0.53 (1.48) 2028 0.62 1.94
2029 (0.47) 0.53 (1.48) 2029 0.62 1.94

Average (0.31) 0.69 (1.32) Average 0.46 1.78

Directionale 0.31 (0.69) 1.32 Directionale 0.46 1.78

Step 4: Calculate the average of z-values

Base Best Worst

0.39 1.55 (0.78)
Step 5: Calculate the PiT PDs using the Vasicek formula, average z-values and BASEL prescribed asset correlation formula.

Bucket Wise Probability of default

Average
default Asset Correlation Base Best Worst Average PD
Default rate
rates
Not Due 0.33% 14.59% 0.10% 0.02% 0.44% 0.18%
1-30 days 6.73% 4.23% 5.37% 3.19% 8.61% 5.72%
31-60 days 28.09% 3.00% 25.57% 19.46% 32.55% 25.86%
61-90 days 51.00% 3.00% 48.31% 40.26% 56.43% 48.34%
 GDP
Best Worst

6.792 0.208
7.792 1.208
8.292 1.708
8.292 1.708
8.292 1.708

worst case scenarios

and worst case scenarios

Worst
(1.30)
(0.90)
(0.70)
(0.70)
(0.70)

(0.86)
(0.86)