28.1 Migration Analysis

This section describes the parameters of the Migration Analysis.

Table 28-2 Migration Analysis Parameters

Parameters	Description
Analysis Name	Migration Analysis
Report Level Filters	Tabular Report: Migration by - credit score, delinquent bands and utilization bands, Period and Dimensions. When you choose credit score as a metric you can analyze the tabular reports through various filters such as: measures as listed below and credit score migration – change analysis. When you choose delinquent bands and utilization bands as a metric, you can analyze the graphical reports through measures as listed below. Graphical Reports: Migration by - credit score, delinquent bands and utilization bands, Period and Dimensions. When you choose credit score as a metric you can analyze the graphical reports through various filters such as measures as listed below, credit score for credit score migration– matrix graph, credit score for credit score migration analysis- upgrades and downgrades, and credit score – migration - change analysis. When you choose delinquent bands and utilization bands as a metric, you can analyze the graphical reports through various filters such as measures as listed below, delinquency/utilization bands for migration matrix, delinquency/utilization bands for migration analysis – upgrades and downgrades, delinquency/utilization bands for migration – change analysis.
Analysis Description	This analysis presents an in-depth view of migrations of credit score bands, utilization bands and delinquency bands in the retail banking portfolio. The migration analysis can be performed for specific portfolios based on chosen combination of dimensions and period covered by this analysis. The analysis provides drill down capabilities for both tabular and graphical reports, to access the details of accounts that have migrated during a given period. The migrations covered in this analysis are credit score migrations, delinquency band migrations and utilization band migrations. The credit score migration provides drill-down capabilities to obligor level details and then account level details, however the delinquent and utilization band migration provides drill-down capabilities directly to the account level details of the obligor. The period covered in this analysis are Trailing 12 months, Year to date, Quarter to date and month to date. When you choose credit score as a metric, you can analyze the report by the following measures: Gross Credit exposure, Total EOP balance and Number of accounts, % of Gross Credit Exposure, % of EOP balance and % of Number of Obligors. When you choose delinquent band/utilization band as a metric, you can analyse the report by the following measures: Gross Credit exposure, Total EOP balance and Number of accounts.
Reports Covered	This analysis is a combination of tabular and graphical reports. when you choose credit score as a metric the following reports are covered: Migration Ratios: This is a tabular report which displays various ratios of the Obligor such as Credit migration ratio, Exposure weighted migration ratio, Upgrade ratio – No. of Obligors, Downgrade ratio – No. of Obligors, Upgrade ratio – Exposure, Downgrade ratio – Exposure for a selected period, and combination of dimensions. Migration Matrix: A combination of tabular and graphical report which displays the migrations of an obligor through different credit scores by a chosen measure from the above list. The tabular report displays the details of migration of the obligor from one credit score to another by choosing a measure during the selected period, for a selected combination of dimensions. To access the details of obligors who have migrated between two credit scores, you can drill down by clicking on a specific cell in the migration matrix during the given period and click on details of migration to view the tabular report with Obligor details for the chosen previous external credit score. You can further drill-down to account level details of the Obligor by clicking on Obligor ID/Obligor. The graphical report is a cluster column chart which analyses the chosen credit score band of the obligors who have migrated to other bands for the chosen measure as listed above. It displays how the obligors have migrated from the beginning of the period to the end of period for a selected portfolio (based on chosen combination of dimensions). You can drill down to account level Obligor details by clicking on any column in the graph and click on rating migration detail. The tabular report with Obligor details will be displayed for the chosen previous external credit score. You can further drill-down to account details of the Obligor as a tabular report by clicking on the Obligor ID/Obligor. Migration Analysis – Upgrades and Downgrades: A combination of tabular and graphical report which analyses the movement of the obligor from one credit score to another in the form of upgrades and downgrades and the credit score which has remain unchanged for a chosen measure and period. The tabular report displays the Total upgrades, Total downgrades and Total unchanged along with the migration ratio. To access the details of obligors who have upgraded or downgraded for a chosen measure, you can drill down by clicking on a specific cell in the migration matrix and click on rating migration details to view the tabular report with Obligor details. You can further drill-down to account level details of the Obligor by clicking on Obligor ID/Obligor. The graphical report is a cluster column chart which analyses for the chosen credit score band of the obligors who have migrated to other credit score in the form of upgrades and downgrades as well as the credit score which has remain unchanged for a chosen measure as listed above. You can drill down to account level Obligor details by clicking on any column in the graph and click on rating migration detail. The tabular report with Obligor details will be displayed. You can further drill-down to account details of the Obligor as a tabular report by clicking on the Obligor ID/Obligor. Migration - Change Analysis: A combination of tabular and graphical report which analyses the reasons for change in gross credit exposure or numbers of obligors or total EOP balance of the Obligor, for a chosen range of credit score. The tabular report displays the Opening balance, Incremental value, Value Migrated in, Value Migrated out, new business, current balance and run off for the chosen credit score band, for a chosen measure and period. The tabular report has drill-down capabilities, where you can click on Value Migrated In or value migrated out or New business cell to access the rating migration detail of the Obligor in the form of tabular report. You can further drill-down to account level details of the Obligor by clicking on Obligor ID/Obligor. Click on Value Migrated in, Value Migrated out cell and click on migrated in upgrade downgrade and drill-down to a graphical report as a cluster column chart which displays the migrated in upgrades and migrated in downgrades value for a chosen credit score band. The graphical report is a bridge chart which analyses the reasons for change in the chosen measure for a chosen credit score band. The report displays the Opening balance, Incremental value, Value Migrated in, Value Migrated out, new business, run off and total for the selected period and combination of dimensions. When you choose delinquent bands or utilization bands as a metric the following reports are covered: Migration Matrix: A combination of tabular and graphical report which displays the migrations of an obligor through different delinquent/utilization bands by a chosen measure from the above list. The tabular report displays the details of migration of the obligor from one chosen delinquent/utilization band to another by choosing a measure during the selected period, for a selected combination of dimensions. To access the details of obligors who have migrated between two delinquent/utilization bands, you can drill down by clicking on a specific cell in the migration matrix tabular report during the given period to view the tabular report with account level Obligor details. The graphical report is a cluster column chart which analyses the chosen delinquent/utilization band of the obligors who have migrated to other bands for the chosen measure as listed above. It displays how the obligors have migrated from the beginning of the period to the end of period for a selected portfolio (based on chosen combination of dimensions). You can drill down to account level Obligor details by clicking on any column in the graph. Migration Analysis – Upgrades and Downgrades: A combination of tabular and graphical report which analyses the movement of the obligor from one delinquent/utilization band to another in the form of upgrades and downgrades and the bands which has remain unchanged for a chosen measure and period. The tabular report displays the Total upgrades, Total downgrades and Total unchanged. The graphical report is a cluster column chart which analyses for the chosen delinquent/utilization band of the obligors who have migrated to other bands in the form of upgrades and downgrades as well as the bands which has remain unchanged for a chosen measure as listed above. Migration - Change Analysis: A combination of tabular and graphical report which analyses the reasons for change in the measures listed above, of the Obligor. The tabular report displays the Total Opening balance, Incremental value, Value Migrated in, Value Migrated out, Others and current balance for a chosen measure and period. The graphical report is a bridge chart which analyses the reasons for change in the chosen measure for a chosen delinquent/utilization. The report displays the Total Opening balance, Incremental value, Value Migrated in, Value Migrated out, Others and total for the selected period and combination of dimensions.
Dimensions	Product type Product Legal Entity Line of Business Organization Structure Customer type Natural Currency
Drill-down details	Credit score as a chosen metric: Click on any cell in the Migration Matrix to access the details of Obligors comprising the cell/migration. The drill down report displays the following obligor level details for the chosen previous external rating: Obligor ID, Obligor, legal entity, Line of business, Org structure, Product type, Product, Industry, Natural Currency, PD %, LGD %, Credit score, Watchlist status, Onboarding date, Days Past due, Credit status, Behavior type, LTV, Current external credit score, Date of migration – internal, Exposure at default, Gross credit exposure, GCE Proportion %, Group exposure, Total EOP balance, Total EOP balance % proportion, Undrawn amount, overdue, Allowance for loans and lease losses, Expected loss and Security value. You can further drill-down to the account level details by clicking on the respective Obligor ID to view the details mentioned above along with account number as additional dimension. Click on any column in the credit score migration-matrix, click on rating migration details to drill-down to obligor details. The drill down report displays the obligor details for the chosen previous external credit score such as Obligor ID, Obligor, legal entity, Line of business, Org structure, Product type, Product, Industry, Natural Currency, PD %, LGD %, Credit score, Watchlist status, Onboarding date, Days Past due, Credit status, Behavior type, LTV, Current external credit score, Date of migration – internal, Exposure at default, Gross credit exposure, GCE Proportion %, Group exposure, Total EOP balance, Total EOP balance % proportion, Undrawn amount, overdue, Allowance for loans and lease losses, Expected loss and Security value. You can further drill-down to the account level details by clicking on the respective Obligor ID/Obligor to view the details mentioned above along with account number as additional dimension. Click on any cell in the Migration analysis – Upgrades and Downgrades tabular report and click on rating migration detail to view the drill down report which displays the Obligor details such as Obligor ID, Obligor, legal entity, Line of business, Org structure, Product type, Product, Industry, Natural Currency, PD %, LGD %, Credit score, Watchlist status, Onboarding date, Days Past due, Credit status, Behavior type, LTV, Previous external credit score, Current external credit score, Date of migration – internal, Exposure at default, Gross credit exposure, GCE Proportion %, Group exposure, Total EOP balance, Total EOP balance % proportion, Undrawn amount, overdue, Allowance for loans and lease losses, Expected loss and Security value. You can further drill-down to the account level details by clicking on the respective Obligor ID/Obligor to view the details mentioned above along with account number as additional dimension. Click on any column in the Migration analysis – Upgrades and Downgrades graphical report, click on rating migration details to drill-down to obligor details. The drill down report displays the obligor details such as Obligor ID, Obligor, legal entity, Line of business, Org structure, Product type, Product, Industry, Natural Currency, PD %, LGD %, Credit score, Watchlist status, Onboarding date, Days Past due, Credit status, Behavior type, LTV, Current external credit score, Date of migration – internal, Exposure at default, Gross credit exposure, GCE Proportion %, Group exposure, Total EOP balance, Total EOP balance % proportion, Undrawn amount, overdue, Allowance for loans and lease losses, Expected loss and Security value. You can further drill-down to the account level details by clicking on the respective Obligor ID/Obligor to view the details mentioned above along with account number as additional dimension. Click on the migrated in, migrated out and new business cell in migration –change analysis tabular report and click on rating migration detail. You can drill down to obligor details with following details: Obligor ID, Obligor, legal entity, Line of business, Org structure, Product type, Product, Industry, Natural Currency, PD %, LGD %, Credit score, Watchlist status, Onboarding date, Days Past due, Credit status, Behavior type, LTV, Previous external credit score, Current external credit score, Date of migration – internal, Exposure at default, Gross credit exposure, GCE Proportion %, Group exposure, Total EOP balance, Total EOP balance % proportion, Undrawn amount, overdue, Allowance for loans and lease losses, Expected loss and Security value. You can further drill-down to the account level details by clicking on the respective Obligor ID/Obligor to view the details mentioned above along with account number as additional dimension. Click on the migrated in, migrated out cell in migration –change analysis tabular report, click on migrated in upgrade downgrade details to drill down to a graphical report which displays the migrated in upgrades and migrated in downgrades value in the form of cluster column chart for a particular chosen credit score. Delinquent band or Utilization band as a chosen metric: Click on any cell in the Migration Matrix tabular report to access the account level details of obligor comprising the cell/migration. The drill down report displays the details such as Obligor, account number, legal entity, Line of business, Org structure, Customer type, Gross credit exposure, EOP balance- Fund based, EOP balance- Non-Fund based, Total EOP balance, Utilization %, Allowance for loans and lease losses, PD %, Expected loss, LTV and Security value. Click on any column in the Migration Matrix graphical report to drill down to account level Obligor details such as Obligor, account number, legal entity, Line of business, Org structure, Customer type, Gross credit exposure, EOP balance- Fund based, EOP balance- Non-Fund based, Total EOP balance, Utilization %, Allowance for loans and lease losses, PD %, Expected loss, LTV and Security value.
Drill-down Path	Credit score as a chosen metric: In the Migration matrix (tabular report) click on any cell in the Migration Matrix click on rating migration detail to access the details of Obligors. Click on the Obligor ID/Obligor click on the account details to further drill down to the account level details of the respective Obligor. In the Migration matrix (graphical report) click on any column, click on rating migration detail to access the details of Obligors. Click on the Obligor ID/Obligor click on the account details to further drill down to the account level details of the respective Obligor In the Migration Analysis- Upgrades and downgrades (Tabular Report), click on any cell in the matrix, click on rating migration details to view the Obligor level details. In the Obligor details report click on the Obligor ID/Obligor click on the account details to further drill down to the account level details of the respective Obligor. In the Migration Analysis- Upgrades and downgrades (graphical Report), click on any column, click on rating migration details to view the Obligor level details. In the Obligor details report click on the Obligor ID/Obligor click on the account details to further drill down to the account level details of the respective Obligor. In the Migration – Change analysis (tabular report) click on any cell in migrated in, migrated out or new business column, click on rating migration details to view the Obligor details report. In the Obligor details report click on the Obligor ID/Obligor click on the account details to further drill down to the account level details of the respective Obligor. In the Migration – Change analysis (tabular report) click on any cell in migrated in, migrated out or new business column, click on migrated in upgrade downgrade details tab to drill down to a graphical report which displays the migrated in upgrades and migrated in downgrades value in the form of cluster column chart for a particular chosen credit score. Delinquent band or Utilization band as a chosen metric: In the Migration matrix (tabular report) click on any cell to view the account level details for the chosen range. In the Migration Matrix graphical report click on any column to drill down to account level Obligor details.

Note:

The previous rating filter is not passing to the Credit Score Migration Matrix table’s drill-down report available in the Rating Migration & Transition tab of the Retail Credit Risk dashboard and hence, the drill-down report is not displayed.