RPT-Fitch Affirms 4 STFC's ABS PTCs at 'BBB-sf'; Outlook Stable

Fri Jun 21, 2013 6:31am EDT

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June 21 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed 4 pass-through certificates (PTCs) from four Indian ABS transactions, CV Loan Trust 2012 (CV 2012), India Vehicle Trust - March 2012 (IVT Mar 12), Novo XI Trust (Novo XI), and STFCL CV Trust 2012 (STFCL CV 2012). These transactions are backed by commercial vehicle loans originated by Shriram Transport Finance Company Limited (STFC).The rating actions are listed at the end of this rating action commentary.

Key Rating Drivers

The affirmations reflect adequate levels of credit enhancement (CE) and satisfactory asset performance. This is more than adequate to mitigate the rise in delinquent loans in the underlying pool.

The CE of CV 2012 increased to 29.8% of outstanding series A PTC balance in May 2013 from 18.1% in February 2012 as the portfolio amortised to 48% of the initial balance. The 90+dpd and 180+dpd as a percentage of the initial pool balance was 3.1% and 0.7% respectively as of April 2013, an increase from 2.2% and 0.2% respectively as of November 2012.

The CE of Novo XI increased to 25% in May 2013 from 13% in March 2012 as the portfolio amortised to 52% of the initial balance. The 90+dpd and 180+dpd as a percentage of the initial pool balance was 3.2% and 0.8% respectively as of April 2013, an increase from 2.8% and 0.2% respectively as of November 2012. The CE of IVT Mar 2012 increased to 25.6% in May 2013 from 13.3% in March 2012 as the portfolio amortised to 52% of the initial balance. The 90+dpd and 180+dpd as a percentage of the initial pool balance was 5% and 1% respectively as of April 2013, an increase from 3.9% and 0.2% respectively as of November 2012.

The CE of STFCL CV 2012 increased to 24.9% in May 2013 from 13.3% in March 2012 as the portfolio amortised to 53% of the initial balance. The 90+dpd and 180+dpd as a percentage of the initial pool balance was 5.6% and 0.7% respectively as of April 2013, an increase from 3.8% and 0.2% respectively as of November 2012.For all transactions, the CE has not been utilised since closing. The excess spread has been sufficient to absorb losses.

For all transactions except CV 2012, the CE is in the form of both fixed deposits and a bank guarantee. For CV 2012, the CE comprises both an external CE in the form of fixed deposits and a bank guarantee, and an internal CE in the form of over-collateralisation.

Rating Sensitivities

Fitch considers a downgrade to be unlikely for these transactions. For CV 2012, based on the current CE, a one-notch downgrade of the PTCs to 'BB+sf' would require an increase in the base-case default rate by 54% to 9.8%, while keeping other risk factors constant.

For Novo XI, based on the current CE, a one-notch downgrade of the PTCs to 'BB+sf' would require an increase in the base-case default rate by 47% to 9.9%, while keeping other risk factors constant.

For IVT Mar 2012, based on the current CE, a one-notch downgrade of the PTCs to 'BB+sf' would require an increase in the base-case default rate by 49% to 9.8%, while keeping other risk factors constant.

For STFCL CV 2012, based on the current CE, a one-notch downgrade of the PTCs to 'BB+sf' would require an increase in the base-case default rate by 46% to 9.8%, while keeping other risk factors constant.

Initial key rating drivers and rating sensitivity are described further in the new issue reports for CV Loan Trust 2012 dated 13 April 2012, India Vehicle Trust - March 2012 dated 12 June 2012, Novo XI Trust dated 19 April 2012, and STFCL CV Trust 2012 dated 18 May 2012.

A comparison of the transactions' representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and links given under Related Research below.

The full list of rating actions is as follows:

CV Loan Trust 2012

INR3,617,283,810 Series A PTCs due December 2016: affirmed at 'BBB-sf'; Outlook Stable

India Vehicle Trust - March 2012

INR904,720,828 Series A PTCs due July 2017: affirmed at 'BBB-sf'; Outlook Stable Novo XI Trust

INR816,537,973 Series A PTCs due February 2018: affirmed at 'BBB-sf'; Outlook Stable STFCL CV Trust 2012

INR703,619,008 Series A PTCs due March 2017: affirmed at 'BBB-sf'; Outlook Stable

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