RPT-Fitch Affirms Five STFCL ABS PTCs at 'BBB-sf'; Outlook Stable

Wed Apr 9, 2014 6:16am EDT

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April 9 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed five pass-through certificates (PTCs) from four asset-backed securitisation (ABS) transactions backed by commercial-vehicle loans originated by India's Shriram Transport Finance Company Limited (STFCL), which also acts as a servicer for the transactions. The transactions are: Small Operators Trust 2012 (SOT 2012), Small Operators Trust II 2013 (SOT II 2013), STFCL CV Trust Feb 2013 (STFCL Feb 2013), and Sansar Trust March 2013 III (Sansar Mar 2013 III).

A full list of rating actions is at the end of this rating action commentary.

KEY RATING DRIVERS

The affirmations reflect satisfactory asset performance and sufficient credit enhancement (CE) for the rated notes. For each transaction, CE has increased from the closing date, driven by the steady amortisation of the static portfolios.

The portfolio of SOT 2012 has amortised by 79.6% of its initial balance. This has raised the CE to 65.7% of the outstanding series A2 PTCs' balance in February 2014, from 13.4% in November 2011 when the transaction closed. The percentage of the initial pool balance that was 90+ days past due (dpd) and 180+ dpd was 2.0% and 1.1% respectively in January 2014. During the 12 preceding months, the ratio of the loans that were 90+ dpd and 180+ dpd peaked at 3.5% and 0.7% respectively in January 2013.

The portfolio of SOT II 2013 has amortised by 41.3% of the initial balance. This has raised the CE to 22.5% of the outstanding series A2 and A3 PTCs' combined balance in March 2014, from 13.2% in February 2013 when the transaction closed. The percentage of the initial pool balance that was 90+ dpd and 180+ dpd was 3.5% and 0.5% respectively in February 2014. These levels are the highest since the transaction closed in February 2013. As the underlying loans are relatively unseasoned compared with other similarly rated transactions, delinquency levels have not yet declined from peak levels.

The portfolio of STFCL Feb 2013 has amortised by 37.8% of the initial balance. This has raised the CE to 21.2% of outstanding series A PTCs' balance in February 2014, from 13.2% in February 2013 when the transaction closed. The percentage of the initial pool balance that was 90+ dpd and 180+dpd was 2.8% and 0.3% respectively in January 2014. During the twelve preceding months, the ratio peaked at 3.0% for 90+ dpd loans and 0.3% for 180+dpd loans in December 2013. The portfolio of Sansar Mar 2013 III has amortised by 44.7% of the initial balance. This has raised the CE to 23.9% of outstanding series A PTC's balance in March 2014, from 13.2% in March 2013 when the transaction closed. The percentage of the initial pool balance that was 90+ dpd and 180+ dpd was 3.6% and 0.5% respectively in February 2014. These levels are the highest since the transaction closed in March 2013.

The CE has for STFCL Feb 2013 was drawn by 0.01% of the outstanding PTC balance in December 2013, and was then replenished to the original amount in January 2014. For the other three transactions, the CE has not been utilised. The excess spread has been sufficient to absorb the losses or to replenish any drawn CE. For all four transactions, the CE is in the form of a fixed deposit and a bank guarantee.

RATING SENSITIVITIES

Fitch has considered a downgrade scenario to be unlikely for SOT 2012 based on the current CE of 65.7% and asset performance.

Fitch would consider a downgrade of the note ratings of SOT II 2013, Sansar Mar 2013 III and STFCL Feb 2013 if it viewed a doubling of the base case default rate as being necessary, assuming current CE levels and keeping other risk factors constant.

All ratings on the PTCs may be upgraded if the ratings of India (BBB-/Stable/F3) and the bank counterparties are upgraded.

Initial key rating drivers and rating sensitivities for Small Operators Trust 2012 are described further in the new issue report dated 12 March 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:

Small Operators Trust 2012

INR2,069.7m Series A2 PTCs due October 2016: affirmed at 'BBB-sf'; Outlook Stable

Series A1 PTCs: paid in full as of 15 March 2013

Small Operators Trust II 2013

INR863.8m Series A2 PTCs due March 2015: affirmed at 'BBB-sf'; Outlook Stable

INR898.5m Series A3 PTCs due August 2017: affirmed at 'BBB-sf'; Outlook Stable

Series A1 PTCs: paid in full as of 18 March 2014

STFCL CV Trust Feb 2013

INR2,776.1m Series A PTCs due July 2017: affirmed at 'BBB-sf'; Outlook Stable

Sansar Trust March 2013 III

INR1,267.8m Series A PTCs due October 2017: affirmed at 'BBB-sf'; Outlook Stable

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