(The following statement was released by the rating agency)
Feb 27 - Fitch Ratings has assigned Platinum Trust February 2013-Tranche II Series A
pass-through certificates (PTCs) expected rating as follows:
INR3,097m Series A PTCs due June 2017: 'BBB-(EXP)sf'; Stable Outlook
The final ratings are contingent upon the receipt of final documents conforming
to information already received.
The transaction is a static securitisation of commercial vehicles loans
denominated in Indian rupee (INR) originated by Cholamandalam Investment and
Finance Co. Ltd (CIFCL), which is also the servicer.
Key Rating Drivers
The rating is based on credit enhancement (CE) of 9.3% of the initial principal
balance, the origination, servicing, collection and recovery expertise of CIFCL,
as well as the legal and financial structure of the transaction. The rating
addresses timely payment of interest and principal in accordance with the payout
schedule in the transaction document.
The CE will be a cash collateral in the form of fixed deposits provided by CIFCL
- held with a bank rated at least 'BBB-' and 'F3' by Fitch - in the name of the
originator with a lien marked in favour of the trustee, IDBI Trusteeship
Fitch assessed the base case default rate, recovery rate, time to recovery and
prepayment rate based on the originator's historical data. These factors,
together with the portfolio's weighted average yield, were stressed in Fitch's
ABS cashflow model to assess whether the transaction CE level was sufficient for
the current rating. Fitch also assessed the commingling risk of the servicer and
the liquidity sufficiency for timely payment of the PTCs. The transaction is not
exposed to interest rate or foreign currency risks since both the assets and the
PTCs are fixed-rate and are denominated in INR. Fitch also conducted rating
sensitivity tests. An increase in the base-case default rate by 30%, while
keeping other risk factors constant, may result in a one-notch downgrade of the
PTCs to 'BB+(EXP)sf'.
The collateral pool to be assigned to the trust at par had an aggregate
outstanding principal balance of INR3,097m and consisted of 8,335 loans as of 31
January 2013. The collateral pool has a weighted average (WA) loan-to-value
ratio of 86.5%, and a WA seasoning of 13 months. The pool
is solely made up of prime commercial vehicle loans. The pool has 17.2% of loans
in the 1-30 days past due bucket, with overdue amounts representing over 5% of
the monthly instalment. At closing, CIFCL will assign commercial vehicles loans
to the trust, which in turn will issue the PTCs. The PTCs proceeds will be used
to fund the purchase of the underlying loans.