December 21, 2012 / 7:26 AM / 5 years ago

TEXT-Fitch rates Platinum Trust 2013 'BBB-sf'(EXP); outlook stable

(The following statement was released by the rating agency)

Dec 21 - Fitch Ratings has assigned Platinum Trust 2013 pass-through certificates (PTC) expected ratings as follows:

INR2,067.6m Series A1 PTC due March 2014: ‘BBB-sf(EXP)'; Stable Outlook

INR1,335.4m Series A2 PTC due March 2015: ‘BBB-sf(EXP)'; Stable Outlook

INR600.5m Series A3 PTC due May 2017: ‘BBB-sf(EXP)'; 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 INR-denominated commercial vehicles loans originated by Cholamandalam Investment and Finance Co. Ltd (CIFCL), which is also the servicer.

The ratings and Outlooks are based on credit enhancement (CE) of 9.3% of the initial principal balance, CIFCL’s origination, servicing, collection and recovery expertise, as well as the legal and financial structure of the transaction. The ratings address timely payment of interest and principal in accordance with the payout schedule in the transaction document.

The CE will be a first loss credit facility, which is expected to be in the form of fixed deposits, 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.

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’s CE level was sufficient for the current rating level. Fitch also assessed the commingling risk of the servicer and assessed the liquidity sufficiency for timely payment of 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.

The collateral pool to be assigned to the trust at par had an aggregate outstanding principal balance of INR4,004m and consisted of 10,318 loans as of 30 November 2012. The collateral pool has a weighted average (WA) loan-to-value ratio of 83.8%, and a WA seasoning of 13 months. The pool is solely made up of prime commercial vehicle loans. The pool also has 8.6% of loans in the 30 or under days past due bracket. At closing, CIFCL will assign commercial vehicles loans to Platinum Trust 2013, which in turn will issue the PTCs. The PTCs proceeds will be used to fund the purchase of the underlying loans.

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