(The following was released by the rating agency)
HONG KONG, February 27 (Fitch) Fitch Ratings has assigned
Aeon Trust 2013 pass-through certificates (PTC) final ratings as
INR1,120.1m Series A1 PTCs due March 2014: 'BBB-sf'; Stable
INR879.9m Series A2 PTCs due February 2017: 'BBB-sf'; Stable
The transaction is a static securitisation of commercial
vehicles loans denominated in Indian rupee (INR) originated by
Sundaram Finance Limited (SFL) which is also the servicer.
Key Rating Drivers
The ratings are based on credit enhancement (CE) of 9.9% of
the initial principal balance, the origination, servicing,
collection and recovery expertise of SFL, 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 comprises a first loss credit facility (FLCF) which
is in the form of fixed deposits held with Axis Bank Limited
(BBB-/Negative/F3) in the name of the originator with a lien
marked in favour of the trustee, IDBI Trusteeship Services
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
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+sf'.
The collateral pool assigned to the trust at par had an
aggregate outstanding principal balance of INR2bn and consisted
of 3,674 loans as of 30 November 2012.
The tranche thickness percentage (TT%), defined as the ratio
of the issue size of the PTCs to the initial collateral pool
balance, is 100%. The tranche thickness loss multiple, which is
calculated as the TT% divided by Fitch's base case loss
expectation, is 100x.