(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 follows:
INR1,120.1m Series A1 PTCs due March 2014: 'BBB-sf'; Stable Outlook
INR879.9m Series A2 PTCs due February 2017: 'BBB-sf'; Stable Outlook
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 Limited.
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.