December 22, 2017 / 3:33 AM / a year ago

Fitch Affirms Seven Platinum Trust Transactions at 'BBB-sf'; Outlook Stable

(The following statement was released by the rating agency) HONG KONG, December 21 (Fitch) Fitch Ratings has affirmed the ratings of pass-through certificates (PTCs) from seven Platinum Trust transactions at 'BBB-sf'. The Outlooks are Stable. All transactions are securitisations of Indian auto loans originated by Cholamandalam Investment and Finance Co. Ltd (CIFCL). A full list of rating actions follows at the end of this ratings action commentary. KEY RATING DRIVERS The affirmations reflect the build-up of credit enhancement since closing and steady portfolio performance. All transactions have had monthly excess spread since their respective closing dates, so no credit enhancement has been drawn due to payment shortfalls in any period. Weighted average seasoning for the transactions ranged from 19 months to 35 months as of the end-October 2017 collection month. Performance has been within Fitch's initial assumptions, with 90+ days arrears as a percentage of the original pool balance for Platinum Trust February 2016 at 1.5%, Platinum Trust March 2016 - Tranche 1 at 0.8%, Platinum Trust June 2016 at 1.5%, Platinum Trust August 2016 at 0.9%, Platinum Trust September 2016 at 0.5%, Platinum Trust February 2017 at 0.3% and Platinum Trust March 2017 - Tranche II at 0.4%. Fitch's initial base-case default rates and recovery rates for the seven transactions averaged 3.9% and 69%, respectively. Fitch affirmed India's Long-Term Foreign- and Local-Currency Issuer Default Ratings at 'BBB-' in May 2017. We forecast India's real GDP growth at 6.7% in the financial year ending-March 2018 (FY18) and 7.3% in FY19. The default performance of the underlying pools has been stable and the ABS cash flow model was not re-run for this rating action. RATING SENSITIVITIES Fitch evaluated each transaction's rating sensitivities under increased default and decreased recovery scenarios. All notes issued before 2017 can withstand at least a 50% rise in base-case default rates before a ratings downgrade may be considered. In particular, February 2016, March 2016 - Tranche 1, June 2016 and September 2016 can withstand a base-case default rate increase by over 100% before negative rating action would be considered. Fitch may downgrade note ratings for February 2017 and March 2017 - Tranche II to 'BB+sf' if their respective base-case default rates increase by 50%. The ratings of the five transactions issued in 2016 would not be affected by lower base-case recovery rates, while the ratings on February 2017 and March 2017 - Tranche II are susceptible to downgrade under a 50% decrease of base-case recovery rates scenario. The sensitivity analysis assumes credit enhancement and other factors remain constant. Note ratings are capped by the ratings of the credit-collateral banks, which, according to transaction documents, shall have a minimum 'BBB-' rating. Therefore, the notes are unlikely to be upgraded to above 'BBB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio or reviewed origination files as part of its ongoing monitoring. Prior to the transactions closing, Fitch reviewed a small targeted sample of CIFCL's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION The information below was used in the analysis: Loan-by-loan data provided by CIFCL as at 31 October 2017 Monthly trustee reports provided by IDBI Trusteeship Services Limited as of November 2017 The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. The full list of rating actions is shown below: Platinum Trust February 2016 INR1,925.9 million Series A PTCs due September 2020 affirmed at 'BBB-sf'; Outlook Stable Platinum Trust March 2016 - Tranche 1 INR106.5 million Series A1 PTCs due March 2018 affirmed at 'BBB-sf'; Outlook Stable INR578.5 million Series A2 PTCs due July 2020 affirmed at 'BBB-sf'; Outlook Stable Platinum Trust June 2016 INR154.2 million Series A1 PTCs due March 2018 affirmed at 'BBB-sf'; Outlook Stable INR914.9 million Series A2 PTCs due September 2020 affirmed at 'BBB-sf'; Outlook Stable Platinum Trust August 2016 INR1,285.0 million Series A PTCs due January 2021 affirmed at 'BBB-sf'; Outlook Stable Platinum Trust September 2016 INR1,110.4 million Series A PTCs due March 2021 affirmed at 'BBB-sf'; Outlook Stable Platinum Trust February 2017 INR3,435.2 million Series A PTCs due August 2021 affirmed at 'BBB-sf'; Outlook Stable Platinum Trust March 2017 - Tranche II INR2,952.2 million Series A PTCs due September 2021 affirmed at 'BBB-sf'; Outlook Stable Contacts: Lead Surveillance Analyst Anthony Liu Analyst +852 2263 9968 Fitch (Hong Kong) Limited 19/F Man Yee Building 68 Des Voeux Road Central Hong Kong Committee Chairperson Hilary Tan Senior Director +852 2263 9904 Media Relations: Wai-Lun Wan, Hong Kong, Tel: +852 2263 9935, Email: Additional information is available on Applicable Criteria Consumer ABS Rating Criteria (pub. 11 Dec 2017) here Global Structured Finance Rating Criteria (pub. 03 May 2017) here Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 23 May 2017) here Structured Finance and Covered Bonds Country Risk Rating Criteria (pub. 18 Sep 2017) here Related Research Platinum Trust August 2016 - Appendix here Platinum Trust February 2016 - Appendix here Platinum Trust February 2017 - Appendix here Platinum Trust June 2016 - Appendix here Platinum Trust March 2016-Tranche 1 - Appendix here Platinum Trust March 2017 - Tranche II - Appendix here Platinum Trust September 2016 - Appendix here Additional Disclosures Dodd-Frank Rating Information Disclosure Form here Solicitation Status here Endorsement Policy here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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