Fitch Ratings has assigned a final rating of 'F1+(ind)(SO)' to INR12.2m series A1(IO) and INR289.6m series A2(PO) Pass Through Certificates (PTCs) issued by an SPV called Corporate Debt CB Trust E 2008. The transaction is a securitisation of receivables from a short-term loan maturing on 29 December 2008.
The final rating of the PTCs reflects the credit quality of the underlying obligor - SREI Equipment Finance Private Limited (SEPL or "the obligor") - the payment structure of the PTCs and the legal and financial structure of the transaction. The final rating addresses the timely payment of interest and the timely payment of principal by the final maturity date of 30 December 2008 in accordance with the transaction documentation.
The SPV purchased the receivables from JP Morgan Chase Bank (JPMC or "the originator" or "the seller") in trust for the benefit of the PTC investors. After acquiring the receivables, the SPV issued PTCs to the investors, for a total consideration equivalent to the value of the discounted cash flows from the loan. The PTC issuance proceeds were used by the SPV to pay JPMC the purchase consideration.
The loan aggregates to INR300m and is extended by JPMC to SEPL. The ratings of the PTCs are directly linked to Fitch's internal short-term credit view of SEPL. The internal credit view that Fitch has formed is sufficient to assign an 'F1+(ind)(SO)' to the PTCs.
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