Fitch Ratings has assigned a final rating of 'AAA(ind)(SO)' with a Stable Outlook to the purchaser payouts in a direct assignment (DA) transaction. The used commercial vehicle (CV) and tractor loan pool assigned to the purchaser is originated by Shriram Transport Finance Co. Ltd. (STFCL, the "originator" or "seller", 'AA(ind)'/Stable).
The final rating is based on the origination, servicing, collection and recovery expertise of STFCL, the legal and financial structure of the transaction and the credit enhancement and liquidity facility provided by the originator. The final rating addresses the timely payment of interest and principal to the purchaser by the scheduled maturity date of October 2013, in accordance with the transaction documentation.
The loans that were assigned to the purchaser at par have an aggregate outstanding principal balance of INR1,235.4m and future receivables of INR1,657.3m as of the cut-off date of 31 January 2009. In this transaction, the credit enhancement for the pool is in the form of a fixed deposit provided by the originator equal to 21.0% of future receivables as of the cut-off date. There is also a liquidity facility of 4.1% of the future receivables.
As part of its analysis, Fitch built a pool cash flow model based on the financial structure of the transaction. The agency also analysed historical data to determine the base values of key variables that would influence the level of expected losses in this transaction. The base values of the default rate, recovery rate, time to recovery, collection efficiency, prepayment rate and pool yield were stressed to assess whether the level of credit enhancement was sufficient for a 'AAA(ind)(SO)' rating.
A new issue report for this transaction will be available shortly on Fitch's website, www.fitchindia.com.
Rating Outlooks have been published for all newly issued Asia Pacific Structured Finance tranches since June 2008, and concurrently with rating actions for tranches issued prior to June 2008. Unlike a Rating Watch which notifies investors that there is a reasonable probability of a rating change in the short term as a result of a specific event, rating Outlooks indicate the likely direction of any rating change over a one- to two-year period.
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