Fitch Ratings has assigned a National rating of 'AAA(ind)(SO)' and an International 'BBB-' (BBB minus) Long-term local currency rating to the INR1,802.0m Series A fixed-rate Pass Through Certificates (PTCs) issued by Novo V Trust - Chassis. The Outlook is Stable.
This transaction is a securitisation of receivables from a New Commercial Vehicle pool (CV) originated by Shriram Transport Finance Co. Ltd. (STFCL, the "originator" or "seller", rated 'AA(ind)'/Stable).
The ratings are based on the origination, servicing, collection and recovery expertise of STFCL, the legal and financial structure of the transaction and the credit enhancement provided by the originator. The ratings address the timely payment of interest and the timely payment of principal by the scheduled maturity date of 15 March 2014 in accordance with the transaction documentation.
The loans that are assigned to the Trust have an aggregate outstanding principal balance of INR1,595.6m and future receivables of INR2,049.3m, as of the cut-off date of February 2009. In this premium transaction, the credit enhancement for the pool is in the form of a fixed deposit provided by the originator equal to 18.8% of the future receivables, which covers shortfalls in loan payments that are overdue for 90 days or more. The transaction also includes a liquidity facility of 2.4% of future receivables, which is provided in the form of a fixed deposit provided by the originator, to cover shortfalls in loan payments that are less than 90 days overdue. If the liquidity facility is not sufficient to cover these shortfalls, the credit enhancement can be utilised, after meeting shortfalls that are overdue for 90 days or more.
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 National rating of 'AAA(ind)(SO)' and an International 'BBB-' (BBB minus) Long-term local currency 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.
Note to editors: Fitch's National ratings provide a relative measure of creditworthiness for rated entities in countries with relatively low international sovereign ratings and where there is demand for such ratings. The best risk within a country is rated 'AAA' and other credits are rated only relative to this risk. National ratings are designed for use mainly by local investors in local markets and are signified by the addition of an identifier for the country concerned, such as 'AAA(ind)' for National ratings in India. Specific letter grades are not therefore internationally comparable.
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