(The following was released by the rating agency)
HONG KONG, January 23 (Fitch) Fitch Ratings has assigned
Platinum Trust 2013 pass-through certificates (PTC) final
ratings as follows:
INR2,067.6m Series A1 PTC due March 2014: 'BBB-sf'; Stable
INR1,335.4m Series A2 PTC due March 2015: 'BBB-sf'; Stable
INR600.5m Series A3 PTC due April 2017: 'BBB-sf'; Stable
The transaction is a static securitisation of
INR-denominated commercial vehicles loans originated by
Cholamandalam Investment and Finance Co. Ltd (CIFCL), which is
also the servicer.
The ratings and Outlooks are based on credit enhancement
(CE) of 9.3% of the initial principal balance, CIFCL's
origination, servicing, collection and recovery expertise, 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 is a first loss credit facility in the form of fixed
deposits held with Axis Bank Limited, Punjab National Bank, and
IDBI Bank Limited (all rated 'BBB-'/Negative/'F3') in the name
of the originator with a lien marked in favour of the trustee.
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's CE level was
sufficient for the current rating level. Fitch also assessed the
commingling risk of the servicer and liquidity sufficiency for
timely payment of 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.
The collateral pool assigned to the trust at par had an
aggregate outstanding principal balance of INR4,004m and
consisted of 10,318 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 66.7x.