India Ratings & Research (Ind-Ra) said that all commercial vehicle (CV) backed asset backed securitisations (ABS) were stable in terms of delinquencies in Q412, except for CV loans in 2012 vintage.
Weighted average (WA) 90+dpd delinquency and amortisation for the 2012 vintage stood at 3.38% and 34%, respectively in Q412 (2011 vintage: 2.15% and 63%).
The CV loans of 2011 and earlier ABS vintages are unlikely to see stresses that would result in significant negative rating action in Ind-Ra's portfolio.
Ind-Ra continues to build commensurate assumptions of higher delinquencies in its ABS analysis typical for 'IND AAA(SO)' ratings of senior pay-outs, also keeping in mind the current slowdown in the Indian economy.
The rating assumptions coupled with the servicing efforts of originators resulted in five second loss credit facilities (SLCFs) of CV loan ABS being upgraded in Q412. No CV ABS saw negative rating actions in 2012.
In Q412, the tractor loans of 2012 vintage ABS transactions showed a slackening of pace in movement of loans into the 180+dpd bucket delinquencies, after maintaining a steeper upward trajectory than all other vintages till Q312. Ind-Ra's Tractor Loan EDI also dropped to 8.03 in Q412 from 8.08 in Q312, which suggests that overall, fewer loans are moving into the 30+dpd delinquency bucket. This provides less room for 90+dpd and 180+dpd delinquencies to build up significantly in the coming quarter.
The construction equipment loans of 2011 ABS vintage remained stressed in Q412, while earlier vintages showed signs of stabilisation in 90+dpd delinquencies. WA 90+dpd delinquency and amortisation for 2011 vintage stood at 2.28% and 77%, respectively, at end-December 2012 (2010 vintage: 1.33% and 87%).
The current 90+dpd delinquencies remained within the agency's long-term expectations and no transaction has seen the usage of credit enhancement since closing.
The performance of RMBS transactions remained stable as reflected by the upgrade of three SLCFs in Q412.
Ind-Ra's Residential Mortgage Index, which tracks 90+dpd delinquencies as a percentage of initial principal outstanding for the transactions seasoned by more than 12 months, shows a drop to 0.43 from 0.55 last year.
Prepayment rates remained in line with the long-term trend.