March 14, 2012 / 11:48 AM / 5 years ago

TEXT-Fitch assigns STFCL DA Operator Trust Dec 2011 final ratings

(The following statement was released by the rating agency)

March 14 - Fitch Ratings has assigned STFCL DA Operator Trust Dec 2011 - an ABS transaction - final ratings as follows:

INR2,083.0m Series A pass through certificates (PTCs): National Long-Term Rating of 'Fitch AAA(SO)(ind)'; Outlook Stable

INR185.4m second loss credit facility (SLCF) of credit enhancement: National Long-Term Rating of 'Fitch BBB(SO)(ind)'; Outlook Stable

The new and used commercial vehicle and farm equipment loan pool assigned to the Trust is originated by Shriram Transport Finance Co. Ltd. (STFCL, rated 'Fitch AA(ind)'/Stable).

The final rating of the Series A PTCs addresses the timely payment of interest and principal to the PTC investor by the scheduled maturity date of September 2017, in accordance with the transaction documentation. The final rating of the SLCF addresses the ultimate payment of principal by the scheduled maturity date of September 2017, in accordance with the transaction documentation. The final 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 loans assigned to the trust at par had an aggregate outstanding principal balance of INR2,083.0m, as of the cut-off date of 30 November 2011. The credit enhancement for this transaction is provided in the form of fixed deposits with Yes Bank Limited, in the name of the originator with lien marked in favour of the trustee. It is equal to 11.90% of initial principal outstanding, consisting of a first loss credit facility of 3.0% and an SLCF of 8.90% of the initial principal outstanding.

As part of its analysis, Fitch built a pool cash flow model based on the transaction's financial structure. 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 the current rating levels.

A new issue report for this transaction will be available shortly on Fitch's websites, www.fitchratings.com and www.fitchindia.com.

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