(The following statement was released by the rating agency)
May 30 - Fitch Ratings has assigned SCUF DA Mar 2012-03 - an ABS transaction - a final rating as follows:
INR502.2m purchaser payouts: ‘Fitch AAA(SO)(ind)'; Outlook Stable
The small business loan pool assigned to the purchaser was originated by Shriram City Union Finance Company Limited (SCUF, the “originator” or “seller”, ‘Fitch AA-(ind)'/Stable).
The rating addresses the timely payment of interest and principal to the purchaser by the scheduled maturity date of December 2016, in accordance with the transaction documentation. The rating is based on SCUF’s origination, servicing, collection and recovery expertise, the legal and financial structure of the transaction and the credit enhancement provided by the originator.
The loans assigned to the purchaser at par had an aggregate outstanding principal balance of INR502.2m, as of the cut-off date of 29 February 2012. In this transaction, the credit enhancement for the pool is provided in the form of a fixed deposit with the account bank (ICICI Bank, ‘BBB-'/Stable), in the name of the originator with lien marked in favour of the purchaser. The credit enhancement was equal to 10.25% of the outstanding principal balance as of the cut-off date.
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 level.
A new issue report for this transaction will be available shortly on Fitch’s websites, www.fitchratings.com and www.fitchindia.com.