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Fitch Affirms Indian Receivable Trust September 2016 - C at 'BBB-sf'; Outlook Stable.

Hong Kong: Fitch Ratings has affirmed the ratings of pass-through certificates (PTCs) from Indian Receivable Trust September 2016 - C at 'BBB-sf'. The transaction is a securitisation of Indian auto loans originated by Tata Motors Finance Limited (TMFL).

The rating actions are as follows:

Indian Receivable Trust September 2016 - C

INR241.9 million Series A1 PTCs due March 2018 affirmed at 'BBB-sf'; Outlook Stable

INR1,705.9 million Series A2 PTCs due December 2020 affirmed at 'BBB-sf'; Outlook Stable


The affirmation reflects the build-up of credit enhancement (CE) and the steady portfolio performance since closing. Performance has been within Fitch's initial assumptions, with 90+ days arrears as a percentage of the original pool balance for Indian Receivable Trust September 2016 - C at 1.63% after 15 months of seasoning. Fitch's initial base-case default rate and recovery rate for the transaction were 4.5% and 60%, respectively. Weighted average seasoning for the transaction was 28.6 months as of the end-November 2017 collection month.

CE reset was requested and carried out by the originator in December 2017. An amount of INR102.7 million was released by the trustee on 28th December, and the current CE amount for this transaction is INR545.1 million. The post reset CE amount is still sufficient to maintain the current ratings of the PTCs.

Fitch affirmed India's Long-Term Foreign- and Local-Currency Issuer Default Ratings at 'BBB-' in May 2017. We forecast India's real GDP growth at 6.7% in the financial year ending March 2018 (FY18) and 7.3% in FY19.

The default performance of the underlying pool has been stable and the ABS cash flow model was not re-run for this rating action.


Fitch evaluated the transaction's rating sensitivities under increased default and decreased recovery scenarios.

The notes are able to withstand up to a 92% increase in the base-case default rate before a rating downgrade is to be considered. The sensitivity analysis assumes that CE and other factors remain constant.

Note ratings are capped by the ratings of the credit-collateral banks, which, according to transaction documents, shall have a minimum 'BBB-' rating. Therefore, the notes are unlikely to be upgraded to above 'BBB-sf'.


Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.


Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio or reviewed origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch reviewed a small targeted sample of TMFL's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.


The information below was used in the analysis:

Collection report dated November 2017 provided by TMFL

Monthly trustee reports provided by IDBI Trusteeship Services Limited as of December 2017

CE amount available provided by TMFL as of January 2018

The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public.
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Publication:Daily the Pak Banker (Lahore, Pakistan)
Date:Mar 23, 2018
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