Structured Finance€¦ · Structured Finance 3 January 2013 ABS ABS Performance Report - Q312 Special Report Asset Performance - A Mixed Bag: In Q312, the performance of all India

Structured Finance

www.indiaratings.co.in 3 January 2013

ABS

ABS Performance Report - Q312 Special Report

Asset Performance - A Mixed Bag: In Q312, the performance of all India Ratings-rated ABS

transactions was stable. While the performance of loans varied across asset classes, it

remained within India Ratings’ base case expectations. The performance of tractor loans and

small business loans remained robust, whereas that of construction equipment loans remained

stressed. Commercial vehicle (CV) loans showed some improvement with servicer efforts

translating into the movement of loans into less delinquent buckets.

CV Arrears Moderate: CV loan delinquencies (90+ dpd) have started showing signs of

stabilisation across nearly all vintages. Even the stressed post-2009 vintage transactions,

which followed a steep upward trajectory in first 15-18 months, have shown significant

moderation. This moderation in 90+ dpd delinquencies coupled with a continuous decline in

India Ratings’ Early Delinquency Index (EDI) for CV loans (please see Appendix B) indicates

that recovery is underway with the arrest of short-term delinquencies and movement of loans to

less delinquent buckets.

Construction Equipment Loans Stressed: Construction equipment loans remained stressed

in Q312, with 90+dpd delinquencies standing close to peak levels for nearly all vintages. The

last two months in the third quarter saw positive yoy growth in the mining index and some

improvement in the infrastructure index, which may result in some moderation in the

delinquency rates of these loans in the next quarter.

Tractor Loans Stable: Tractor loans’ performance remained broadly in line with the long-term

trend in Q312, with the 2011 vintage continuing to perform better than earlier vintages. The

stable 180+dpd delinquency trend continued along with the decline in short-term delinquency,

as reflected in India Ratings’ Tractor Loan EDI. The EDI stood at 8% in September 2012, down

from 11% a year ago.

No Negative Rating Actions: Since July 2012, India Ratings has upgraded two tranches and

affirmed nine, with no negative rating action being taken. This is largely on account of structural

features, like the presence of excess interest spread (EIS), and the pro-active loan servicing

practices followed by originators to prevent defaults from crystallising as a result of the overall

slowdown in the economy.

Analysts

Mithilendu Jha

+91 22 4000 1744

[email protected]

Jatin Nanaware

+91 22 4000 1761

[email protected]

Arvind Rana

+91 22 4000 1719

[email protected]

Amit More

+91 22 4000 1703

[email protected]

Purav Shah

+91 22 4000 1764

[email protected]

Neeta Laud

Sandeep Singh

+91 22 4000 1735

[email protected]

Structured Finance

ABS Performance Report - Q312

January 2013 2

Performance by Asset Class

Commercial Vehicle Loan ABS

Figure 1

0.0

1.0

2.0

3.0

4.0

5.0

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46

(Months since issuance)

2007 2008 2009 2010 2011 2012(%)

CV Vintage - WA 90+dpd as % of Original POS

Source: India Ratings

Figure 2

0.0

2.0

4.0

6.0

8.0

Mar-09 Sep-09 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12

FPED Index

(%)

India Ratings Early Delinquency Index - CV


Figure 3

-5

0

5

10

15

20

0.0

0.5

1.0

1.5

2.0

2.5

Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12

(Month)

90+dpd (LHS) IIP YOY (RHS)(%)

YOY IIP and CV 90+dpd

Source: India Ratings, RBI, Bloomberg

(%)

Structured Finance


January 2013 3

Construction Equipment Loan ABS

Figure 4

0.0

0.5

1.0

1.5

2.0

2.5

1 4 7 10 13 16 19 22 25 28


2008 2009 2010 2011 2012(%)

Vintage Wise WA 90+dpd As % of Original POS


Figure 5

0.00

0.20

0.40

0.60

0.80

1.00

1.20

-10.0

-5.0

0.0

5.0

10.0

15.0


YOY change mining index (LHS) 90+dpd (RHS)(%)

YOY Mining Index and Construction Equipment 90+dpd

Source: Bloomberg, India Ratings

(%)

Figure 6

0.00

0.20

0.40

0.60

0.80

1.00

1.20

0.0

2.5

5.0

7.5

10.0

12.5


YOY change core infrastructure index (LHS) 90+dpd (RHS)(%)

YOY Infrastructure Index and Construction Equipment 90+dpd

Source: Bloomberg, India Ratings

(%)

Structured Finance


January 2013 4

Tractor Loan ABS

Figure 7

0.0

0.4

0.8

1.2

1.6

2.0

2.4

1 4 7 10 13 16 19 22 25 28 31 34 37


2009 2010 2011 2012(%)

Tractor - WA 180+dpd as % of Original Receivables


Figure 8

0

4

8

12

16

20

May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12

(%)

India Ratings Tractor EDI


Figure 9

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12

(Month)

Y-o-Y Agricuture GDP Change (lhs)

180+ dpd (rhs)(%)

Agriculture GDP growth and 180+dpd

Source: India Ratings, RBI

(%)

Structured Finance


January 2013 5

Small Business Loan ABS

Figure 10

0

20

40

60

80

100

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27


2010 2011 2012(%)

Amortisation


Figure 11

0.0

2.0

4.0

6.0

8.0

10.0

12.0

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27


2010 2011 2012(Times)

Credit Enhancement Build-up


Structured Finance


January 2013 6

Rating Actions in Q312

Rating Upgrades Transaction name Class Asset class Previous rating Current rating

DA Program Oct09-I SLCF CV IND A(SO) IND AAA(SO) STFCL DA Mar 2011-03 SLCF CV IND BBB(SO) IND A+(SO)


Rating Affirmation Transaction name Class Asset class Previous rating Current rating

SREI - Direct Assignment Dec 10-I

Purchaser payouts CE IND AAA(SO) IND AAA(SO)

SREI - Direct Assignment Dec 10-II

Purchaser payouts CE IND AAA(SO) IND AAA(SO)

STFCL DA Mar 2011-03 Purchaser payouts CV IND AAA(SO) IND AAA(SO) DA Program Oct09-I Purchaser payouts CV IND AAA(SO) IND AAA(SO) DA Program-Sept09-3 Purchaser payouts CV IND AAA(SO) IND AAA(SO) DA Program-Sept09-3 SLCF CV IND AAA(SO) IND AAA(SO) STFCL's New CV - Dec 08 Assignment

Purchaser payouts CV IND AAA(SO) IND AAA(SO)

MMFSL DA June 2010 - 1 Purchaser payouts Tractor IND AA+(SO) IND AA+(SO) MMFSL DA Sept 2009 - 1 Purchaser payouts Tractor IND AA+(SO) IND AA+(SO)


Structured Finance


January 2013 7

Initial Pool Details & Pool Performance

Commercial Vehicle Loan ABS

Figure 12 Commercial Vehicle Loan ABS

Delinquency as % of original POS

Values at Issuance 90+dpd 180+dpd CE (INRm)

Transaction name Originator Type Asset type

WA orig. LTV (%)

WAS (Mo)

WA IRR (%)

WABT (Mo)

Amort (%)

Amort. (curr.)

(%) MSI

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%)

Curr. value

(%) Prev

Qt. (%) Prev.

yr. (%) CPPT

(%) Orig. Curr. CEU (%) CCE (%)

STFCL's New CV - Dec 08 Assignment

STFCL Par N: 100%, U: 0% 89.9 4 17.3 45 6.4 94.0 48 1.93 2.35 3.01 0.69 0.48 0.14 7.04 401.0 398.9 0.51 99.04

DA Program-Sept09-1

STFCL Premium N: 100%, U: 0% 82.0 2 20.4 50 3.9 68.0 39 0.97 1.22 1.34 0.38 0.34 0.55 3.65 268.3 265.9 0.90 98.41

DA Program-Sept09-2

STFCL Premium N: 5%, U: 95% 62.9 7 27.4 34 18.4 90.1 39 0.45 0.61 1.29 0.33 0.41 0.50 4.66 331.8 319.6 3.66 99.09

DA Program-Sept09-3

STFCL Premium N: 18%, U: 82% 65.6 7 26.3 35 19.3 89.2 38 0.71 0.86 1.19 0.45 0.59 0.61 4.78 354.1 337.7 4.64 98.90

STFCL DA Program-Dec09-2

STFCL Par N: 100%, U: 0% 86.4 5 20.6 44 10.1 73.3 36 1.18 1.66 1.75 0.61 0.70 0.85 4.08 158.5 158.5 0.00 97.12

STFCL - DA Program - Dec 09 - 1

STFCL Premium N: 16%, U: 84% 65.3 5 26.3 40 12.8 79.3 36 1.03 1.11 1.83 0.53 0.61 0.68 6.49 243.2 238.9 1.77 98.43

DA Program Oct09-I

STFCL Par N: 100%, U: 0% 81.6 4 22.7 42 7.9 79.0 36 1.40 1.61 2.23 0.84 0.94 0.92 3.31 221.6 221.6 0.00 97.64

Novo IX Trust-Chassis

STFCL Par N: 4%, U: 96% 63.2 5 27.4 39 9.2 79.9 35 1.13 1.34 1.72 0.63 0.72 0.81 7.72 737.7 737.7 0.00 98.52

STFCL DA Program - Feb 10 - 1

STFCL Par N: 15%, U: 86% 63.1 3 28.7 48 3.4 62.6 34 2.01 2.28 2.31 0.71 0.89 0.82 8.90 158.1 158.1 0.00 96.85


STFCL Par N: 27%, U: 73% 64.7 2 27.3 42 4.0 75.5 34 1.03 1.11 1.15 0.40 0.48 0.50 8.78 84.3 84.3 0.00 98.07


STFCL Par N: 42%, U: 58% 69.5 4 24.9 40 6.9 76.5 34 1.12 1.30 1.58 0.62 0.69 0.65 7.60 222.1 222.1 0.00 97.01

STFCL DA Program Feb 10-4

STFCL Par N: 4%, U: 96% 65.1 2 26.7 47 3.0 62.6 34 2.56 2.90 3.54 1.05 1.16 1.56 8.09 232.5 232.5 0.00 97.80

STFCL DA Program Feb10-5

STFCL Par N: 8%, U: 92% 64.0 2 27.2 44 3.0 66.9 34 2.65 3.15 3.92 1.00 1.32 1.67 9.80 133.0 133.0 0.00 97.72

ICICI Mar10-SRTO

CHOLA Premium N: 89%, U: 11% 84.6 7 15.4 32 17.0 88.3 33 0.34 0.48 0.08 0.08 0.18 0.02 10.6 304.1 276.1 9.20 97.75

Structured Finance


January 2013 8

Commercial Vehicle Loan ABS (cont.)




WA orig. LTV (%)

WAS (Mo)

WA IRR (%)

WABT (Mo)

Amort (%)

Amort. (curr.)

(%) MSI

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%)

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%) CPPT


STFCL DA Feb 2011- 02

STFCL Par N: 23%, U: 77% 64.1 4 26.5 40 7.4 49.9 22 2.39 2.60 1.68 0.62 0.61 0.28 8.45 261.1 261.1 0.00 91.13

Small Operators Trust 2011

STFCL Par N: 35%, U: 65% 66.3 15 27.0 27 35.2 74.6 22 2.41 2.77 2.45 1.33 1.33 0.08 7.26 330.6 330.6 0.00 91.49

Small Operators Trust II 2011

STFCL Par N: 19%, U: 81% 54.2 18 24.3 18 47.3 86.9 22 0.76 0.84 0.33 0.38 0.38 0.00 1.73 362.0 362.0 0.00 97.42

STFCL DA Mar 2011- 02

STFCL Par N: 29%, U: 71% 67.9 3 24.7 47 3.5 36.7 22 3.15 3.23 1.78 0.52 0.45 0.13 6.06 211.0 211.0 0.00 93.35


STFCL Par N: 25%, U: 75% 68.3 3 25.1 45 3.6 39.3 21 2.47 2.35 1.31 0.44 0.49 0.16 6.59 162.4 162.4 0.00 94.32

STFCL DA Feb 2011- 04

STFCL Premium N: 34%, U: 66% 67.0 2 24.5 45 3.3 37.4 21 2.85 2.64 1.56 0.59 0.49 0.04 4.24 215.3 211.4 1.82 93.46


STFCL Par N: 26%, U: 74% 65.9 4 25.3 42 6.8 42.8 21 3.50 3.53 2.11 0.53 0.54 0.24 7.40 257.8 257.8 0.00 92.20


STFCL Par N: 27%, U: 73% 66.0 4 25.1 42 7.1 43.1 21 3.44 3.12 1.83 0.68 0.71 0.16 7.09 111.9 111.9 0.00 92.44

STFCL DA June 2011 -01

STFCL Premium N: 32%, U: 68% 65.3 2 25.8 43 3.6 33.8 18 3.29 3.18 1.06 0.60 0.6 0.00 6.14 235.0 230.8 1.81 90.36

STFCL DA Sep 2011 -01

STFCL Par N: 27%, U: 73% 71.9 5 22.8 44 8.8 25.6 15 2.75 2.59 n.a. 0.48 0.29 n.a. 4.58 271.3 271.3 0.00 95.15

Small Operators Trust 2012

STFCL Par N: 39%, U: 61% 71.1 7 22.1 40 13.0 25.9 13 3.27 2.74 n.a. 0.33 0.25 n.a. 3.47 1,359 1,359 0.00 92.64

Aeon Trust 2012

SFL Par N: 84%, U: 16% 77.7 11 13.0 25 30.4 47.9 13 0.55 0.28 n.a. 0.09 0.00 n.a. 6.05 255.0 255.0 0.00 97.08

Platinum Trust 2012

CIFCL Par N: 92%, U: 8% 84.9 17 16.2 26 32.9 48.6 13 0.22 0.13 n.a. 0.06 0.0 n.a. 8.97 384.3 384.3 0.00 96.83

STFCL DA December 2011 -01

STFCL Par N: 25%, U: 75% 64.2 5 25.1 38 8.7 24.0 12 2.80 2.00 n.a. 0.21 0.03 n.a. 4.00 183.8 183.8 0.00 92.71

STFCL DA Operator Trust Dec 2011

STFCL Par N: 27%, U: 73% 65.1 4 24.2 40 7.6 22.1 12 3.00 1.81 n.a. 0.24 0.01 n.a. 3.08 247.9 247.9 0.00 92.44

Fullerton DA CV Dec 2011

FICCL Par N: 72%, U: 28% 81.3 9 15.9 33 17.7 32.2 12 1.75 0.52 n.a. 0.39 0.00 n.a. 2.61 156.0 156.0 0.00 95.99

Aeon Trust II 2012

SFL Par N: 68%, U: 32% 74.6 5 15.0 31 16.9 31.6 11 0.69 0.35 n.a. 0.00 0.00 n.a. 3.52 112.5 112.5 0.00 95.00

Structured Finance


January 2013 9

Commercial Vehicle Loan ABS (cont.)




WA orig. LTV (%)

WAS (Mo)

WA IRR (%)

WABT (Mo)

Amort (%)

Amort. (curr.)

(%) MSI

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%)

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%) CPPT


STFCL DA January 2012 -01

STFCL Par N: 37%, U: 63% 72.9 4 23.1 36 8.5 25.9 11 4.72 2.65 n.a. 0.40 0.01 n.a. 5.62 292.7 292.7 0.00 86.13

CV Loan Trust 2012

STFCL Par N: 47%, U: 53% 68.2 7 22.8 36 12.6 22.5 11 1.93 1.02 n.a. 0.16 0.00 n.a. 3.02 628.1 628.1 0.00 85.97

STFCL DA December 2011 -03

STFCL Par N: 35%, U: 65% 69.5 6 21.3 41 10.3 15.1 10 1.17 0.76 n.a. 0.13 0.00 n.a. 1.87 100.6 100.6 0.00 85.51

Novo XI Trust - Chassis

STFCL Par N: 15%, U: 85% 70.3 9 24.4 35 15.2 19.6 10 2.45 1.00 n.a. 0.11 0.00 n.a. 4.00 203.8 203.8 0.00 86.61

SRTO Trust 2012

STFCL Par N: 70%, U: 30% 76.9 5 21.2 39 9.3 17.5 9 2.07 0.66 n.a. 0.06 0.00 n.a. 1.71 100.4 100.4 0.00 90.12

STFCL DA March 2012 - 01

STFCL Par N: 26%, U: 74% 66.1 4 24.7 34 8.1 20.2 9 1.75 0.26 n.a. 0.03 0.00 n.a. 2.41 137.2 137.2 0.00 89.56


STFCL Par N: 22%, U: 78% 64.0 4 26.2 33 8.7 20.6 9 2.88 1.56 n.a. 0.11 0.00 n.a. 2.97 169.9 169.9 0.00 88.63


STFCL Par N: 30%, U: 70% 65.1 5 24.8 37 9.8 17.9 9 2.47 0.87 n.a. 0.05 0.00 n.a. 2.69 127.1 127.1 0.00 87.37

STFCL CV Trust 2012

STFCL Par N: 32%, U: 68% 70.7 4 23.5 35 7.7 18.7 9 2.53 1.03 n.a. 0.12 0.00 n.a. 1.93 175.0 175.0 0.00 90.01

India Vehicle Trust - March 2012

STFCL Par N: 56%, U: 44% 74.1 5 23.7 36 9.9 20.0 9 3.26 1.34 n.a. 0.17 0.00 n.a. 1.32 232.0 232.0 0.00 89.59


Structured Finance


January 2013 10

Figure 13 Construction Equipment Loan ABS


Values at issuance 90+dpd 180+dpd CE (INRm)


WA orig. LTV (%)

WAS (Mo)

WA IRR (%)

WABT (Mo)

Amort (%)

Amort. (curr.)

(%) MSI

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%)

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%) CPPT


SREI - Direct Assignment Dec 10-I

SEFPL Par N: 99%, U: 1% 80.8 6 12.1 29 15.6 73.8 22 2.21 1.60 0.72 0.86 0.87 0.00 2.60 156.6 156.6 0.00 98.36

SREI - Direct Assignment Dec 10-II

SEFPL Par N: 95%, U: 5% 80.6 4 11.8 31 9.5 70.1 22 1.84 2.00 0.87 0.85 0.74 0.44 1.85 332.0 332.0 0.00 98.46

SREI - Direct Assignment March 11-IV

SEFPL Par N: 95%, U: 5% 81.1 7 12.2 30 19.1 64.3 18 2.06 2.04 0.27 1.19 0.89 0.00 1.38 424.4 424.4 0.00 98.22

Indian Infrastructure Equipment Receivables Trust July 2011

SEFPL Par N: 91%, U: 9% 84.2 16 12.3 19 53.2 75.6 15 0.80 1.32 0.00 0.62 0.55 0.00 0.91 283.7 283.7 0.00 98.88

SREI DA August 2011

SEFPL Par N: 95%, U: 5% 85.0 11 11.5 26 25.9 55.1 13 0.51 0.72 0.00 0.46 0.13 0.00 0.38 840.0 840.0 0.00 98.92

IRST 2011 Series - I

SEFPL Par N: 95%, U: 5% 85.0 11 11.5 26 25.9 55.1 13 0.51 0.72 0.00 0.46 0.13 0.00 0.38 840.0 840.0 0.00 98.81

SEFPL Direct Assignment Sep'11 - III

SEFPL Par N: 96%, U: 4% 79.7 3 13.1 31 7.7 41.3 12 1.07 0.43 0.00 0.00 0.00 0.00 1.45 152.5 152.5 0.00 98.43

SEFPL Direct Assignment Sep' 11 - VI

SEFPL Par N: 92%, U: 8% 81.4 3 13.4 34 7.4 39.2 12 2.46 1.94 0.00 1.28 0.28 0.00 2.97 132.5 132.5 0.00 97.49

SEFPL Direct Assignment Sep' 11 - IV

SEFPL Par N: 85%, U: 15% 87.7 15 11.2 24 36.0 57.4 12 0.35 0.15 0.00 0.00 0.00 0.00 0.17 331.8 331.8 0.00 98.61

ILSS 1 trust 2012

SEFPL Par N: 85%, U: 15% 87.7 15 11.2 24 36.0 57.4 12 0.35 0.15 0.00 0.00 0.00 0.00 0.17 331.8 331.8 0.00 98.61

SREI - Direct Assignment - December 11 - I

SEFPL Par N: 98%, U: 2% 81.8 3 13.2 35 4.8 27.1 10 1.46 0.74 n.a. 0.63 0.24 n.a. 1.38 563.9 563.9 0.00 98.19

SREI- Direct Assignment - February 12 - I

SEFPL Par N: 90%, U: 10% 83.0 3 13.4 36 5.7 18.2 7 0.55 0.07 n.a. 0.07 0.00 n.a. 0.27 753.1 753.1 0.00 98.82

SEFPL DA March 12 - III

SEFPL Par N: 89%, U: 11% 83.7 2 13.2 35 4.9 16.2 6 0.27 0.00 n.a. 0.00 0.00 n.a. 0.00 155.0 155.0 0.00 98.67


Structured Finance


January 2013 11

Figure 14 Tractor Loan ABS




WA orig. LTV (%)

WAS (Mo)

WA IRR (%)

WABT (Mo)

Amort (%)

Amort. (curr.)

(%) MSI

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%)

Curr. value

(%) Prev

qt. (%) Prev.

yr. (%) CPPT


MMFSL DA Sep 2009-1

MMFSL Premium N: 100%, U: 0% 68.1 9 22.0 32 16.1 93.8 36 2.10 2.26 4.40 1.42 1.39 2.02 7.12 363.0 308.4 15.0 97.76

MMFSL DA Dec 2009-1

MMFSL Premium N: 100%, U: 0% 68.8 8 24.2 35 14.0 90.2 34 2.69 2.76 5.18 1.60 1.57 1.65 7.15 416.5 352.3 15.4 97.54

MMFSL DA Dec 2009-2

MMFSL Premium N: 100%, U: 0% 67.4 8 16.7 31 18.3 90.1 33 2.88 2.96 5.75 1.54 1.64 1.69 5.83 303.9 286.5 5.7 97.56

MMFSL DA March 2010 - 1

MMFSL Premium N: 100%, U: 0% 67.5 6 20.5 34 12.1 83.7 30 3.30 3.31 5.78 1.63 1.60 1.76 5.03 900.8 730.1 19.0 96.97

MMFSL DA June 2010 - 1

MMFSL Premium N: 100%, U: 0% 66.9 7 18.9 32 16.6 84.1 27 3.07 2.83 6.08 1.07 1.37 1.32 5.75 355.6 317.8 10.6 97.45

MMFSL DA Sept 2010 - 1

MMFSL Premium N: 100%, U: 0% 67.9 7 20.0 36 15.4 70.7 24 3.43 2.95 4.30 0.99 0.98 0.85 4.40 452.5 401.8 11.2 97.34

MMFSL DA Dec 2010 - 1

MMFSL Premium N: 100%, U: 0% 66.2 7 18.5 32 15.6 66.2 21 4.58 3.72 5.45 1.18 1.31 0.67 4.53 740.7 734.7 0.8 96.66

MMFSL DA Feb 2011-1

MMFSL Premium N: 100%, U: 0% 66.8 7 17.8 34 15.3 59.8 19 3.82 3.23 3.11 1.03 0.77 0.24 3.52 860.0 750.2 12.8 96.54

MMFSL DA Nov 2011

MMFSL Par N: 100%, U: 0% 62.8 10 17.1 31 20.1 39.4 10 2.86 1.60 n.a. 0.49 0.29 n.a. 2.52 331.9 331.9 0.0 97.17

MMFSL DA Dec 2011

MMFSL Par N: 100%, U: 0% 68.2 8 20.0 36 13.6 24.0 10 5.59 3.11 n.a. 1.08 0.48 n.a. 4.10 362.2 362.2 0.0 93.88

MMFSL DA March 2012

MMFSL Par N: 100%, U: 0% 69.6 6 20.7 39 8.1 12.4 6 4.58 1.72 n.a. 0.61 0.00 n.a. 1.50 288.5 288.5 0.0 91.31


Structured Finance


January 2013 12

Figure 15 Small Business Loan ABS



Transaction name Originator Type

WAS (Mo)

WA IRR (%)

WABT (Mo)

Amort (%)

Amort. (curr.)

(%) MSI Curr. value

(%) Prev qt.

(%) Prev. yr.

(%) Curr.

value (%) Prev qt.

(%) Prev. yr.

(%) CPPT


SCUF - DA Program Sept 2010-01

SCUF Premium 15 32.3 36 21.3 91.3 29 0.00 0.00 0.00 0.00 0.00 0.00 30.2 170.9 170.9 0.0 100.0

SCUF DA Mar 2011- 01

SCUF Par 11 35.8 27 35.2 69.7 20 0.00 0.00 0.00 0.00 0.00 0.00 10.5 413.3 413.3 0.0 100.0

SCUF DA Sep 2011- 01

SCUF Par 5 28.0 25 13.6 49.3 14 0.00 0.00 0.00 0.00 0.00 0.00 0.00 637.5 637.5 0.0 100.0

SCUF DA Sep 2011- 02

SCUF Par 7 25.8 32 24.7 42.0 14 0.00 0.00 n.a.

0.00 0.00 n.a. 0.00 300.0 300.0 0.0 100.0

Small Business Trust 2012

SCUF Par 11 30.5 29 20.6 44.2 12 0.00 0.00 n.a. 0.00 0.00 n.a. 0.00 426.0 426.0 0.0 100.0

Small Business Trust II 2012

SCUF Par 9 38.0 15 29.6 64.7 11 0.00 0.00 n.a. 0.00 0.00 n.a. 0.00 115.8 115.8 0.0 100.0

SCUF-UCO DA Dec 2011

SCUF Par 14 25.8 20 25.6 45.5 11 0.00 0.00 n.a. 0.00 0.00 n.a. 0.00 100.6 100.6 0.0 100.0

SCUF DA Mar 2012-01

SCUF Par 2 23.3 33 8.6 18.8 8 0.00 0.00 n.a. 0.00 0.00 n.a. 0.43 235.8 235.8 0.0 100.0

SCUF DA Mar 2012-02

SCUF Par 6 26.5 27 16.1 23.0 8 0.00 0.00 n.a. 0.00 0.00 n.a. 0.00 100.0 100.0 0.0 100.0

SCUF DA Mar 2012-03

SCUF Par 2 24.0 30 10.2 22.7 8 0.00 0.00 n.a. 0.00 0.00 n.a. 2.42 51.5 51.5 0.0 100.0


Structured Finance


January 2013 13

Appendix A: Glossary of Terms Used

Amort: Amortisation

CCE: Cumulative Collection Efficiency (Cumulative collections/cumulative billing)

CE: Credit Enhancement

Credit Enhancement Built-up: {credit enhancementt=T/POSt=T}/{credit enhancementt=0/POSt=0}

CEU: Credit enhancement utilisation

CIFCL: Cholamandalam Investment and Finance Company Limited

CPPT: Cumulative Prepayment Rate

Curr: Current

CV: Commercial Vehicle

EDI: Early Delinquency Index

EIS: Excess Interest Spread

FICCL: Fullerton India Credit Company Limited

LF: Liquidity Facility

MMFSL: Mahindra and Mahindra Financial Services Limited

MSI: Months Since Issuance

N: New (asset type)

Orig.: Original

POS: Principal Outstanding1

Prev: Previous

Qt.: Quarter

Receiv.: Receivables

SCUF: Shriram City Union Finance Limited

SEFPL: SREI Equipment Finance Private Limited

SFL: Sundaram Finance Limited

SLCF: Second loss credit facility

STFCL: Shriram Transport Finance Company Limited

U: Used (asset type)

WA IRR: Weighted Average Internal Rate of Return

WA Orig. LTV: Weighted Average Original Loan-to-Value

WABT: Weighted Average Balance Tenor

WAS: Weighted Average Seasoning

Yr.: Year

1 Original Balance (Orig. Bal.), Current Balance (Curr. Bal.) and CEs are in INR million unless stated

otherwise

Structured Finance


January 2013 14

Appendix B: India Ratings’ Early Delinquency Index (EDI)

India Ratings’ EDI for CV and tractor loans provides an early warning signal of imminent

default. The index is constructed by including all transactions with a minimum seasoning since

origination of three months. It captures loans in 30+dpd delinquency status as a per cent of the

original principal outstanding in the transaction and at an asset class portfolio level. India

Ratings’ EDI is particularly useful in the Indian market, where defaults in retail loans have been

historically low, making it difficult to detect, track and anticipate any directional change in

delinquency trends. Short-term delinquencies in the 30+dpd bucket often roll through to the

90+dpd bucket and their relationship is explained in the table below.

Figure 16 Understanding India Ratings’ EDI 30+dpd delinquency

90+ delinquency/ 180+delinquency Sign Interpretation

Rising Flat Imminent deterioration

Indicates inability to arrest short-term delinquencies and imminent movement of loans to 90+dpd delinquency bucket

Rising Rising Asset deterioration in progress

Indicates inability to arrest short-term delinquencies and movement of loans to 90+dpd delinquency bucket

Falling Flat Recovery in progress

Indicates arrest of short-term delinquencies and recovery in progress, with loans no longer moving to deeper buckets

Falling Falling Recovery in progress

Indicates arrest of short-term delinquencies and imminent recovery, with loans moving to less delinquent buckets


The movement of loans in different delinquency buckets across vintages is shown in the charts

below. Rising level of 30+dpd delinquencies is an early indicator of loans moving into the

90+dpd delinquency bucket. Similarly, a fall in 30+dpd rates suggests an easing of stress,

resulting in a fall or stabilisation in 90+dpd delinquencies.

Figure 17 Figure 18

0.0

2.0

4.0

6.0

8.0

10.0

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46


30+dpd 60+dpd 90+dpd 180+dpd(%)

CV Delinquency % of Original POS - Vintage 2008


0.0

2.0

4.0

6.0

8.0

10.0

1 4 7 10 13 16 19 22 25 28 31 34 37


30+dpd 60+dpd 90+dpd 180+dpd(%)



Figure 19 Figure 20

0.0

2.0

4.0

6.0

8.0

10.0

1 4 7 10 13 16 19 22 25 28 31


30+dpd 60+dpd 90+dpd 180+dpd(%)



0.0

2.0

4.0

6.0

8.0

10.0

1 4 7 10 13 16 19


30+dpd 60+dpd 90+dpd 180+dpd(%)



Structured Finance


January 2013 88

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Documents

Structured Finance€¦ · Structured Finance 3 January 2013 ABS ABS Performance Report - Q312 Special Report Asset Performance - A Mixed Bag: In Q312, the performance of all India