ABS Pools Rated by ICRA

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ICRA Limited P a g e | 1

ABS Pools Rated by ICRA

Report on Performance until December 2015

CV loan pools of CY2014 and CY2015 show initial weak performance;

Micro loan pools continue to demonstrate strong performance

Structured Finance Ratings

Contacts:

Kalpesh Gada

Head – Structured Finance 91 22 6114 3445

[email protected]

Remika Agarwal Vice President 91 80 4332 6418 [email protected]

Devang Rajkotia Analyst

91 22 6114 3434

[email protected]

Satchit Sawant Analyst

91 22 6114 3435

[email protected]

Karan Pednekar

Senior Associate Analyst 91 22 6114 3433 [email protected]

ICRA RESEARCH SERVICES

ICRA RATING FEATURE

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Commercial Vehicle loan pools – key observations

 Pools originated in CY14 and CY15 have shown a relatively weak initial performance compared to pools originated in CY12 and CY11, at similar points post securitisation. The median loss-cum- 90+ delinquency level amongst CY14 pools was 2.72% 19 months post securitisation. It has also been noticed that the collections in different quarters of CY14 and CY15 were lower than the collections during the corresponding quarters in CY12 and CY11. The initial performance of pools originated in CY13 was also relatively weak, however, gradual reduction in delinquencies was observed for these pools after 18 months.

 The delinquency trend in CV loan pools is influenced not only by the economic scenario but also by the stage in the tenure of the loan pool. Usually, delinquencies are seen to rise till about 18- 27 months post origination, then stabilise and subsequently start declining. Therefore, in order to draw a meaningful conclusion, the comparison of the early delinquency level (30+

delinquency level) at different points in time should be done, keeping in mind the seasoning post securitisation. Accordingly, we have split the various pools at each point in time into five groups; (i) 7-12 months post securitisation (MPos), (ii) 13-18 months, (iii) 19-24 months (iv) 25- 30 months and (v) more than 30 months post securitisation. ICRA’s analysis indicates that across seasoning groups, there was a decrease in 30+ delinquency levels across buckets other than the 19-24 MPoS group between Jun-14 and Mar-15 and a subsequent increase in H1 FY16.

 Owing to the relatively weaker performance of the CY13-CY15 pools, the Credit Enhancement utilisation for these pools has been increasing in recent times. Nevertheless, the cash collateral utilisation continues to remain low as other forms of credit enhancement like subordination and EIS have been sufficient to meet the collection shortfall in these pools.

 The breakeven collection efficiency for the pools is low to reasonable for most transactions.

 New vehicles have shown a weaker performance than Used CVs. Also, performance of loans given in some states like Haryana, Delhi and Madhya Pradesh has been observed to be weaker.

 Seasoning at the time of securitisation is seen to have a notable impact on delinquency/loss (for instance, losses among contracts seasoned for over 13 months at the time of securitisation were found to be about 31% of the overall loss rate).

Small Business loan pools – key observations

 At a median level, the delinquencies for the asset class remain lower compared to those observed for CVs. Though delinquencies had increased in the previous fiscal some recoveries can be observed in this fiscal.

 The prepayment levels observed in CE loan pools is low, with average monthly prepayment rates

being between 0.4%-0.7%.

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Micro loan pools – key observations

 The performance of ICRA-rated micro loan pools remains robust with very high collection efficiency levels (more than 98% on an average) leading to low delinquency levels (almost 83%

transactions have nil delinquency)

 Owing to the strong performance of the underlying pools, the utilisation of credit enhancement in these transactions has been negligible, with no credit enhancement utilization seen in about 54% of the transactions

 Cash collateral (CC) utilization has been nil in all ICRA-rated micro loan transactions. Owing to structural features a rapid CC build up is seen in transactions, with the CC covering the entire PTC outstanding in a short period of time.

 Prepayment levels has been observed to be low with the average monthly prepayment rate being sub 1% barring few Originators whose pools (as their portfolio) has seen high delinquencies.

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Pool-wise performance of all live ICRA-rated ABS transactions

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170 transactions across 50 Originators, live between April 2015 and September 2015

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Asset classes including Commercial Vehicle (CV), Auto (Car), Construction Equipment (CE), Tractor, Two Wheeler, Medical Equipment (ME), SME, Gold and Micro loans

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For each transaction, all key performance parameters including cumulative collection efficiency, static and dynamic delinquency profile, prepayment rate and credit enhancement utilization covered (sample format annexed)

As well as...

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List of rating actions (new ratings assigned/ rating upgrades/ rating downgrades and rating reaffirmations) taken by ICRA between 01 June 2015

¹

and 30 November 2015 are also summarised.

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Comprehensive User’s Guide enlisting key terms/ metrics used by ICRA for rating and monitoring performance of ABS transactions, with a brief description of how these metrics are computed and should be interpreted by the users of this report

Summary analysis - Commercial Vehicle Loan Pools

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Analysis of the key performance indicators pertaining to all (117) ICRA-rated CV loan pools that were securitised in the period Calendar Year (CY)07 – CY15; pools grouped into various annual cohorts (based on the year in which these pools were securitised). Analysis covers -

o Median cumulative collection, monthly collection, delinquency and prepayment, discussion on trends seen in recent months and seasonal pattern in collections

o Median credit enhancement utilisation and cash collateral utilization, peak cash collateral utilisation analysis, analysis of credit enhancement cover (ratio of total credit enhancement to the principal outstanding against 90+ dpd contracts) and analysis of breakeven collection efficiency

1 Date of release previous ABS Pool Performance Note by ICRA

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Analysis of the contracts that were in 90+ and 180+ delinquency buckets as on Sep-15, out of a total set of 141,025 CV loans contracts rated by ICRA, totalling to Rs. 5,934 crore originated by eight CV financiers between October 2008 and March 2015. Analysis covers -

o Asset class-wise delinquency trend as on Mar-15 [New and Used Medium and Heavy Commercial Vehicles (MHCVs) and Light Commercial Vehicles (LCVs)]

o State-wise delinquency trend for CVs

o Performance of CV loans based on seasoning at the time of securitization

Summary analysis – Small Business Loan Pools



Analysis of the key performance indicators pertaining to 21 Small Business loan pools that were securitised in CY12- CY15. For this analysis, ICRA has clubbed these pools together. This analysis covers the following-

o Median delinquency and cumulative as well as average monthly prepayment trend

Summary analysis - Micro Loan Pools

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Analysis of key performance indicators pertaining to all (201) Micro loan pools securitised since January 2011 and whose commencement date

²

was prior to June 2015; pools grouped into various annual cohorts (based on the year in which these pools were securitised). Analysis covers -

o Average cumulative collection, delinquency trends and prepayment in micro loan transactions

o Credit enhancement utilisation pattern as well as an analysis of cash collateral build up vis- a-vis senior PTC amortisation in these pools

o Rating transition for different instruments (based on seniority)

2Commencement Date- The date from which the pool receivables have been transferred

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Sample Report Format

Issue Name : [(Originator) (Asset Class) D.A. (MMMM-YY)] / (Name of SPV)]

Trustee : Trustee Name

Commencement Month : MMM-YY Asset Composition

Monthly Payout Date : Asset class

Structure / Staggering : Share of asset class

Details of Rated Instruments

Rated Instrument

Principal (Rs. Cr.) Rating Amortizat

ion %

Initial Tenure (Months)

Balance Tenure (Months) Initial Present Initial Present

Initial Pool Details (as on pool cutoff date)

Asset-4 Asset-3 Asset-2 Asset-1 Total Pool Principal (Rs. Cr.)

Pool Cashflows (Rs. Cr.) Tenure (Months) Avg Seasoning (Months) Avg Loan to Value Number of Contracts

Overdue Profile- Share of Current Contracts Share of Overdue Contracts

Initial Credit Enhancement Details (as % of purchaser payouts / PTC Payouts)

Cash Collateral First Loss Piece Second Loss Piece

Excess Interest Spread

Performance of Pool till MMM-YY ( Months Post securitization, Pool Amortization)

Asset-4 Asset-3 Asset-2 Asset-1 Total

Collection Performance Analysis

Cumulative Collection Efficiency Rolling Quaterly Collection Efficiency

Cumulative Collection/ Cumulative PTCs Payouts

Prepayment Analysis

Average Monthly Prepayment Rate Cumulative Prepayment Rate

Loss and Delinquency Analysis

Loss cum 90+ dpd (% of Initial Pool Size) Loss cum 180+ dpd (% of Initial Pool Size) Peak Loss cum 90+dpd

Peak loss cum 180+dpd Cumulative Loss

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Credit Enhancement Details

Cumulative Credit Enhancement Utilisation Cumulative Cash Collateral Utilisation

First Loss Piece Utilisation Second Loss Piece Utilisation Peak Cash Collateral Utilsation

Static Delinquency Profile

Month-1 Month-2 Month-3 Month-4 Loss cum 30+ dpd (% of Initial Pool Size)

Loss cum 90+ dpd (% of Initial Pool Size) Loss cum 180+ dpd (% of Initial Pool Size)

Dynamic Delinquency Profile

Current 1-30 31-90 91-180 >180 As % of Balance Pool Principal Outstanding Month-1

As % of Balance Pool Principal Outstanding Month-2 As % of Balance Pool Principal Outstanding Month-3 As % of Balance Pool Principal Outstanding Month-4

Details of Balance Pool

Asset-4 Asset-3 Asset-2 Asset-1 Total Pool Principal Outstanding (Rs. Cr)

Pool Cashflows Outstanding (Rs. Cr) Balance Pool Tenure (Months) 90+ dpd (% of balance Pool Principal) 180+ dpd (% of balance Pool Principal)

Availability of Credit Enhancement (as % of Balance Purchaser payouts / PTC Payouts)

Principal Subordination Excess Interest Spread

Break-even Collection Efficiency (% of Pool Cashflow) Cash Collateral

Credit Enhancement to 90+dpd POS (times) First Loss Piece

Coverage Ratio (times) Second Loss Piece

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Please contact ICRA to get a copy of the full report

CORPORATE OFFICE Building No. 8, 2nd Floor,

Tower A, DLF Cyber City, Phase II, Gurgaon 122002

Ph: +91-124-4545300, 4545800 Fax; +91-124-4545350

REGISTERED OFFICE

1105, Kailash Building, 11^th Floor, 26, Kasturba Gandhi Marg, New Delhi – 110 001 Tel: +91-11-23357940-50 Fax: +91-11-23357014

CHENNAI

Mr. Jayanta Chatterjee Mobile: 9845022459 Mr. P. Kalaivanan Mobile: 9894204551

5th Floor, Karumuttu Centre, 498 Anna Salai, Nandanam, Chennai-600035.

Tel: +91-44-45964300, 24340043/9659/8080 Fax:91-44-24343663

E-mail: [email protected] [email protected]

HYDERABAD Mr. M.S.K. Aditya Mobile: 9963253777

301, CONCOURSE, 3rd Floor, No. 7-1-58, Ameerpet, Hyderabad 500 016.

Tel: +91-40-23735061, 23737251 Fax: +91-40- 2373 5152

E-mail: [email protected]

MUMBAI

Mr. L. Shivakumar Mobile: 9821086490 18th floor, Tower 3, Indiabulls Finance Centre

Senapati Bapat Marg, Elphinstone, Mumbai - 400 013.

Ph : +91-22-61796300, 61796393 Fax : +91-22-2433 1390

KOLKATA Mr. Jayanta Roy Mobile: 9903394664 A-10 & 11, 3rd Floor, FMC Fortuna,

234/ 3A, A.J.C. Bose Road, Kolkata-700020.

Tel: +91-33-22876617/ 8839, 22800008, 22831411

Fax: +91-33-2287 0728

PUNE

Mr. L. Shivakumar Mobile: 9821086490 5A, 5th Floor, Symphony, S. No. 210, CTS 3202,

Range Hills Road, Shivajinagar, Pune-411 020

Tel : +91- 20- 25561194, 25560195/196,

Fax : +91- 20- 2553 9231 E-mail:

[email protected] GURGAON

Mr. Vivek Mathur Mobile: 9871221122 Building No. 8, 2nd Floor,

Tower A, DLF Cyber City, Phase II, Gurgaon 122002

Ph: +91-124-4545300, 4545800 Fax; +91-124-4545350

AHMEDABAD

Mr. Animesh Bhabhalia Mobile: 9824029432

907 & 908 Sakar -II, Ellisbridge, Ahmedabad- 380006

Tel: +91-79-

26585049/2008/5494, Fax:+91-79- 2648 4924

BANGALORE

Mr. Jayanta Chatterjee Mobile: 9845022459 'The Millenia', Tower B, Unit No. 1004, 10th Floor, Level 2, 12-14, 1 & 2, Murphy Road,

Bangalore - 560 008 Tel: +91-80-43326400, Fax: +91-80-43326409

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ICRA Limited P a g e | 10 ICRA Limited

CORPORATE OFFICE

Building No. 8, 2^nd Floor, Tower A; DLF Cyber City, Phase II; Gurgaon 122 002 Tel: +91 124 4545300; Fax: +91 124 4545350

Email: [email protected], Website: www.icra.in

REGISTERED OFFICE

1105, Kailash Building, 11^th Floor; 26 Kasturba Gandhi Marg; New Delhi 110001 Tel: +91 11 23357940-50; Fax: +91 11 23357014

Branches: Mumbai: Tel.: + (91 22) 61796300, Fax: + (91 22) 2433 1390 Chennai: Tel + (91 44) 2434 0043/9659/8080, 2433 0724/ 3293/3294, Fax + (91 44) 2434 3663 Kolkata: Tel + (91 33) 2287 8839 /2287 6617/ 2283 1411/ 2280 0008, Fax + (91 33) 2287 0728 Bangalore: Tel + (91 80) 45964300 Fax + (91 80) 559 4065 Ahmedabad: Tel + (91 79) 2658 4924/5049/2008, Fax + (91 79) 2658 4924 Hyderabad: Tel +(91 40) 2373 5061/7251, Fax + (91 40) 2373 5152 Pune: Tel + (91 20) 2552 0194/95/96, Fax + (91 20) 553 9231

ABS Pools Rated by ICRA