OREANDA-NEWS. March 30, 2015. Fitch Ratings has affirmed the pass-through certificates (PTCs) of three Indian ABS transactions backed by commercial-vehicle loans originated by Tata Motors Finance Limited (TMF). Fitch has also revised the Outlooks to Stable from Negative.

The rating actions are as follows:

Indian Receivable Trust January 2013 A
INR 788.0m Series A PTC due February 2017 affirmed at 'BBB-sf'; Outlook revised to Stable from Negative

Indian Receivable Trust February 2013 A
INR869.6m Series A3 PTCs due March 2017 affirmed at 'BBB-sf'; Outlook revised to Stable from Negative

Indian Receivable Trust January 2013 B
INR 7.7mSeries A2 PTC due March 2015 affirmed at 'BBB-sf'; Outlook revised to Stable from Negative
INR 495.3mSeries A3 PTC due February 2017 affirmed at 'BBB-sf'; Outlook revised to Stable from Negative


KEY RATING DRIVERS

The ratings were affirmed and the Outlooks revised to Stable due to improving asset performance and significant build-up of credit enhancement (CE). Over the six months to January 2015, the proportion of loans that were 90+ days past due (dpd) declined and the latest reported figures as at January 2015 were:

- Indian Receivables Trust January 2013 A: 10.1%
- Indian Receivables Trust January 2013 B: 8.3%
- Indian Receivables Trust February 2013 A: 12.4%

The 90+dpd for these transactions remain higher than those seen in other Fitch-rated auto loan ABS, largely due to the substantial proportion of first-time commercial-vehicle users (FTU), who have no previous borrowing history. For Indian Receivables Trust February 2013 A and Indian Receivables Trust January 2013 A, FTU make up 49.9% and 49.6% of the respective portfolios, while Indian Receivables January 2013 B had a smaller share at 14% at end-2014. The loans granted to FTU mean that Fitch expects delinquencies will remain relatively high for these transactions.

CE for Indian Receivables Trust January 2013 A, Indian Receivables Trust January 2013 B and Indian Receivables Trust February 2013 A was 55.5%, 59.6% and 48.3% respectively, as at March 2015. At closing, CE was between 14.3% and 14.9% for all transactions. Fitch believes the current level of CE provides sufficient protection against the frequent drawdowns of first credit loss facility and the high delinquency rates.

The overall portfolio characteristics, including the weighted average yield and the distribution of the portfolio by geography and collateral types, have remained largely unchanged since closing. The weighted-average seasoning of all three portfolios exceeds 30 months.

Fitch expects these transactions to continue to perform in line with its expectations, based on its forecast of improving growth in the Indian economy and the continued amortisation of the underlying portfolios.

RATING SENSITIVITIES

Fitch may consider downgrading the ratings of these transactions if their base default rates exceed 16% and 20.0% for Indian Receivables Trust Indian Receivable Trust February 2013 A and Indian Receivable Trust January 2013 A. Indian Receivable Trust January 2013 B can withstand a base default rate of over 22%. In all three cases, recovery rate assumptions could reduce to zero without affecting ratings.