OREANDA-NEWS. Fitch Ratings has assigned an expected rating to Platinum Trust-September 2015's pass-through certificates (PTCs). The issuance consists of PTCs backed by commercial-vehicle and tractor loans originated by Cholamandalam Investment and Finance Company Limited (CIFCL), which is also the servicer for the transaction. The rating is as follows:

Platinum Trust-September 2015
INR4.5bn Series A PTCs due March 2020: 'BBB-(EXP)sf'; Outlook Stable

The rating addresses timely payment of interest and principal in accordance with the payout schedule in the transaction documents. The scheduled payout will be net of the distribution tax on the income distributed by the trust to the PTC holders. The final rating will be contingent upon the receipt of final documents conforming to information already received.

KEY RATING DRIVERS
The rating and Outlook reflect adequate external credit enhancement (CE) of the initial principal balance, and CIFCL's origination practices, servicing experience and expertise in the collection and recovery of commercial-vehicle and tractor loans in India. The transaction is supported by a sound legal and financial structure.

The credit enhancement (CE) comprises a first-loss credit facility (FLCF) and a second-loss credit facility (SLCF). The FLCF will be in the form of fixed deposits with a bank rated 'BBB-/F3' by Fitch in the name of the originator with a lien marked in favour of the trustee. The SLCF will be either fixed deposits with a bank rated 'BBB-/F3' by Fitch in the name of the originator with a lien marked in favour of the trustee, or an unconditional and irrevocable guarantee provided by a bank rated 'BBB-/F3' by Fitch. At closing, the transaction's CE will be 11.5% of the original collateral balance.

CE is deemed sufficient to cover the commingling risks of the servicer and the liquidity for the timely payment of the PTCs.

Taking the revised data from India's Central Statistical Office as the new reference, Fitch forecasts India's GDP growth to accelerate to 8.1% in the financial year ending 31 March 2016 (FY16) and 8.0% in FY17. The government's broad-based structural reform agenda has brought dynamism back to the economy. Fitch expects the policy initiatives to bring the investment climate in India closer in line with that of its peers. However, the fiscal position remains weak, with a general budget deficit of 7.2% of GDP for the combined central and state governments, and gross general government debt of 64.7% of GDP.

The agency has factored this macroeconomic outlook into its analysis and its forward base-case default-rate assumptions. The default rate, recovery rate and time to recovery, together with the portfolio's weighted-average yield, were stressed in Fitch's Asia-Pacific ABS cash flow model to assess the sufficiency of cash flow for timely payment at the current rating level.

No interest-rate or foreign-currency risks exist in the transaction, since both the assets and the PTCs are fixed-rate and are denominated in rupees.

The transaction comprises a static seasoned portfolio of commercial-vehicle loans (94%) and tractor loans (6%), with a weighted average seasoning of 18 months. The pool is granular with 14,597 obligors, and the maximum obligor exposure is 0.07% of the total pool balance. The pool composition has characteristics similar to those of other Indian ABS transactions rated by Fitch.

EXPECTED RATING SENSITIVITIES
Based on Fitch's sensitivity analysis, Fitch may consider downgrading the rating to 'BB+sf' if either the base-case default rate increases by 20% or the base-case recovery rate declines by 30%. The sensitivity analysis assumes that the CE and other factors remain constant.

The rating may be upgraded if the ratings of the credit collateral banks holding the FLCF and SLCF deposits and the guarantee bank providing the SLCF are upgraded to above 'BBB-' and the portfolio performance remains sound, with adequate CE that can withstand stress at above a 'BBB-sf' rating scenario.

At closing, CIFCL will assign commercial-vehicle and tractor loans to the issuer, which in turn will issue the PTCs. The PTC proceeds will be used to fund the purchase of the underlying loans.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch conducted a file review of 20 sample loan files focusing on the underwriting procedures conducted by CIFCL compared to CIFCL's credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would impact Fitch's rating analysis.

Fitch reviewed the results of the agreed-upon procedures (AUP) conducted on the portfolio; the AUP checked the accuracy of the data file provided to Fitch for its rating analysis and reported no material errors that would impact Fitch's rating analysis.

Included as an appendix to the report are a description of the representations, warranties, and enforcement mechanisms.