OREANDA-NEWS. Fitch Ratings has affirmed the ratings on pass-through certificates (PTCs) from three Shri Trust transactions with Stable Outlooks. All of the transactions are securitisations of auto loans in India originated by Sundaram Finance Limited (SFL), which also acts as the servicer for the transactions.

The rating actions are as follows:

Shri Trust F 2015

INR895.1m Series A1 PTCs affirmed at 'BBB-sf'; Outlook Stable

INR603.7m Series A2 PTCs affirmed at 'BBB-sf'; Outlook Stable

Shri Trust G 2015

INR715.2m Series A1 PTCs affirmed at 'BBB-sf'; Outlook Stable

INR717.3m Series A2 PTCs affirmed at 'BBB-sf'; Outlook Stable

Shri Trust H 2015

INR664.0m Series A PTCs affirmed at 'BBB-sf'; Outlook Stable

KEY RATING DRIVERS

The affirmations reflect satisfactory asset performance and sufficient credit enhancement (CE) for the rated notes. For each transaction, CE has increased steadily from the closing dates, driven by rapid amortisation of the static portfolio. As all the transactions have shown monthly excess spread since their respective closing dates, no CE has been drawn in any period. As of May 2016, the CE was 21.4%, 17.6% and 20.5% of the outstanding pool balance of Shri Trust F 2015, Shri Trust G 2015, and Shri Trust H 2015 respectively. The portfolios remain diversified by geography and vehicle type.

The 90+ day delinquency rates as a percentage of each original pool balance (90+dpd) have remained relatively stable since the transaction closed. As of May 2016, the 90+dpd levels have not exceeded 2.5% for all the transactions.

Fitch affirmed India's Long-Term Foreign - and Local-Currency Issuer Default Ratings at 'BBB-' in December 2015. Fitch expects India's real GDP growth to pick up to 7.7% in the financial year ending March 2017 (FY17) and 7.9% in FY18.

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

RATING SENSITIVITIES

Fitch evaluated the rating sensitivities of the transaction under an increased default rate scenario and a decreased recovery rate scenario.

Fitch may consider a downgrade of the rated notes if the initial base-case default rate increases by 120% for Shri Trust F 2015, by 90% for Shri Trust G 2015, and by 150% for Shri Trust H 2015. All the transactions can withstand zero recoveries at the 'BBB-sf' modelled default rates without affecting their ratings. The sensitivity analysis assumes that the CE and other factors remain constant.

The ratings may be upgraded if the ratings of the credit collateral banks holding the deposits that form the first-loss credit facility (FLCF) 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.

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 SFL compared with SFL'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.

A comparison of the transactions' representations, warranties and enforcement mechanisms (RW&Es) to those of typical RW&Es for this asset class is available by accessing the reports and/or links given under Related Research below.