Review of CRISIL-rated securitisation transactions
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CRISIL has analysed the collection performance of 82 asset-backed securities (ABS), 37 mortgage backed securities (MBS)and 2 commercial mortgage backed securities (CMBS), across 28 originators in the securitsation market. The transactionsare backed by commercial vehicles (CV), cars, tractors, construction equipment (CE), secured business loans, two wheelerloans (TW), microfinance (MFI) loans, home loans (HL) and loan against property (LAP). CRISIL has analysed the performanceof the pools at the asset class level. Key observations after the June 2017 payouts are as below:
Collection performance of CV pools remain resilient
In spite of increased fleet availability and slower economic growth, truck rentals remained resilient between March 2017 and May 2017 supported by the healthy movement of agricultural produce given the near-record rabi output. Consequently, collections in CV pools were healthy during the first quarter of fiscal 2018. Performance of newer vintage pools is superior to that of the pools belonging to earlier vintages. Median 3-month average monthly collection ratio (MCR) for the quarter ended June 30, 2017 was at ~97%.
Performance of microfinance pools vary based on geographic exposure; a few pools undergoing severe collectionstress
Collection efficiencies in microfinance pools, which have limited exposure to poorly performing geographies of UttarPradesh, Maharashtra, Madhya Pradesh and Karnataka, have bounced back from the lows posted in the immediateaftermath of demonetisation. However, pools originated by certain NBFC-MFIs remain under severe collection stress,even several months post-demonetisation. MCR of these pools have remained persistently low at 70%-75%.
Prepayments on an up-trend in mortgage pools
Higher levels of prepayments were observed in mortgage pools in the first quarter of fiscal 2018 compared to earlierperiods. Overdues remain negligible.
Other asset-backed pools show stable performance
Collections across other asset backed pools like small business loans, car, CE and tractor remain stable.
CMBS transactions continue to enjoy healthy interest coverage ratio
So far in fiscal 2018, CRISIL has upgraded ratings on 22 instruments issued under securitisation transactions due to improving credit collateral cover with higher amortization. Ratings on 15 instruments backed by microfinance loan receivables have been downgraded / placed on watch, because of weak asset quality and stressed performance.