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March 31, 2018

Review of CRISIL-rated securitisation transactions

Executive Summary


CRISIL has analysed the collection performance of 74 asset-backed securities (ABS), 36 mortgage backed securities (MBS) and 2 commercial mortgage backed securities (CMBS) under surveillance in December 2017. The transactions are backed by commercial vehicle loans (CV), car loans, tractor loans, construction equipment (CE) loans, loans extended to small & medium enterprises (SME), two-wheeler loans (TW), microfinance (MFI) loans, home loans (HL) and loans against property (LAP). Key observations after December 2017 payouts are:

  • Robust collection ratio of commercial vehicle pools aids in stabilizing delinquencies

    CRISIL-rated CV pools demonstrated robust collection performance during the quarter ended December 2017 with median 3 month average monthly collection ratio (MCR) at 98.9% as after December 2017 payouts. Performance of pools of 2016 vintage continue to be weak when compared to those of 2013 to 2015 and 2017 vintages.

  • Delinquencies in tractor pools continue to fall

    Six-month average collection ratio has been steady at or above 100% between June 2017 and December 2017. 0+ OD1 reduced to 3.6% from 6.3% in September 2017. Similarly, 90+ dpd2 fell to 4.3% from 7.1% in September 2017 and 30+ dpd3 declined to 8.0% from 9.7%.

  • Stable performance by MFI pools

    CRISIL-rated MFI pools demonstrated stable performance during the quarter ended December 2017. The weak performing pools were fully amortised during the quarter and median cash collateral of 42.8% of the stipulated cash collaeral was utilised to make payouts to investors. With the weak performing pools fully amortised by November 2017, median collection ratio for December 2017 improved to 96.7% from 93.6% in September 2017.

  • LAP pools witnessing rising overdue

    Overall collection performance of the pools backed by HL receivables continued to be strong during Q3 of fiscal 2018 with negligible overdue. However, LAP pools saw slight weakening with overdue levels increasing to 0.3% in December 2017 from 0.2% in March 2017.

  • Other asset-backed pools enjoy healthy cover

    Performance of other asset class backed pools (CE, Car, TW and SME) is in line with expectation. As after December 2017 payouts, median threshold collection ratios (TCR) required to service future investor payouts are low and below median MCRs for each asset class.

  • CMBS transactions continue to enjoy healthy interest coverage ratio

    CRISIL has been receiving monthly payout confirmations for the CMBS issuances of DLF Emporio Ltd and DLF Promenade Ltd. The earnings before interest, depreciation, tax and amortisation for both the transactions provide adequate cover to the rating category. As after December 2017 payout, interest coverage for DLF Emporio Ltd and DLF Promenade Ltd was 1.80 and 2.10, respectively.