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July 13, 2018

CRISIL Performance Report - ABS & MBS Pools - July 2018

Executive Summary


CRISIL has analysed the collection performance of asset-backed securities (ABS), mortgage backed securities (MBS) and commercial mortgage backed securities (CMBS) under its surveillance till March 2018.


The transactions are backed by receivables from 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).


The key observations after the March 2018 payouts are summarised below.


Strong collection performance continues for CV pools


CRISIL-rated CV loan receivables-backed pools continued their robust performance in March 2018 quarter, with median 3-month average MCR touching 100.7%. Last fiscal, performance was impacted in the first half due to the rollout of the Goods and Services Tax (GST). But the trend rebounded in the subsequent quarters as stock movement normalised. Additionally, collections in the fourth quarter improved after intense efforts during the year-end, which is in line with the trend witnessed in the past.


The improvement was visible in the 90+ delinquencies also, with delinquencies in pools across vintages moderating. Improved macro-economic environment and higher proportion of new vehicle-backed loan receivables in CRISIL-rated portfolio of 2017 ensured that the performance of 2017 vintage pools are far superior to that of earlier vintages. The median 90+ delinquency of the pools from the latest vintage is below 1% currently.


Recently, CRISIL withdrew ratings on three pools backed by CV loan receivables from 2015 vintage. There was no credit collateral utilisation in any of these pools at the time of withdrawal.


Over the medium term, movement in freight rates, given the steady rise in fuel prices, will be the key determinant of asset quality of CV pools.


Robust performance of recently originated microfinance pools


CRISIL-rated microfinance pools originating after demonetisation are demonstrating robust collection efficiencies with a median monthly collection ratio (MCR) of 99.4% as of March 2018, far higher than the 96-98% range where the MCRs of pre-demonetisation originated microfinance pools had stabilised.


Four PTCs issued under three weak-performing microfinance pools defaulted on payouts last fiscal. After this, overdue collections from the pools continued to be passed on to investors and as of April 2018, investors in all the four PTCs were paid out in full.


Collection efficiency of mortgage pools remain stable


Mortgage backed pools (HL and LAP) continued their stable collection performance with median 3-month average MCR at 99.7% after March 2018 payouts. Consequently, delinquencies remain negligible and there is no credit collateral utilisation in any of the outstanding pools. All transactions boast healthy credit cover after March 2018 payouts.