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October 31, 2018

CRISIL Performance Report - ABS & MBS Pools - September 2018

Executive Summary


CRISIL has analysed the performance of the asset-backed securities (ABS), the mortgage backed securities (MBS) and thecommercial mortgage backed securities (CMBS) under its surveillance for quarter ending June 2018. The transactions are backedby commercial vehicle loans (CV), car loans, tractor loans, construction equipment (CE) loans, financing extended to small &medium enterprises (SME), two-wheeler loans (TW), microfinance (MFI) loans, education loans, home loans (HL), loans againstproperty (LAP) and lease rentals from commercial properties. Key observations after June 2018 payouts are given below:


  • Robust monthly collection in CV pools stabilise delinquencies

    Despite increase in diesel prices of around 8% in first quarter of FY 2019, CRISIL-rated CV pools demonstrated robustcollection performance during the quarter with median 3 month average monthly collection ratio (MCR) at 98.7% as after June2018 payouts. The MCR as of June 2018 payouts was in the range of 92.2% to 117.1%. Performance of outstanding pools arein line with CRISIL’s expectations.

  • Stable performance by MFI pools

    MFI pools demonstrated stable performance during the quarter ended June 2018. The cumulative collection ratios (CCR)across pools were in the range of 99.1% to 99.8% as of June 2018 payouts. At median amortisation of 28.3%, the median 1+overdue was only 0.11% of initial pool principal across the pools.

  • Negligible overdues in mortgage pools

    Mortgage pools exhibited strong collections with median 3-month average MCR of over 99% in the quarter. Owing to thehealthy collections and the high amortisation (average amortisation of ~80%), there is a significant build-up of credit coveravailable to support investor payouts in mortgage pools.

  • Other asset-backed pools enjoy healthy cover

    Performance of pools backed by other asset classes (CE, Car, TW, Cash loans, CD loans, Education loans and SME) is in-linewith expectation. As after June 2018 payouts, threshold collection ratios (TCR) required to service future investor payouts arebelow median MCRs across all asset classes.

  • 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 for the ratingcategory. For the quarter ended June 2018, average monthly rental collections and occupancy rates are in line with CRISIL’sexpectations for both the properties.