Rating Rationale
July 01, 2025 | Mumbai

Pharaoh June 2025 Series I

(Originator: Bajaj Finance Limited) 

'Provisional Crisil AAA (SO) ' assigned to Series A1 PTCs

 

Rating Action

Trust Name

Instrument

Coupon Rate

Rated Amount

(Rs Cr)

Tenure

(In Months)#

Cash Collateral

(Rs Cr)

Ratings / Credit Opinions@

Rating Action

Pharaoh June 2025 Series I

Series A1 PTCs

6.73%*

1329.58

77

15.65

Provisional Crisil AAA (SO)

Provisional Rating Assigned

# Indicates final maturity date for the instrument in number of monthly payouts. Actual maturity date will depend on the level of collection shortfalls in the pool, the level of prepayments in the pool, and exercise of the clean-up call option.

*Floating interest rate: Linked to external benchmark

1 crore = 10 million

Refer to annexure for Details of Instruments

Note: None of the Directors on Crisil Ratings Limited’s Board are members of rating committee and thus do not participate in discussion or assignment of any ratings. The Board of Directors also does not discuss any ratings at its meetings.

#Indicates final maturity date for the instrument in number of monthly payouts. Actual maturity date will depend on the level of collection shortfalls in the pool, the level of prepayments in the pool, and exercise of the clean-up call option.

@A prefix of 'Provisional' indicates that the rating centrally factors in the strength of specific structures and is contingent upon occurrence of certain steps or execution of certain documents by the issuer, as applicable, without which the rating would either have been different or not assigned ab initio. This is in compliance with a May 6, 2015 directive ‘Standardizing the term, rating symbol, and manner of disclosure with regards to conditional/ provisional/ in-principle ratings assigned by credit rating agencies' by Securities and Exchange Board of India (SEBI) and April 27, 2021 circular ‘Standardizing and Strengthening Policies on Provisional Rating by Credit Rating Agencies (CRAs) for Debt Instruments’ by SEBI.

 

Detailed Rationale

Crisil Ratings has assigned its ‘Provisional Crisil AAA (SO)’ rating to Series A1 pass-through certificates (PTCs) issued by ‘Pharaoh June 2025 Series I’ under a securitisation transaction originated by Bajaj Finance Limited (BFL; rated ‘Crisil AAA/Stable/Crisil A1+’), backed by a pool of unsecured personal loan receivables.

 

The ratings are based on credit support available to PTCs, credit quality of the underlying pool receivables, BFL’s origination and servicing capabilities, and soundness of the transaction’s legal structure

 

Payment Structure:

The transaction has a ‘par with monthly subordinated excess interest spread (EIS)’ structure, however, in case of a trigger event, residual cashflows will be used to repay Series A1 PTCs principal. The trust settled by the transaction’s trustee, i.e. Axis Trustee Services Limited will issue Series A1 PTCs and unrated equity tranche to investors in exchange for a purchase consideration equal to 85.0% and 15.0% of the pool principal at the time of securitisation, respectively.

 

Series A1 PTC holders are promised timely interest payments on a monthly basis. Principal repayment, while expected on a monthly basis, is promised only on an ultimate basis by the instrument’s final maturity date.

 

Adequacy of credit enhancement:

The investor payouts for PTCs are supported by cash collateral, subordination of equity tranche principal, and subordination of excess interest spread (EIS). On a monthly basis, the cash collateral can be used to make the promised interest payments in case of a shortfall in collections from the pool to Series A1 PTC. On the Series A1 PTC final maturity date, the cash collateral can also be used to make the promised principal repayment in case of a shortfall in collections from the pool.

 

Credit enhancement available in the transaction structure for Series A1 PTCs is as below:

 

  • Internal credit enhancement from subordination of unrated equity tranche principal amounting to INR 234.63 crore (15.0% of the initial pool principal), and subordination of scheduled EIS amounting to INR 300.88 crore (19.2% of the initial pool principal).
  • External credit enhancement from a cash collateral amounting to INR 15.65 crore (1.0% of the initial pool principal) which is expected to be maintained as fixed deposits with a bank and lien-marked in favour of the Trustee.

 

Based on Crisil Ratings assessment, the total credit enhancement available in the transaction (internal – in the form of EIS and principal subordination; and external – in the form of cash collateral) provide loss absorption against stressed shortfalls in the pool, commensurate with the rating assigned to the PTCs.

Key Rating Drivers & Detailed Description

Strengths:

  • Credit enhancement available in the structure:
  •                  Series A1 PTCs are supported by internal credit enhancement from subordination of equity tranche principal amounting to INR 234.63 crore (15.0% of the initial pool principal), and subordination of scheduled EIS amounting to INR 300.88 crore (19.2% of the initial pool principal).
  •                  External credit enhancement from a cash collateral amounting to INR 15.65 crore (1.0% of the initial pool principal) which is expected to be maintained as fixed deposits with a bank and lien-marked in favour of the Trustee.
  • Credit profile and repayment track record of pool borrowers:
    •                  All loans in the pool have been disbursed to salaried borrowers with a weighted average bureau score of 752.
    •                  The contracts in the pool have a weighted average seasoning (number of instalments paid) of 13.9, and consequently, the pool has amortised by 22.1% as of the cut-off date (5th June 2025).
    •                  All contracts in the pool are current as of the pool cut-off date. Additionally, ~89% of the POS has been current since origination and none of the contracts have been delinquent by more than 15 days.

 

Weaknesses:

  • Interest rate risk
    •                  There is an interest rate risk in the transaction as the PTC yield (linked to external benchmark) is floating while underlying borrower contracts are lent at a fixed rate.              
  • Unsecured nature of loans 
    •                  The pool comprises personal loans extended to salaried borrowers.  Given the unsecured nature of these loans, recovery prospects from delinquent borrowers are expected to be limited. The pool’s collection performance will remain susceptible to risks inherent in this asset class.

Liquidity: Strong

For Series A1 PTC: Liquidity is strong given that the credit enhancement available in the structure is sufficient to cover losses exceeding 1.5 times the base case shortfalls in the pool.

Rating Sensitivity factors

Upward factors

  • For Series A1 PTC: None

 

Downward factors

  • For Series A1 PTC: Credit enhancement available in the structure failing to cover 4.0 times the estimated adjusted base shortfalls due to weaker than expected collection performance of the pool.
  • A sharp downgrade in the rating of the servicer/originator.
  • Non-adherence to the key transaction terms envisaged at the time of the rating.

About the Pool

Quality of the asset pool and strength of cashflows

The transaction is backed by receivables from a pool of unsecured personal loans originated by Bajaj Finance Limited. The pool’s key characteristics as of the cut-off date are outlined below:

  • Pool loans have been disbursed entirely to salaried borrower segment.
  • Pool loans have seen a weighted average seasoning of 13.9 months prior to securitisation, during which the total disbursed amount for pool loans has amortised by 22.1%.
  • The average disbursement amount for pool loans was Rs 7.5 lakh, with a weighted average interest rate of 13.0% and a weighted average original tenure of 66.4 months.
  • None of the pool loans had any overdues as of the cut-off date.

Assuming no prepayments, cashflow schedule results in subordination in the form of EIS amounting to Rs 300.88 crore (19.2% of pool principal securitised). The portfolio performance of Bajaj has been highlighted in the Rating assumptions section below. Based on Crisil Ratings assessment, the total credit enhancement available in the transaction (internal – in the form of EIS and principal subordination; and external – in the form of cash collateral) provide loss absorption against stressed shortfalls in the pool, commensurate with the rating assigned to the PTCs.
 

Rating assumptions

Background:

  • PTC investors are taking a direct exposure on the repayment ability of the underlying borrowers in the pool. Credit risk in the transaction is factored through the base case shortfalls expected on the portfolio, which are further adjusted for pool specific characteristics.
  • To assess the base case collection shortfalls for the transaction, Crisil Ratings has analyzed the static pool performance (with information on 90+ delinquency) of personal loans originated by Bajaj Finance Limited during the period FY2018 to FY2025 (with performance till May 2025).
  • Crisil Ratings has also analysed the dynamic portfolio delinquencies of Bajaj Finance Limited’s portfolio. As of April 2025, the 90+ delinquency for Bajaj Finance Limited’s personal loan portfolio was 0.3%. Base case shortfalls on the portfolio are adjusted based on pool characteristics – which includes seasoning profile and repayment track record, parameters such as original tenure, interest rate, loan-to-value, etc. Crisil Ratings has additionally factored risk arising from borrower & geographic concentration in the pool.
  • Prepayment is a form of market risk which will result in the reduction of excess interest spread in the transaction. Prepayment risk has been assessed based on historically observed levels of prepayments for similar pools.
  • Another form of market risk is basis risk in the transaction, the liability side interest rate (linked to external benchmark) and asset side interest rate are fixed. Crisil Ratings has factored adverse interest rate movement resulting in reduction of excess interest spread in its analysis

 

Assumptions:

  • After making the adjustments on the above factors, the base case shortfalls in the pool by maturity of the transaction is in the range of 3.5% to 4.5% of pool cashflows.
  • Monthly prepayment rate of 0.5% to 1.5% has also been applied to the pool cashflows.

 

Additional disclosures for Provisional ratings:
The provisional rating is contingent upon execution and receipt of the following documents:

 

Executed documents:

  • Trust Deed
  • Assignment Agreement
  • Servicing Agreement
  • Accounts Agreement
  • Power of Attorney

 

Other documents:

  • Information Memorandum
  • Legal Opinion
  • Auditor’s Certificate(s)
  • Trustee’s Letter
  • Originator’s Representations and Warranties Letter

Additional documents, if any, executed for the transaction should also be provided along with the above documents. The provisional rating shall be converted into a final rating after receipt of transaction documents duly executed within 90 days from the date of issuance of the instrument. The final rating assigned post conversion shall be consistent with the available documents. In case of non-receipt of the duly executed transaction documents within the above-mentioned timelines, the rating committee of Crisil Ratings may grant an extension of up to another 90 days in line with its policy on provisional ratings.

 

Rating that would have been assigned in absence of the pending documentation:

In the absence of documentation considered while assigning provisional rating as mentioned above, Crisil Ratings would not have assigned any rating.

 

Risks associated with provisional nature of credit rating:

A prefix of 'Provisional' to the rating symbol indicates that the rating is contingent upon execution of certain documents by the issuer, as applicable. In case the documents received deviate significantly from the expectations, Crisil Ratings may take appropriate action including placing the rating on watch or a rating change, depending on status of progress on a case-to-case basis. In the absence of the pending documentation, the rating on the instrument would not have been assigned ab initio.

About the Originator- Originator/Servicer profile
Set up in 1987, BFL is a subsidiary of Bajaj Finserv (51.34% ownership), the financial services arm of the Bajaj group. BFL has a diversified product suite comprising key businesses such as vehicle loans (two and three-wheelers manufactured by Bajaj Auto), consumer durable loans, personal loans, mortgage loans, small business loans, loans against securities, commercial finance and rural finance.The company has recently entered into New car loans, commercial vehicle loans, tractor financing and gold loan segments.

Key Financial Indicators

Key Financial Indicators: (Standalone):

As on / for the period ended

Unit

Dec 31, 2024

Mar 31, 2024

Mar 31, 2023

Mar 31, 2022

Mar 31, 2021

Total Assets

Rs crore

345968

296,614

216,525

168,016

138,339

Total income (net-off interest expenses)

Rs crore

30088

33,103

26,401

20,298

16,100

Profit after tax

Rs crore

12721

12,644

10,290

6,350

3,956

GNPAs

%

1.4

1.1

1.2

1.7

2.2

Gearing

Times

3.1

3.1

3.1

2.9

2.8

Return on managed assets

%

5.2*

4.9

5.3

4.1

2.8

*Annualised

 

Key Financial Indicators: (Consolidated):

As on / for the period ended

Unit

Dec 31, 2024

Mar 31, 2024

Mar 31, 2023

Mar 31, 2022

Mar 31, 2021

Total Assets

Rs crore

430271

375,742

275,229

212,505

171527

Total income (net-off interest expenses)

Rs crore

33037

36,258

28,846

21,892

17,269

Profit after tax

Rs crore

12234

14,451

11,508

7,028

4,420

GNPAs

%

1.12

0.9

0.9

1.7

1.8

Gearing

Times

3.6

3.8

4.0

3.8

3.6

Return on managed assets

%

4.0*

4.4

4.6

3.5

2.5

*Annualised

 

Quality and experience of servicer:

BFL: rated ‘Crisil AAA/Stable/Crisil A1+’ will continue to service loans assigned to this trust. BFL has a long track record in the unsecured lending space, collection report with relevant information are expected to be share with trustee in a timely manner.

 

Risks and concerns for investors and mitigating factors: Based on Crisil Ratings’ assessment, the total credit enhancement available in the transaction (internal – in the form of EIS and equity tranche principal subordination; and external – in the form of cash collateral) together can mitigate against shortfalls in collection from the pool even after stressing them commensurate with the rating assigned to the PTCs. Crisil Ratings has adequately factored key risks  in the transaction including Credit & Market (as highlighted in rating assumptions section), Counterparty and Legal risks. Legal risks are assessed based on detailed analysis of transaction documentation. Risk factored from counterparties are mentioned in the table below:

 

Counterparty details

Capacity

Counterparty

Rating

Effect on transaction rating in case of non-performance and Provision for appointment of back-up, if any

Originator

BFL

Crisil AAA/Stable/Crisil A1+

No effect.

Servicer

BFL

Crisil AAA/Stable/Crisil A1+

Significant effect, because of change in servicing quality and replacement cost of the Servicer. However, Crisil Ratings does not currently envisage the need for replacement. The Trustee, on behalf of the investors, shall retain the right to appoint a replacement Servicer in the occurrence of a ‘Servicer Event of Default’ as per the terms of the transaction. Since there is time lag between pool collections and investor payouts. In the interim, the money collected lies with the servicer and may commingle with its own cash flow. As monthly pool collections are commingled only for a short period of time, the short-term credit quality of the servicer determines the commingling risk.

Collection and Payout Account (CPA) Bank

JPMorgan Chase Bank N.A.

Not rated by Crisil Ratings

Negligible effect. As per the terms of the transaction, the Trustee, on behalf of the investors, has the right to change the CPA Bank.

Cash Collateral Bank

JPMorgan Chase Bank N.A.

Not rated by Crisil Ratings

Negligible effect. As per the terms of the transaction, the Trustee, on behalf of the investors, has the right to change the Bank with which the Cash Collateral fixed deposits are maintained.

Trustee

Axis Trusteeship Services Limited

Not rated by Crisil Ratings

Negligible effect. As per the terms of the transaction, the Trustee can be replaced by the investors holding majority interest.

 

A summary of key terms of servicer contract

 

As per indicative transaction terms, the key points on the role of the servicer to be covered as part of the transaction documents are as below:

 

  • The Trustee acting for and on behalf of the investors shall appoint, the servicer for the purpose of collecting, receiving and managing payment of the Receivables into the Collection and Payment Account for the purpose of managing, collecting and receiving the receivables, holding the underlying security and carry out other roles and roles and responsibilities as specified under the transaction documents
  • The servicer shall receive servicing fees which shall be paid by the trustee in accordance with the Waterfall Mechanism as per the transaction documents.
  • The servicer shall collect the receivables from the underlying borrowers and deposit the collected amounts in the collection and payment account in a timely manner as per the terms of the transaction documents.
  • The servicer shall submit to the trustee all the data and reports in the manner and as per the timelines as specified under the transaction documents.
  • The occurrence of certain events as per the terms of the transaction documents shall be construed as a Servicer Event of Default.

 

Provision for appointment of back-up servicer: The Trustee (acting on the instructions of the investors) as per the terms of the Servicer Agreement and upon the occurrence of Servicer’s Event of default, shall retain the right to appoint an alternate servicer

 

Performance of outstanding rated transactions

This is the first PTC transaction originated by BFL rated by Crisil Ratings.

 

Any other information: Not Applicable

Note on complexity levels of the rated instrument:
Crisil Ratings` complexity levels are assigned to various types of financial instruments and are included (where applicable) in the 'Annexure - Details of Instrument' in this Rating Rationale.

Crisil Ratings will disclose complexity level for all securities - including those that are yet to be placed - based on available information. The complexity level for instruments may be updated, where required, in the rating rationale published subsequent to the issuance of the instrument when details on such features are available.

For more details on the Crisil Ratings` complexity levels please visit www.crisilratings.com. Users may also call the Customer Service Helpdesk with queries on specific instruments.

Annexure - Details of Instrument(s)

ISIN^

Name of security

Date of allotment

Coupon rate (%)*

Maturity

date#

Issue size (Rs crore)

Complexity level

Rating assigned

Cash collateral (Rs crore)

NA

Series A1 PTCs

25-Jun-25

6.73 p.a.p.m*

25-Dec-31

1329.58

Highly complex

Provisional Crisil AAA (SO)

15.65

1 crore = 10 million

^ ISIN yet to be issued.

* Floating interest rate Linked to External benchmark

# Indicates legal final maturity date for the instrument. Actual maturity date will depend on the level of collection shortfalls in the pool, the level of prepayments in the pool, and exercise of the clean-up call option.

Annexure - Rating History for last 3 Years
  Current 2025 (History) 2024  2023  2022  Start of 2022
Instrument Type Outstanding Amount Rating Date Rating Date Rating Date Rating Date Rating Rating
Series A1 PTCs LT 1329.58 Provisional Crisil AAA (SO)   --   --   --   -- --
All amounts are in Rs.Cr.
Criteria Details
Links to related criteria
Basics of Ratings (including default recognition, assessing information adequacy)
Criteria for securitisation transactions

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