f CRISIL Ratings -HDFC Bank
November 04, 2009
CRISIL upgrades credit opinion on second loss facilities under HDFC Bank’s securitisation transactions
Transaction PTC/ Assignment Issue Size (Rs. Mn) Rating/Credit Opinion
Assignment of Receivables – December 2005 Acquirer’s Payouts 3130.2 AAA(so) Equivalent (Reaffirmed)
Liquidity Facility 8.0 AAA(so) Equivalent (Reaffirmed)
Second Loss Facility 96.2 AAA(so) Equivalent [Upgraded from ‘AA(so)’ Equivalent]
Assignment of Receivables – February 2006 Acquirer’s Payouts 5548.2 AAA(so) Equivalent (Reaffirmed)
Liquidity Facility 81.0 AAA(so) Equivalent (Reaffirmed)
Second Loss Facility 174.0 AAA(so) Equivalent [Upgraded from ‘AA(so)’ Equivalent]
Retail Trust August 2006 Series A4 78.6 AAA(so) (Reaffirmed)
Series A5 70.4 AAA(so) (Reaffirmed)
Liquidity Facility 48.8 AAA(so) Equivalent (Reaffirmed)
Second Loss Facility 132.6 AA+(so) Equivalent [Upgraded from ‘A(so)’ Equivalent]

CRISIL has upgraded its credit opinion on the second loss facilities (SLFs) in the above-mentioned assignment transactions to ‘AAA(so)’ equivalent from ‘AA(so)’ equivalent. CRISIL has also upgraded its credit opinion on the SLF in the above-mentioned securitisation transaction to ‘AA+(so)’ equivalent from ‘A(so)’ equivalent. The credit opinion on the senior payouts and liquidity facilities, in all the three transactions, has been reaffirmed at ‘AAA(so)’ equivalent. These transactions are backed by receivables from car, two-wheeler, and commercial vehicle loans originated by HDFC Bank Ltd (HDFC Bank).

The upgrades are driven by an improvement in the coverage enjoyed by the SLFs on the back of strong collection performance, low utilisation of credit enhancement, and significant pool amortisation (refer Table – Performance summary of pools). The credit opinion on the SLFs is based on an ultimate payment structure: it should be paid off by the legal final maturity date of the transaction.

CRISIL believes that the available first loss facility provides adequate coverage from potential losses; the level of coverage provided is commensurate with the revised ratings. Continued strong collection performance of ‘Retail Trust August 2006’ could lead to a further upward movement in the rating for the SLF present in the transaction.

About the Bank
Incorporated in 1995, HDFC Bank offers a wide range of banking services, including commercial and transactional banking on the wholesale front, and branch banking on the retail front, with a focus on car finance, personal loans, commercial vehicle finance, and credit cards. The bank acquired Centurion Bank of Punjab in May 2008 and opened its first international branch in Bahrain in November 0408. For the quarter ended June 30, 2009, the bank reported a profit after tax of Rs.6.1 billion.

Table: Performance summary of pools (data as after September 2009 payouts)
Parameter Assignment of Receivables – December 2005 Assignment of Receivables – February 2006 Retail Trust August 2006
Asset Class Car (79%) and Commercial Vehicle (21%) Car (65%) and Two Wheeler (35%) Car (43%), Commercial Vehicle (27%) and Two Wheeler (30%)
Months post securitisation 44 41 37
Amortisation 95.38% 96.72% 97.42%
Cumulative collection ratio 99.24% 99.16% 98.34%
90+dpd 0.8% 0.8% 1.6%
First Loss Utilisation 3.8% 0.0% 20.4%
Second Loss Utilisation 0.0% 0.0% 0.0%
Total cash collateral as a percentage of future payouts/principal Fully Covered Fully Covered Fully Covered
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November 04, 2009