| Transaction |
Details |
Original Amount (Rs. Million) |
Revised Amount (Rs. Million) |
Remaining Tenure (Months)# |
Credit Opinion |
| Mortgage Loan Pool March 2007 - III |
Acquirer Principal |
2492.2 |
376 |
‘AAA(so)’ equivalent [Reaffirmed] |
| Second Loss Credit Enhancement |
429.7 |
344.9 |
‘BBB(so)’ equivalent [Assigned] |
| First Loss Credit Enhancement |
84.8 |
Unrated |
| Mortgage Loan Pool June 2007 – IV |
Acquirer Principal |
1435.5 |
346 |
‘AAA(so)’ equivalent [Reaffirmed] |
| Second Loss Credit Enhancement |
295.1 |
221.9 |
‘BBB(so)’ equivalent [Assigned] |
| First Loss Credit Enhancement |
73.2 |
Unrated |
| Mortgage Loan Pool June 2007 - V |
Acquirer Principal |
2322.6 |
335 |
‘AAA(so)’ equivalent [Reaffirmed] |
| Second Loss Credit Enhancement |
377.2 |
284.3 |
‘BBB(so)’ equivalent [Assigned] |
| First Loss Credit Enhancement |
92.9 |
Unrated |
| Mortgage Loan Pool July 2007 - VI |
Acquirer Principal |
1096.0 |
262 |
‘AAA(so)’ equivalent [Reaffirmed] |
| Second Loss Credit Enhancement |
226.9 |
171.0 |
‘BBB(so)’ equivalent [Assigned] |
| First Loss Credit Enhancement |
55.9 |
Unrated |
# Indicates remaining tenure of the pool as of December 2010 payouts. The actual tenure will depend on the level of prepayments in the pool, change in the tenure of the loans, and the exercise of the repurchase/clean up call option.
CRISIL has assigned its ‘BBB(so)’ credit opinion to the second loss credit enhancements, and reaffirmed its ‘AAA(so)’ credit opinion on the acquirer principals, of four mortgage pools originated by Standard Chartered Bank (SCB; rated ‘AAA/Negative/P1+’ by CRISIL). SCB, in its capacity as the credit enhancement provider, proposes to split the original credit enhancement into first loss and second loss credit enhancements.
The credit opinions on the second loss credit enhancements are based on the credit quality of the pool cash flows, the performance of the pool till date, SCB’s origination and servicing capabilities, the payment mechanism, soundness of the legal structure, and the credit protection provided by the transaction’s first loss credit enhancement. CRISIL has also factored in the basis risk arising from the difference between the pool yield and the acquirer yield, both of which can change because of movements in the benchmark retail prime lending rates (RPLRs) of SCB and the acquirer.
The performance of the pools has been strong so far, with the cover provided by the first and second loss credit enhancements being commensurate with the reaffirmed ratings.
firmed ratings.
Pool Performance Summary (as of December 2010 Payout Report)
 |
| - |
Mortgage Loan Pool March 2007 - III |
Mortgage Loan Pool June 2007 – IV |
Mortgage Loan Pool June 2007 – V |
Mortgage Loan Pool July 2007 – VI |
| Asset Class |
Residential housing loan receivables |
| Months After Securitisation |
32 |
29 |
29 |
29 |
| Amortisation |
49.5% |
45.7% |
43.1 % |
41.8% |
| Weighted Average residual maturity (months) |
87.0 |
83.0 |
88.7 |
86.0 |
| Credit Enhancement Stipulated at the time of Securitisation (percentage of initial pool principal) |
17.2% |
20.6% |
16.2% |
20.7% |
| Credit Enhancement Utilisation |
0.0% |
0.0% |
0.0% |
0.0% |
| Cumulative Collection Ratio (CCR) |
99.3% |
99.6% |
99.4% |
99.3% |
| Average Monthly Collection Ratio (MCR) over last three months |
98.7% |
99.7% |
98.9% |
98.8% |
| 90+ Delinquency # |
1.2% |
0.5% |
1.0% |
0.6% |
| 180+ Delinquency ^ |
1.1% |
0.5% |
0.7% |
0.6% |
# 90+ delinquency = (Overdues + Principal outstanding of contracts overdue for more than 90 days) ÷ Initial pool principal
^ 180+ delinquency = (Overdues + Principal outstanding of contracts overdue for more than 180 days) ÷ Initial pool principal
About SCB’s Indian Operations
SCB has completed more than 150 years of operations in India; it is the second largest foreign bank in India in terms of asset size – as on March 31, 2009, SCB had total assets of Rs.975 billion. The bank offers a wide range of services through its 90 branches (including 7 branches of American Express Bank) across the country. SCB’s advances grew by about 12.5 per cent to Rs.375 billion during 2008-09 (refers to financial year, April 1 to March 31).
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Media Contacts
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Analytical Contacts
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CRISIL Rating Desk
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Mitu Samar
Head, Market Development & Communications
CRISIL Limited
Tel: +91-22- 3342 1838
Email: msamar@crisil.com
Tanuja Abhinandan
Market Development & Communications
CRISIL Limited
Tel: +91-22- 3342 1818
Email: tabhinandan@crisil.com
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Ajay Dwivedi
Director - CRISIL Ratings
Tel: +91-22-3342 3097
Email: adwivedi@crisil.com
Prasad Koparkar
Head - CRISIL Ratings
Tel: +91-22-3342 3137
Email: pkoparkar@crisil.com
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Tel: +91-22-3342 3047 / 3342 3064
Email: CRISILratingdesk@crisil.com
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Note:
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CRISIL Complexity Levels are assigned to various types of financial instruments. The CRISIL Complexity Levels for the instruments featured in this document are available on www.crisil.com/complexity-levels. Investors are advised to refer to the CRISIL Complexity Levels for instruments that they propose to invest in. Investors can also call the CRISIL Helpline at +91 22 3342 3047 / + 91 22 3342 3064 with queries on specific instruments.
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CRISIL is India's leading Ratings, Research, Risk and Policy Advisory company. CRISIL leverages its core strengths of credibility and analytical rigour to deliver opinions and solutions, that help clients mitigate and manage their business and financial risks, make markets function better, and help shape public policy. For more information, visit www.crisil.com.
Disclaimer: A CRISIL rating reflects CRISIL's current opinion on the likelihood of timely payment of the obligations under the rated instrument and does not constitute an audit of the rated entity by CRISIL. CRISIL ratings are based on information provided by the issuer or obtained by CRISIL from sources it considers reliable. CRISIL does not guarantee the completeness or accuracy of the information on which the rating is based. A CRISIL rating is not a recommendation to buy, sell, or hold the rated instrument; it does not comment on the market price or suitability for a particular investor. All CRISIL ratings are under surveillance. Ratings are revised as and when circumstances so warrant. CRISIL is not responsible for any errors and especially states that it has no financial liability whatsoever to the subscribers / users / transmitters / distributors of this product. CRISIL Ratings’ rating criteria are generally available without charge to the public on the CRISIL public web site, www.crisil.com. For the latest rating information on any instrument of any company rated by CRISIL, please contact CRISIL RATING DESK at CRISILratingdesk@crisil.com, , or at (+91 22) 3342 3000.
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