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TEXT-Fitch rates Indian Receivable Trust February 2013 A 'BBB-(EXP)sf';outlook stable

(The following statement was released by the rating agency)

Feb 27 -Fitch Ratings has assigned Indian Receivable Trust February 2013 A pass-through certificates (PTCs) expected rating as follows:

INR2,984.8m Series A PTCs due March 2017: 'BBB-(EXP)sf'; Stable Outlook

The final ratings are contingent upon the receipt of final documents conforming to information already received.

The transaction is a static securitisation of commercial vehicles loans denominated in Indian rupee (INR) originated by Tata Motors Finance Limited (TMF) which is also the servicer.

Key Rating Drivers:

The ratings are based on credit enhancement (CE) of 14.6% of the initial principal balance, the origination, servicing, collection and recovery expertise of TMF, as well as the legal and financial structure of the transaction. The ratings address timely payment of interest and principal in accordance with the payout schedule in the transaction document.

The CE will comprise a first loss credit facility (FLCF) and a second loss credit facility (SLCF). The FLCF is expected to be in the form of fixed deposits provided by TMF - held with a bank rated at least 'BBB-' and 'F3' by Fitch - in the name of the originator with a lien marked in favour of the trustee, IDBI Trusteeship Services Limited. The SLCF is expected to be initially in the form of fixed deposits provided by TMF and subsequently be replaced by an irrevocable & unconditional guarantee provided by a bank rated at least 'BBB-' and 'F3' by Fitch.

Rating Sensitivities:

Fitch assessed the base case default rate, recovery rate, time to recovery and prepayment rate based on the originator's historical data. These factors, together with the portfolio's weighted average yield, were stressed in Fitch's ABS cashflow model to assess whether the transaction CE level was sufficient for the current rating. Fitch also assessed the commingling risk of the servicer and the liquidity sufficiency for timely payment of the PTCs. The transaction is not exposed to interest rate or foreign currency risks since both the assets and the PTCs are fixed-rate and are denominated in INR. Fitch also conducted rating sensitivity tests. An increase in the base-case default rate by 30%, while keeping other risk factors constant, may result in a two-notch downgrade of the PTCs to 'BB(EXP)sf'.

The collateral pool to be assigned to the trust at par had an aggregate outstanding principal balance of INR2,984.8m and consisted of 6,335 loans as of 31 January 2013. The collateral pool has a weighted average (WA) loan-to-value ratio of 89.5%, and a WA seasoning of 9.4 months. The pool consists solely of new commercial vehicle loans. Of the loans 24% are in the 1-30 days past due bucket of which only 8.4% had overdue amounts representing over 5% of the monthly instalment. At closing, TMF will assign commercial vehicles loans to the trust, which in turn will issue the PTCs. The PTCs proceeds will be used to fund the purchase of the underlying loans.