OREANDA-NEWS. Fitch Ratings has assigned final ratings to the pass-through certificates (PTCs) from Platinum Trust February 2016. The issuance consists of notes backed by commercial-vehicle and tractor loans originated by Cholamandalam Investment and Finance Company Limited (CIFCL), which also acts as the servicer for the transaction. The ratings are as follows:

Platinum Trust February 2016

INR5.5bn Series A notes due September 2020: 'BBB-sf'; Stable Outlook

The rating addresses timely payment of interest and principal in accordance with the payout schedules in the transaction documents. The scheduled payouts will be net of distribution taxes on the income distributed by the trust to the PTC holders.

KEY RATING DRIVERS

The rating and Outlook reflect adequate external credit enhancement (CE) of 14.0% of the initial principal balance, and CIFCL's origination practices, servicing experience and expertise in collection and recovery of commercial-vehicle and tractor loans in India. The transaction is supported by a sound legal and financial structure.

The credit enhancement (CE) comprises a first-loss credit facility (FLCF) and a second-loss credit facility (SLCF). The FLCF is in the form of fixed deposits with IDBI Bank Ltd. (BBB-/Stable/F3) in the name of the originator with a lien marked in favour of the trustee. The SLCF is an unconditional and irrevocable guarantee provided by Axis Bank Ltd. (BBB-/Stable/F3).

The CE is deemed sufficient to cover the servicer's commingling risks, payment-interruption risks, and the liquidity for timely payment of the PTCs.

Fitch affirmed India's Long-Term Foreign - and Local-Currency Issuer Default Ratings at 'BBB-' in July 2016. Fitch expects India's real GDP growth to pick up to 7.7% in the financial year ending 31 March 2017 (FY17) and 7.9% in FY18.

Fitch has factored this macroeconomic outlook into its analysis and its base-case default-rate assumptions. The default rate, default timing, prepayment rate, recovery rate and time to recovery, together with the portfolio's weighted-average yield, were stressed in Fitch's ABS cash flow model to assess the sufficiency of cash flow for timely payment at the current rating level.

No interest-rate or foreign-currency risks exist in the transaction, since both the assets and the PTCs are fixed-rate and are denominated in rupees.

The transaction consists of a seasoned portfolio, with loans from 18 Indian states. The collateral pool will be assigned to the trust at par, and it had an aggregate outstanding principal balance of INR5.5bn and consisted of 14,022 loans to 13,914 obligors as of 29 February 2016. The collateral pool had a weighted average (WA) original loan-to-value ratio of 81.8%, a WA seasoning of 10.7 months and a WA yield of 14.9%. As of the cut-off date, loans in the securitised pool were mostly current, with no loans more than 60 days past due. Fitch gave some credit to WA seasoning of 10.7 months of the underlying loans.

RATING SENSITIVITIES

Based on Fitch's sensitivity analysis, Fitch may consider downgrading the rating on the transaction to 'BBsf' if the base-case default rate increases by 30%, or to 'BB+sf" if the base-case recovery rate declines by 30%. The sensitivity analysis assumes that the CE and other factors remain constant.

The rating may be upgraded if the ratings of the credit collateral banks holding the FLCF and SLCF deposits and the guarantee bank providing the SLCF are upgraded to above 'BBB-' and the portfolio performance remains sound, with adequate CE that can withstand stress at above a 'BBB-sf' rating scenario.

At closing, CIFCL assigned commercial-vehicle and tractor loans to the issuer, which in turn issued the PTCs. The PTC proceeds were used to fund the purchase of the underlying loans.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms ("RW&Es") that are disclosed in the offering document and which relate to the underlying asset pool is available by accessing the appendix referenced under Related Research below. The Appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class, as detailed in the Special Report Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions, dated 31 May 2016.

DATA ADEQUACY

Fitch conducted a file review of 20 sample loan files focusing on the underwriting procedures conducted by CIFCL compared to CIFCL's credit policy at the time of underwriting. Fitch has checked the consistency and plausibility of the information and no material discrepancies were noted that would have an impact on Fitch's rating analysis.

Fitch reviewed the results of the agreed-upon procedures (AUP) conducted on the portfolio. The AUP reported no material errors that would affect Fitch's rating analysis.

Included as an Appendix to the report are a description of the representations, warranties, and enforcement mechanisms.