Sansar Trust Nov 2023's proposed pool change has no impact on rating, affirms Fitch Ratings

New Delhi [India], January 6 : Fitch Ratings has clarified that the proposed changes to the pool composition of Sansar Trust Nov 2023 will not impact its current 'BBB-(EXP)sf' rating. The credit enhancement (CE) available remains sufficient to absorb potential stresses, according to Fitch Ratings.
According to Fitch Ratings, the proposed alterations to the transaction's pool were put forth by the involved parties, and the revised pool is a subset of the initially proposed one.
Despite the reduction in size of the series A fixed-rate pass-through certificates (PTCs) from Rs 7.8 billion to Rs 5.6 billion and an extension of the first payment date by one month, the rating impact is deemed negligible.
Sansar Trust Nov 2023's issuance comprises notes backed by commercial-vehicle loans originated by Shriram Finance Limited (SFL, BB/Stable), which also serves as the transaction's servicer.
The collateral pool's updated composition reveals a moderately seasoned portfolio, spanning loans from 19 Indian states.
The outstanding principal balance stood at Rs 5.6 billion as of the December 31, 2023, cut-off date, encompassing 13,855 loans to 13,254 obligors.
Notably, the maximum obligor concentration remains below 0.1 per cent. Fitch notes that the granularity of the updated pool aligns with typical Fitch-rated Indian ABS transactions.
Key statistics for the collateral pool include a weighted average original loan/value ratio of 66.8 per cent, a weighted average seasoning of 10.1 months, and a weighted average yield of 14.7 per cent.
As of December 31, 2023, all loans in the securitized pool were current.
Fitch asserts that the portfolio's characteristics align with its Consumer ABS Rating Criteria, given that all loans are provided to individuals.
Fitch Ratings maintains that its assumptions, as initially applied for the expected rating, remain unchanged. The agency updated its cash flow analysis to reflect the adjustments in the asset and liability profile resulting from the proposed pool changes.
Parameters such as the default rate, default timing, prepayment rate, recovery rate, and time to recovery, along with the portfolio's weighted average yield, were stressed to assess the adequacy of cash flow for timely interest payments and ultimate principal repayment at the existing rating level.
Fitch includes a commingling exposure of 3.9 per cent of the closing principal balance in its assumptions.
The proposed external CE of 10 per cent of the closing pool balance remains unchanged from the expected rating.
This affirmation by Fitch Ratings provides clarity and stability to investors and stakeholders involved with Sansar Trust Nov 2023, underlining the resilience of the structure despite proposed changes.