>STRUCTURED FINANCE (FITCH RATINGS)

Indian ABS Performance Report: July 2009

Summary
This report provides analysis on the performance of the 21 Indian ABS transactions currently under surveillance. The key performance trends for each individual asset type are highlighted and detailed performance data for each Fitch‐rated transaction are provided. The ongoing analysis of the performance of these transactions forms an essential part of Fitch’s rating process. Fitch Ratings’ surveillance team analyses both the structure and the receivables’ performance to evaluate the transaction in comparison to the agency’s initial expectations and to
determine future trends.

As anticipated in the Fitch Outlook report entitled “Indian Structured Finance report‐2008 Review and 2009 Outlook”, dated 4 February 2009, the performance of most asset classes has deteriorated. In particular, performance measures, such as current collection efficiency and overdue collection efficiency, have worsened. Fitch notes that the relative decline in overdue collection efficiency has been higher than the decline in current collection efficiency. However, given the level of amortisation and available credit enhancement cover ‐ in the range of 4x and 6x ‐ the ratings Outlook for the majority of the rated series is Stable.

Performance by Asset Class

Commercial Vehicle Loans
Fitch currently monitors the performance of 15 ABS transactions backed by commercial vehicle (CV) loans. The collection efficiency of CV loans has shown a declining trend since July 2008. The performance of heavy commercial vehicle (HCV) and medium heavy commercial Vehicle (MHCV) loans has been more susceptible to the recent downturn than other sub‐categories of CV, such as light commercial vehicles (LCV) and tractors.

Retail Auto
Fitch currently monitors the performance of three ABS transactions backed by auto loans (see pages 29 to 34). All three transactions had amortised significantly by Q308, to the extent that the deterioration in current collection efficiency of these transactions has been limited; in contrast, the overdue collection efficiency has deteriorated very significantly and is currently around 6.0%.

To see full report: STRUCTURED FINANCE