MBS Pools Rated by ICRA :- Report On Performance till June 2010

STRUCTURED STRUCTURED FINANCE FINANCE 

ICRA RATING FEATURE 

September 2010 

MBS POOLS RATED BY ICRA 

Report on Performance till June 2010

Analytical Contacts 

Mumbai 

Kalpesh Gada 

Head—Structured Finance 

91 22 30470013 

kalpesh@icraindia.com 

Bangalore 

Remika Agarwal 

Senior Analyst 

91 80 43326418 

remikaa@icraindia.com 

Website 

www.icra.in

ICRA Rating Feature 

MBS Pool’s Performance 

CONTENTS 

Introduction ......................................................................................................................... 4 

Rating Actions ..................................................................................................................... 5 

Synopsis of MBS Pools Rated by ICRA ............................................................................. 6 

Users’ Guide ........................................................................................................................ 7 

Deutsche Postbank Home Finance Limited .................................................................... 11 

Bank of Baroda ................................................................................................................. 15 

Canfin Homes Limited ...................................................................................................... 17 

Cholamandalam Investment and Finance Company Limited ........................................ 19 

HDFC Limited .................................................................................................................... 23 

ICICI Bank Limited ............................................................................................................ 31 

IDBI Limited ....................................................................................................................... 36 

Standard Chartered Bank ................................................................................................. 38 

Sundaram BNP Paribas Home Finance Limited ............................................................. 45 

Annexure I: Key Performance Indicators of MBS Transactions .................................... 47 

Annexure II: ICRA Rating Scale ....................................................................................... 50 

ICRA - Special Comments Released ................................................................................ 51 

ICRA Rating Services www.icra.in Page 3



1. Introduction 

Till date ICRA has rated 33 Mortgage Backed Securitisation (MBS) 1 transactions originated by various banks and 

housing finance companies (HFCs), with the total rated amount exceeding Rs. 84 billion and all the transactions 

involving either loans given to individuals for acquiring residential property or loans against property. 

The MBS transactions rated by ICRA are closely monitored and regular surveillance is carried out for these 

transactions. The key pool performance indicators that ICRA looks at are the collection efficiency ratios, the 

delinquency profiles of the securitised pools, and the rates of foreclosure of contracts. Another crucial parameter 

is the interest spread. In the case of MBS, the underlying pool is likely to get re-priced, while the rated instrument 

may offer a fixed yield or may be linked with a different benchmark. Besides these pool-specific parameters, ICRA 

takes into account factors such as maintenance of credit quality of the Originator and performance of the overall 

portfolio of the Originator during its surveillance of the rated pools. An essential component of the regular 

monitoring of ratings assigned under MBS issues is evaluation of the adequacy of the available credit 

enhancement for the balance tenure of the rated instruments. Besides these factors, ICRA also takes into 

consideration the required break-even collection efficiency ratio to meet future investor payouts in relation to the 

cumulative collection efficiency in the pool till date. 

ICRA publishes a synopsis of the performance of the MBS pools rated by it on a quarterly basis. This report 

presents an overall analysis of the performance of the ICRA-rated MBS pools active between April 2010 and June 

2010, including a summary on each. The format of the summary and the definition/interpretation of the key 

performance indicators are discussed in the ―Users’ Guide‖ section. The section titled ―Key Performance 

Indicators of MBS Transactions‖ features a discussion on the various important indicators monitored by ICRA. 

The MBS pools rated by ICRA have demonstrated a strong performance with high collection from the underlying 

pools and low delinquency build-up. Subsequently the usage of credit enhancement has been low in most 

transactions, while the cash collateral utilisation has been nil in many pools and low in some others. There has 

been no repossession of the underlying contracts in any of the pools as very few contracts have moved to higher 

delinquency buckets in these pools. 

The prepayment rate observed in the MBS pools has been high, leading to faster amortisation of the pools and 

hence significant build-up of cash collateral in proportion to the amount outstanding against the rated instrument. 

Moreover, we have noted that for most Originators, the major portion of the prepayments are of the nature of full 

prepayment leading to pre-closure of the underlying loans and only a small portion is of the nature of part 

prepayments. The strong performance of the MBS pools ensures that adequate credit enhancement cover is 

available for the balance tenure of the transactions, which is a source of comfort for the investors in these 

transactions. Consequently, none of the ratings assigned to PTCs / Assignee payouts under any of these 

transactions has been downgraded till date. 

1 For the purpose of this report, “MBS” includes bilateral assignment of pool of retail loans, on a rated basis 




New Ratings Assigned 

2. Rating Actions 

Between 10 June 2010 and 9 September 2010, ICRA rated two pools belonging to two Originators. The list of 

fresh ratings assigned along with some of their initial features is presented in Table 1 below. 

Table 1: New Ratings Assigned 

No. 

Originator Name / Issue Name 

Commen 

cement 

Month 

Structure 

Initial Pool 

receivables 

/ principal 

Initial 

Rated 

Instrument 

Rs. Million 

Rs. Million 

Cholamandalam Investment and Finance Company Limited 

1 CIFCL Mortgage Loan Pool D.A. Jun-10 Jun-10 Par 1659.9 1659.9 

Reliance Home Finance Private Limited 

2 ILSS 4 Trust 2011 Jul-10 Par 1375.7 1375.7 

Ratings Reaffirmed 

Between 10 June 2010 and 9 September 2010, ICRA has reaffirmed the ratings of the instruments provided under 

the transactions enlisted in the table below. 

Table 2: Surveillance concluded between June 10, 2010 and September 09, 2010 

No. Issue Name Instrument Rating Action 

Amortisation of 

instrument 

1 CIFCL Mortgage Loan Pool D.A. Mar-09 Assignee Payouts Retained at LAAA(SO) 28.4% 

2 CIFCL Mortgage Loan Pool D.A. May-09 Assignee Payouts Retained at LAAA(SO) 32.3% 

3 Indian RMBS 2003 Trust PTC Series A Retained at LAAA(SO) 87.1% 

4 Nivas Trust Series II PTC Series A Retained at LAAA(SO) 78.3% 

5 Aawas Trust Series 8 PTC Series A2 Retained at LAAA(SO) 12.7% 

6 Aawas Trust Series 8 PTC Series B Retained at LAAA(SO) N.A. 

7 Aawas Trust Series 8 PTC Series IO Retained at LAAA(SO) N.A. 

8 Aawas Trust Series 5 PTC Series A2 Retained at LAAA(SO) 16.4% 

9 Aawas Trust Series 5 PTC Series B Retained at LAAA(SO) N.A. 

10 Aawas Trust Series 5 PTC Series IO Retained at LAAA(SO) N.A. 

11 Mortgage Loan Pool Trust 2005 Series I Series A Contributions Retained at LAAA(SO) 84.7% 

12 Mortgage Loan Pool Trust 2006 series II PTC Series A Retained at LAAA(SO) 62.8% 

13 Mortgage Loan Pool Mar-07 III Purchaser Payouts Retained at LAAA(SO) 57.3% 

14 Mortgage Loan Pool Mar-08 Acquirer Payouts Retained at LAAA(SO) 52.0% 

15 Mortgage Loan Pool Jun-08 Acquirer Payouts Retained at LAAA(SO) 38.2% 

16 Mortgage Loan Pool Aug-08 Acquirer Payouts Retained at LAAA(SO) 39.0% 

ICRA continuously monitors the performance of all transactions rated by it and takes rating actions as and when 

required. Any rating action taken by ICRA is based on the performance of the pools and the availability of credit 

enhancement relative to ICRA’s expectations. 




Table 3: Pools live as on September 9, 2010 

3. Synopsis of MBS Pools Rated by ICRA 

No. 

Originator Name / Issue Name 

Commencement 

Month 

Structure 

Initial Pool 

receivables 

/ principal 

Initial 

Rated 

Instrument 

Rs. Million 

Rs. Million 

Deutsche Postbank Home Finance Limited 

1 Deutsche Postbank Home Finance Ltd (2004) MBS 1 Apr-04 Premium 566.2 520.4 

2 Deutsche Postbank Home Finance Ltd (2005) MBS 1 Jul-05 Par 1,125.0 1,068.6 

3 Deutsche Postbank Home Finance Ltd (NHB SPV Trust HFC BH5) Jul-06 Par 989.4 931.4 

Canfin Homes Limited 

4 Canfin Homes Ltd (2003) MBS 1 Jun-03 Par 614.3 544.5 

Cholamandalam Investment and Finance Company Limited 

5 CIFCL Mortgage Loan Pool D.A. Mar-09 Mar-09 Par 1620.3 1620.3 

6 CIFCL Mortgage Loan Pool D.A. May-09 May-09 Par 977.1 977.1 

7 CIFCL Mortgage Loan Pool D.A. May-09 Jun-10 Par 1659.9 1659.9 

HDFC Limited 

8 MBS 2002 Series III Trust Sep-02 Par 1,084.8 1,082.6 

9 HDFC Mortgage Loan Pool D.A. Jul-09 Jul-09 Par 2,140.3 2,140.3 

10 HDFC Mortgage Loan Pool D.A. Jul-09 II Jul-09 Par 2,653.8 2,653.8 

11 HDFC Mortgage Loan Pool D.A. Mar-10 I Jan-10 Par 1,819.5 1,819.5 

12 HDFC Mortgage Loan Pool D.A. Mar-10 II Jan-10 Par 1,928.5 1,928.5 

13 HDFC Mortgage Loan Pool D.A. Mar-10 III Jan-10 Par 6,142.4 6,142.4 

14 HDFC Mortgage Loan Pool D.A. Mar-10 IV Jan-10 Par 4,029.8 4,029.8 

ICICI Bank Limited 

15 Indian RMBS 2003 Trust Sep-03 Par 3,833.9 3,625.3 

16 Nivas Trust Series II Feb-04 Par 2,084.4 2,000.9 

17 Aawas Trust Series 8 Dec-05 Par 7,420.3 8,119.6 

18 Aawas Trust Series 5 Jan-06 Par 7,173.9 7,727.2 

IDBI Limited 

19 Old Palasia RMBS Trust Series I Feb-04 Par 818.9 460.0 

Reliance Home Finance Private Limited 

20 ILSS 4 Trust 2011 Jul-10 Par 1375.7 1375.7 

Standard Chartered Bank 

21 Mortgage Loan Pool Trust 2005 Series I Jan-06 Par 945.5 945.5 

22 Mortgage Loan Pool Trust 2006 series II Mar-06 Premium 4729.6 4729.6 

23 Mortgage Loan Pool Mar-07 III Mar-07 Par 2492.2 2492.2 

24 Mortgage Loan Pool Mar-08 Apr-08 Par 463.8 463.8 

25 Mortgage Loan Pool Jun-08 Jul-08 Par 1,003.4 1,003.4 

26 Mortgage Loan Pool Aug-08 Sep-08 Par 508.5 508.5 

Sundaram BNP Paribas Home Finance Limited 

27 SHFL Housing Finance Trust Aug-04 Aug-04 Par 632.1 589.3 

Table 4: Pools Matured between June 10, 2010 and September 09, 2010 

1 Bank of Baroda Mar-03 MBS 1 Jan-03 Par 771.6 596.5 




4. Users’ Guide 

The standard format for presenting the pool performance details is given below. This is followed by a list of 

definitions of key terms used in this report, and a discussion on the interpretation of the key parameters analysed 

by ICRA for monitoring the performance of an MBS transaction. 

Issue Name: XYZ 

Trustee / PR: 

Issue details - Pool 

Issue details - PTC 

1(a) Commencement Month 2(a) PTC Series Amount Amort period Avg. Maturity Yield 

1(b) Transaction Structure PTC Series A1 

1(c) Pool Principal (Rs. million) PTC Series A2 

1(d) Number of Contracts PTC Series P 

1(e) Fixed : Floating Interest Rate Rated PTC Principal 

1(f) Pool Door to Door Tenure (months) Credit / Liquidity Support (% of pool principal) 

1(g) Average Seasoning (months) 2(b) Subordination during tenure 

1(h) Average Pool Amortisation 2(c) Subordination post tenure 

1(I) Average Loan to Value 2(d) Excess Interest Spread 

1(j) Pool IRR 2(e) Cash Collateral 

1(k) Top 10 obligors: top state (%of pool) 2(f) Liquidity Facility 

Pool performance till ―Month‖ ―Year‖ 

Details of balance pool / PTCs 

3(a) Months post securitisation 4(a) Outstanding Pool Principal (Rs. Million) 

3(b) Amortisation (% of initial pool principal) 4(b) Pool IRR 

Collections 4(c) Balance Tenure of Pool (months) 

3(c) Cumulative Collection Efficiency Amount Avg. Maturity Yield 

3(d) Cumulative Collection to senior PTC Payouts 

Ageing 

3(e) Loss cum delinquency (% of pool principal) 

90+dpd :180+ dpd 

3(f) Delinquency Rate (90+: 180+) 

PTC Series A1 

PTC Series A2 

PTC Series P 

Rated PTC Principal 

Credit / Liquidity Support (% of pool principal) 

Prepayments 4(d) Subordination during tenure 

3(g) Single Monthly Mortality Rate 4(e) Subordination post tenure 

3(h) Cumulative Prepayment Rate 4(f) Excess Interest Spread 

Credit / Liquidity enhancement utilisation 4(g) Cash Collateral 

3(i) Cumulative Credit Enhancement Utilisation 4(h) Liquidity Facility (% of pool principal) 

3(j) Cumulative Cash Collateral Utilisation 4(i) Break-even collection efficiency 

Collection Efficiency 

100% 

98% 

96% 

94% 

92% 

1 17 33 49 65 

Cumulative Collection Efficiency 

Pool & PTC Yield 

20% 

15% 

10% 

5% 

0% 

1 17 33 49 65 

Pool IRR PTC yield 

Credit Enhancement Utilisation 

12% 

9% 

6% 

3% 

0% 

1 17 33 49 65 

Cumulative CE Utilisation 

Pool Amortisation 

1.0 

0.8 

0.6 

0.4 

0.2 

0.0 

1 17 33 49 65 

Pool Factor Amortisation factor 




Definitions 

Table 5: Initial Pool Details 

1(a) Commencement Month The month from which the pool receivables have been transferred to the 

Special Purpose Vehicle (SPV) 

1(b) Transaction Structure Whether the pool receivables were transferred to the SPV at their par 

value or at a premium 

1(c) Pool Principal The total initial pool principal; in the case of ―premium‖ deals, pool 

receivables are also mentioned 

1(d) Number of Contracts The number of contracts in the pool 

1(e) Fixed : Floating rate The share of fixed rate loans and floating rate loans in the pool 

1(f) Pool Door to Door Tenure The number of months for which the pool has outstanding cash flows 

starting from the commencement month 

1(g) Average Seasoning Weighted average seasoning of the pool (in months) as on cut-off date 

1(h) Average Pool Amortisation Weighted average amortisation of the pool as on cut-off date 

1(I) Average LTV Weighted average Loan to Value (LTV) of the pool as on cut-off date 

1(j) Pool IRR Weighted average IRR or Average interest rate 

1(k) 

Top 10 Obligors: & Top 

State 

The share of top 10 obligors in the pool expressed as a percentage of total 

pool principal: and the share of the single largest state in the pool 

expressed as a percentage of the total pool principal 

Table 6: Initial PTC Details 

2(a)(iii) Amortisation period 

(months) 

The period corresponding to which the pool principal or cashflows are 

allocated to the particular PTC Series 

2(a)(iii) Average Maturity (years) The weighted average maturity of the particular PTC Series expressed in 

terms of months 

2(b) 

2(c) 

2(d) 

2(e) 

2(f) 

Subordination during 

tenure(% of pool principal 

or receivables) 

Subordination post 

tenure(% of pool principal 


EIS (% of pool principal) 

CC (% of pool principal) 

Liquidity facility (% of pool 

principal) 

The total amount of subordinate principal or receivables during the 

tenure of senior PTCs divided by the total pool principal or receivables 

The total amount of subordinate principal or receivables post completion 

of the tenure of senior PTCs divided by the total pool principal or 

receivables 

Excess Interest Spread EIS = [Pool cashflows minus senior PTC 

cashflows minus subordination] divided by pool principal 

Cash Collateral (CC) is the total amount of credit protection available in 

the form of cash divided by the initial pool principal 

Facility meant for meeting short-term delays in collections i.e., for 

meeting collection shortfalls in the pool pertaining to contracts that are 

upto 90 days overdue 




Table 7: Pool Performance 

3(a) Month Post Securitisation Months elapsed after securitisation of the pool 

3(b) Cumulative Collection 

Efficiency (CCE) 

3(c) Cumulative collection to 

cumulative senior PTC 

Payouts 

Cumulative collections on the pool/cumulative billings 

Total collections done on the pool starting from the commencement month 

to the month till which the pool performance has been presented divided by 

the total senior PTC payouts 

For this purpose both the numerator and the denominator exclude the 

amount on account of prepayments 

3(d) Loss-cum-delinquency [Principal outstanding on contracts that are more than 90 days past due (or 

180 days past due) + crystallised loss booked to date] divided by initial 

pool principal 

3(e) Delinquency rate Future Principal outstanding on contracts that are more than 90 days past 

due (or 180 days past due) divided by total principal outstanding on pool 

contracts 

3(f) 

Single Monthly Mortality 

rate 

1-(1-y n) 1/ n 

Where y n refers to the cumulative prepayment till month n divided by the 

opening pool principal 

3(g) Cumulative Prepayment 

rate 

Principal outstanding at the time of prepayment on contracts prepaid to 

date divided by the initial pool principal in the case of par transactions 

3(h) Cumulative credit (CC) 

enhancement utilisation 

U 

n 

( SC 

m 

SP 

m 

) 

m 1 ( C Sm) 

Where 

SCm : Shortfall on account of collection in month m 

SPm : Shortfall on account of prepayment/repossession in month m 

C : Stipulated Cash Collateral at the beginning of the pool 

Sm : Subordination and EIS available in month m 

3(I) 

Cumulative Cash Collateral 

Utilisation 

[Cash collateral at the beginning of the transaction minus cash collateral 

balance at the end of the period] divided by the original cash collateral at 

the beginning of the transaction 

For this purpose, any reduction in the cash collateral owing to reset by 

ICRA is ignored 

Table 8: Details of Balance Pool/PTCs 

4(a) Outstanding Pool Principal Present pool principal outstanding 

4(b) Closing Pool IRR Weighted average IRR or Average interest rate for the remaining pool 

4(c) 

Balance tenure of the pool 

(months) 

Number of months for which the pool has outstanding cash flows as on the 

pool performance date 

4(d) Subordination during 

Tenure (% of pool principal 


Total amount of subordinate principal or receivables during the balance 


4(e) 

Subordination post tenure 

(% of pool principal or 

receivables) 

Total amount of subordinate principal or receivables post completion of the 





4(f) Excess Interest Spread (% 

of pool principal) 

Excess Interest Spread (EIS) = [Balance pool cash flows during tenure of 

senior PTCs minus balance senior PTC cash flows minus balance 

subordination during tenure of senior PTCs] divided by balance pool 

principal 

4(g) 

4(h) 

Cash Collateral (% of pool 

principal or receivables) 

Liquidity Facility (% of pool 

principal or receivables) 

Cash Collateral (CC) is the total amount of credit protection available in the 

form of cash divided by the balance pool principal or receivables 

Total amount of liquidity facility available divided by the balance pool 

principal or receivables 

4(I) Break-even collection 

efficiency 

Pool Factor 

Amortisation factor 

First Loss Facility (FLF) as 

% of Pool Principal 

Second Loss Facility (SLF) 

as % of Pool Principal 

First Loss Facility (% of 

Pool Principal) 

Second Loss Facility (% of 

Pool Payouts/Principal) 

[senior PTC payouts minus cash collateral available] divided by pool 

cashflow 

Actual remaining principal balance (after taking into account the scheduled 

amortisation and prepayments) at the end of month n divided by the initial 

pool principal 

Principal outstanding on a pool at the end of month n, as per its original 

amortisation schedule, i.e., without assuming any prepayments, divided by 

the initial pool principal. 

The portion of the total credit collateral that is to be utilised first in the event 

of a shortfall in meeting Senior PTC payouts as a % of initial pool principal. 

The portion of the total credit collateral that is to be utilised for meeting any 

shortfall in Senior PTC payouts after the FLF is fully utilised as a % of initial 

pool principal. 

Closing amount of First Loss Facility of cash collateral as a % of balance 


Closing amount of Second Loss Facility of cash collateral as a %of balance 


Abbreviations Used 

CC 

D.A. 

dpd 

ITCL 

ITSL 

n.a. 

N.A. 

NHB 

Cash Collateral 

Direct Assignment 

Days past due 

IL&FS Trust Company Limited 

IDBI Trusteeship Services Limited 

Not Available 

Not Applicable 

National Housing Bank 

! Conditional Rating 




Deutsche Postbank Home Finance Limited 

(Erstwhile BHW Home Finance Limited) 

3 pools 

Transaction Name Instrument Initial Rating Current Rating 

Deutsche Post bank Home Finance Ltd.(2004) 

MBS 1 

Deutsche Post bank Home Finance Ltd.(2005) 

MBS 1 

Deutsche Post bank Home Finance Ltd. 

(NHB SPV Trust HFC BH5) 

PTC Series A LAAA(SO)! LAAA(SO) 


PTC Series A1 LAAA(SO)! LAAA(SO) 




Issue Name: Deutsche Postbank Home Finance Ltd (2004) MBS 1 


Trustee: NHB 


Issue details - PTCs 

Commencement Month Apr-04 Amount Amort period Avg. Maturity Yield 

Transaction Structure Premium PTC Series A 520.4 1-129 3.4 years Fixed 

Pool Receivables (Rs. Million) 566.2 

Pool Principal (Rs. Million) 343.8 

Number of Contracts 1058 Rated PTC Receivables 520.4 

Fixed : Floating Interest Rate 40:60 

Pool Door to Door Tenure (months) 177 Credit / Liquidity Support (% of pool principal) 

Average Seasoning (months) 19.00 Subordination during tenure 0.00% 

Average Pool Amortisation 9.09% Subordination post tenure 12.11% 

Average Loan to Value 70.00% Excess Interest Spread N.A 

Pool IRR 11.34% Cash Collateral 28.53% 

Top 10 obligors: top state (%of pool) 5.80% 43.46% Liquidity Facility N.A 

Pool performance till June 2010 


Months post securitisation 82 Outstanding Pool Principal (Rs. Million) 45.4 

Amortisation (% of initial Pool Principal) 86.80% Pool IRR 12.92% 

Collections Balance Tenure of Pool (months) 124 

Cumulative Collection Efficiency 97.64% Amount Avg. Maturity Yield 

Cumulative Collection to senior PTC 

Payouts 

Ageing 

Loss cum delinquency (% of pool principal) 

103.51% PTC Series A 3.03 1.45 years Fixed 

90+ dpd : 180+ dpd 1.08% 1.02% Rated PTC Principal 3.03 

Delinquency Rate (90+: 180+) 3.65% 3.29% Credit / Liquidity Support (% of pool principal) 

Prepayments Subordination during tenure 0.00% 

Single Monthly Mortality rate 0.73% Subordination post tenure 33.17% 

Cumulative Prepayment Rate 45.15% Excess Interest Spread N.A. 

Credit / Liquidity enhancement utilisation Cash Collateral >100% 

Cumulative Credit Enhancement Utilisation 7.04% Liquidity Facility N.A. 

Cumulative Cash Collateral Utilisation 7.04% Break-even collection efficiency 24.21% 

PTC Yield 

Credit enhancement utilisation 

9% 

8% 

7% 

6% 

8% 

6% 

4% 

2% 

5% 

6 21 36 51 66 81 

PTC Yield 

0% 

6 21 36 51 66 81 




Issue Name: Deutsche Postbank Home Finance Ltd (2005) MBS 1 


Trustee: ITSL 



Commencement Month Jul-05 Amount Amort period Avg. Maturity Yield 

Transaction Structure Par PTC Series A 1,068.6 1-226 8.0 years Fixed 

Pool Principal (Rs. Million) 1,125.0 

Number of Contracts 2078 

Fixed : Floating Interest Rate 6:94 Rated PTC Principal 1,068.6 




Average Loan to Value 75.10% Excess Interest Spread 9.00% 


Top 10 obligors: top state (%of pool) 3.55% 38.30% Liquidity Facility N.A 




Amortisation (% of initial Pool Principal) 60.55% Pool IRR 12.22% 




Payouts 

Ageing 







Cumulative Prepayment Rate 39.53% Excess Interest Spread 37.04% 

Credit / Liquidity enhancement utilisation Cash Collateral 30.37% 



Collection efficiency 


100% 

95% 

90% 

85% 

80% 

3 11 19 27 35 43 51 59 

6% 

5% 

4% 

3% 

2% 

1% 

0% 

3 11 19 27 35 43 51 59 



PTC Yield 

10% 

9% 

8% 

7% 

6% 

5% 

3 11 19 27 35 43 51 59 

PTC Yield 


1.0 

0.8 

0.6 

0.4 

0.2 

3 11 19 27 35 43 51 59 




Issue Name: NHB SPV Trust HFC BH5 


Trustee: NHB 




Transaction Structure Par PTC Series A1 832.5 1-294 11.63 years Fixed 

Pool Principal (Rs. Million) 989.4 PTC Series A2 98.9 291-357 26.92 years Floating 


Fixed : Floating Interest Rate 2:98 Rated PTC Principal 931.4 






Top 10 obligors: top state (%of pool) 16.00% 35.10% Liquidity Facility N.A. 




Amortisation (% of initial pool principal) 60.06% Pool IRR 11.33% 




Payouts 

123.29% PTC Series A1 218.8 3.97 years Fixed 

Ageing PTC Series A2 39.3 n.a. 




Linked to 

Pool IRR 









100% 

3.0% 

99% 

2.4% 

98% 

1.8% 

97% 

1.2% 

96% 

0.6% 

95% 

9 15 21 27 33 39 45 

0.0% 

9 15 21 27 33 39 45 





13% 

12% 

11% 

10% 

9% 

8% 

9 15 21 27 33 39 45 

1.00 

0.85 

0.70 

0.55 

0.40 

0.25 

9 15 21 27 33 39 45 

Pool IRR 

PTC A1 Yield 

Pool Factor 





Bank of Baroda 

(Pool securitised by erstwhile BOB Housing Finance Limited) 

1 pool 


Bank of Baroda Mar-03 MBS 1 PTC Series A LAAA(SO)! Matured 




Issue Name: Bank of Baroda Mar-03 MBS 1 

Trustee: NHB 



Commencement Month Jan-03 Amount Amort period Avg. Maturity Yield 

Transaction Structure Par PTC Series A 596.5 1-110 4.6 years Fixed 






Average Pool Amortisation n.a. Subordination post tenure 22.70% 

Average Loan to Value 85.00% Excess Interest Spread n.a. 


Top 10 obligors: top state (%of pool) n.a. 65.00% Liquidity Facility N.A 








Payouts 

107.04% PTC Series A N.A. N.A. N.A. 

Aging 

Loss cum delinquency (% of pool 

principal) 

90+ dpd : 180+ dpd 5.17% 2.31% Rated PTC Principal N.A. 

Delinquency Rate (90+: 180+) N.A. N.A. Credit / Liquidity Support (% of pool principal) 

Prepayments Subordination during tenure N.A. 



Credit/Liquidity enhancement utilisation Cash Collateral N.A. 

Cumulative Credit Enhancement 

Utilisation 

31.60% Liquidity Facility N.A. 

Cumulative Cash Collateral Utilisation 0.00% Break-even collection efficiency N.A. 


100% 

95% 


40% 

30% 

90% 

20% 

85% 

10% 

80% 

1 18 35 52 69 86 


0% 

1 18 35 52 69 86 


PTC Yield 


9% 

8% 

7% 

1.0 

0.8 

0.6 

0.4 

6% 

0.2 

5% 

0.0 

1 18 35 52 69 86 

PTC A yield 

1 18 35 52 69 86 





Canfin Homes Limited 

1 pool 


Canfin Homes Ltd. (2003) MBS 1 (National 

Housing Bank) 





Issue Name: Canfin Homes Ltd (2003) MBS 1 

Trustee: NHB 



Commencement Month Jun-03 Amount Amort period Avg. Maturity Yield 















Collections Balance Tenure of Pool (months) n.a. 



PTC Series A 16.9 n.a. Fixed 

126.58% 

Payouts 

Ageing 






Cumulative Prepayment Rate 49.27% Excess Interest Spread n.a. 


Cumulative Credit Enhancement Utilisation 3.48% Liquidity Facility N.A 

Cumulative Cash Collateral Utilisation 0.00% Break-even collection efficiency n.a. 


110% 

100% 

90% 

80% 


6.0% 

4.5% 

3.0% 

1.5% 

70% 

2 17 32 47 62 77 

0.0% 

2 17 32 47 62 77 




16% 

12% 

8% 

4% 


1.00 

0.80 

0.60 

0.40 

0.20 

0% 

0.00 

2 17 32 47 62 77 

Pool IRR PTC A Yield 

2 17 32 47 62 77 

Pool Factor 

Amortisation Factor 




Cholamandalam Investment and 

Finance Company Limited 

3 pools 


CIFCL Mortgage Loan Pool D.A. Mar-09 Acquirer Payouts LAAA(SO)! LAAA(SO) 

CIFCL Mortgage Loan Pool D.A. May-09 Acquirer Payouts LAAA(SO)! LAAA(SO) 

CIFCL Mortgage Loan Pool D.A. Jun-10 Acquirer Payouts LAAA(SO)! LAAA(SO) 




Issue Name: CIFCL Mortgage Loan Pool D.A. Mar-09 


Issue details – Acquirer Payouts 

Commencement Month Mar-09 Amount Amort period Avg. Maturity Yield 

Transaction Structure Par Acquirer Payouts 1746.3 1-215 5.6 years Floating 


Number of Contracts 797 Rated Acquirer 1746.3 

payouts 

Fixed : Floating Interest Rate 0 : 100 


Average Seasoning (months) 12.60 Subordination during tenure N.A. 

Average Pool Amortisation 0.45% Subordination post tenure N.A. 





Details of balance pool / acquirer payouts 





Cumulative Collection to Acquirer Payouts 122.61% Acquirer Payouts 1206.8 4.71 years Floating 

Ageing 


90+ dpd : 180+ dpd 2.07% 0.40% Rated Acquirer Payouts 1206.8 



Single Monthly Mortality rate 1.63% Subordination post tenure N.A. 






110% 

100% 

90% 

80% 


1.6% 

1.2% 

0.8% 

0.4% 

70% 

1 3 5 7 9 11 13 15 


0.0% 

1 3 5 7 9 11 13 15 


Pool & Acquirer Yield 

16% 

14% 

12% 

10% 


1.00 

0.90 

0.80 

0.70 

8% 

1 3 5 7 9 11 13 15 

Pool IRR 

Acquirer Yield 

0.60 

1 3 5 7 9 11 13 15 

Pool Factor 





Issue Name: CIFCL Mortgage Loan Pool D.A. May-09 



Commencement Month May-09 Amount Amort period Avg. Maturity Yield 




Payouts 















Ageing 











110% 

100% 

90% 

80% 


0.24% 

0.18% 

0.12% 

0.06% 

70% 

1 3 5 7 9 11 13 


0.00% 

1 3 5 7 9 11 13 



17% 

15% 

13% 

11% 


1.00 

0.90 

0.80 

0.70 

9% 

1 3 5 7 9 11 13 

0.60 

1 3 5 7 9 11 13 

Pool IRR 

Acquirer yield 

Pool Factor 





Issue Name: CIFCL Mortgage Loan Pool D.A. Jun-10 



Commencement Month Jun-10 Amount Amort period Avg. Maturity Yield 




Payouts 















Ageing 













HDFC Limited 

7 pools 


MBS 2002 Series III PTC Series A LAAA(SO)! LAAA(SO) 

HDFC Mortgage Loan Pool D.A. 

Jul-09 


Jul-09 II 


Mar-10 I 


Mar-10 II 


Mar-10 III 


Mar-10 IV 

Acquirer Payouts LAAA(SO)! LAAA(SO) 

Second Loss Facility LBBB(SO)! LBBB(SO) 

Acquirer Payouts LAAA(SO)! LAAA(SO) 

Second Loss Facility LBBB(SO)! LBBB(SO) 

Purchaser Payouts LAAA(SO)! LAAA(SO)! 

Second Loss Facility LBBB(SO)! LBBB(SO)! 









Issue Name: MBS 2002 Series III Trust 


Trustee: ITCL 



Commencement Month Sep-02 Amount Amort period Avg. Maturity Yield 


















PTC Series A 104.7 2.10 years Fixed 

118.57% 

Payouts 

Ageing 








Cumulative Credit Enhancement Utilisation n.a. Liquidity Facility N.A. 


PTC Yield 


10% 

1.0 

9% 

8% 

7% 

6% 

1 16 31 46 61 76 91 

0.8 

0.6 

0.4 

0.2 

0.0 

1 16 31 46 61 76 91 

PTC A Yield 

Pool Factor 





Issue Name: HDFC Mortgage Loan Pool D.A. Jul-09 


Acquirer Representative: ITCL 



Transaction Structure Par Acquirer Payouts 2140.3 241 7.8 years Floating 

linked to 


Pool Yield 



Rated Acquirer 

Payouts 

2140.3 














linked to 

Ageing 

Pool Yield 











100% 

95% 


2.4% 

1.8% 

90% 

1.2% 

85% 

80% 

1 3 5 7 9 11 


0.6% 

0.0% 

1 3 5 7 9 11 



14% 

12% 

10% 

8% 

Pool Amortization 

1.00 

0.95 

0.90 

0.85 

6% 

1 3 5 7 9 11 

0.80 

1 3 5 7 9 11 

Pool IRR 


Pool Factor 





Issue Name: HDFC Mortgage Loan Pool D.A. Jul-09 II 






linked to 


Pool Yield 




Payouts 

2653.8 














linked to 

Ageing 

Pool Yield 











100% 

90% 

80% 

70% 


2.8% 

2.1% 

1.4% 

0.7% 

60% 

1 3 5 7 9 11 

0.0% 

1 3 5 7 9 11 




14% 

12% 

10% 


1.00 

0.95 

0.90 

8% 

0.85 

6% 

1 3 5 7 9 11 

Pool IRR 


0.80 

1 3 5 7 9 11 

Pool Factor 





Issue Name: HDFC Mortgage Loan Pool D.A. Mar-10 I 






linked to 


Pool Yield 


Fixed 2 : Floating Interest Rate 0 : 100 


Payouts 

1819.5 


Average Seasoning (months) 3.00 Excess Interest Spread 11.60% 

Average Pool Amortisation 0.06% Cash Collateral 10.50% 

Average Loan to Value 70.70% First Loss Facility 6.82% 

Pool IRR 8.25% Second Loss Facility 3.68% 









linked to 

Ageing 

Pool Yield 




Prepayments Excess Interest Spread 9.90% 

Single Monthly Mortality rate 0.29% Cash Collateral 10.97% 

Cumulative Prepayment Rate 1.71% First Loss Facility 7.13% 

Credit / Liquidity enhancement utilisation Second Loss Facility 3.84% 




100% 

90% 

80% 

70% 


2.0% 

1.5% 

1.0% 

0.5% 

60% 

2 3 4 5 6 


0.0% 

2 3 4 5 6 



14% 


1.00 

12% 

0.98 

10% 

0.96 

8% 

0.94 

6% 

2 3 4 5 6 

Pool IRR 


0.92 

2 3 4 5 6 

Pool Factor Amortisation Factor 

2 Initially all fixed at 8.25% for two year, Floating (linked to HDFC RPLR) after that. 




Issue Name: HDFC Mortgage Loan Pool D.A. Mar-10 II 






linked to 


Pool Yield 




Payouts 

1928.5 














linked to 

Ageing 

Pool Yield 











100% 

90% 

80% 

70% 


2.0% 

1.5% 

1.0% 

0.5% 

60% 

2 3 4 5 6 


0.0% 

2 3 4 5 6 



14% 


1.00 

12% 

0.98 

10% 

0.96 

8% 

0.94 

6% 

2 3 4 5 6 

Pool IRR Acquirer Yield 

0.92 

2 3 4 5 6 





Issue Name: HDFC Mortgage Loan Pool D.A. Mar-10 III 






linked to 


Pool Yield 




Payouts 

6142.4 














linked to 

Ageing 

Pool Yield 











100% 

90% 

80% 

70% 


4.0% 

3.0% 

2.0% 

1.0% 

60% 

2 3 4 5 6 


0.0% 

2 3 4 5 6 



14% 

12% 

10% 

8% 


1.00 

0.98 

0.96 

0.94 

6% 

2 3 4 5 6 

Pool IRR 


0.92 

2 3 4 5 6 

Pool Factor 





Issue Name: HDFC Mortgage Loan Pool D.A. Mar-10 IV 






linked to 


Pool Yield 




Payouts 

4029.8 


Average Seasoning (months) 27.66% Excess Interest Spread 23.50% 












linked to 

Ageing 

Pool Yield 











100% 

90% 

80% 

70% 


3.0% 

2.5% 

2.0% 

1.5% 

60% 

2 3 4 5 6 


1.0% 

2 3 4 5 6 



14% 

12% 


1.00 

0.98 

10% 

0.96 

8% 

0.94 

6% 

2 3 4 5 6 

Pool IRR 


0.92 

2 3 4 5 6 





ICICI Bank Limited 

4 pools 


ICICI Bank Ltd. (2003) MBS 1 (Indian 

RMBS 2003 Trust) 

ICICI Bank Ltd. (2004) MBS 2 (Nivas Trust 

Series II) 

ICICI Bank Ltd. (2005) MBS 1 (Aawas 

Trust Series 8) 


PTC Series P LAAA(SO)! Matured 


PTC Series A1 LAAA(SO)! Matured 


PTC Series B LAAA(SO)! LAAA(SO) 

PTC Series IO LAAA(SO)! LAAA(SO) 

ICICI Bank Ltd. (2005) MBS 1 (Aawas 

Trust Series 5) 

PTC Series A1 LAAA(SO)! Matured 


PTC Series B LAAA(SO)! LAAA(SO) 

PTC Series IO LAAA(SO)! LAAA(SO) 




Issue Name: Indian RMBS 2003 Trust 

Trustee: ITSL 





Pool Principal (Rs. Million) 3,833.9 PTC Series P 1,378.5 1-156 6.08 years Floating 
















Payouts 


Ageing PTC Series P - - Matured 











100% 


10% 

98% 

8% 

96% 

94% 

6% 

4% 

2% 

92% 

0% 

1 14 27 40 53 66 79 

1 14 27 40 53 66 79 





16% 

1.0 

12% 

0.8 

8% 

0.6 

4% 

0% 

1 14 27 40 53 66 79 

Pool Yield PTC A yield PTC P yield 

0.4 

0.2 

0.0 

1 14 27 40 53 66 79 





Issue Name: Nivas Trust Series II 

Trustee: ITSL 



Commencement Month Feb-04 Amount Amort period Avg. Maturity Yield 

Transaction Structure Par PTC Series A 2,000.9 1-180 6.1 years Floating 

















Payouts 

Ageing 


115.15% PTC Series A 423.5 4.76 years Floating 







Cumulative Credit Enhancement Utilisation 10.45% Liquidity Facility N.A 



100% 

98% 

96% 

94% 


12% 

9% 

6% 

3% 

92% 

1 13 25 37 49 61 73 

0% 

1 13 25 37 49 61 73 





20% 

1.0 

15% 

0.8 

10% 

5% 

0.6 

0.4 

0.2 

0% 

1 13 25 37 49 61 73 

0.0 

1 13 25 37 49 61 73 

Pool IRR 

PTC yield 

Pool Factor 





Issue Name: Aawas Trust Series 8 

Trustee: ITSL 



Commencement Month Dec-05 Amount Amort period Avg. Maturity Yield 

PTC Series A1 4,420.3 1-67 2.5 years Fixed / 

Transaction Structure 

Par 

Floating 

Pool Principal (Rs. Million) 7,420.3 PTC Series A2 3,000.0 68-169 7.6 years Fixed 

Number of Contracts 15349 PTC Series IO 699.32 1-169 3.7 years Fixed 





Average Loan to Value 76.00% Excess Interest Spread N.A. 


Top 10 obligors: top state (%of pool) 1.19% 50.00% Liquidity Facility 1.20% 








Payouts 

98.61% PTC Series A1 - - Matured 

Ageing PTC Series A2 2678.5 3.48 years Fixed 

Loss cum delinquency (% of pool principal) PTC Series IO 524.2 2.59 years Fixed 







Cumulative Cash Collateral Utilisation 2.71% Liquidity Facility 1.61% 

Cumulative Liquidity Facility Utilisation 49.59% Break-even collection efficiency 83.68% 


100% 


5% 

98% 

4% 

96% 

94% 

3% 

2% 

1% 

92% 

1 10 19 28 37 46 55 

0% 

1 10 19 28 37 46 55 




16% 


1.0 

12% 

0.8 

8% 

4% 

0% 

1 10 19 28 37 46 55 

0.6 

0.4 

0.2 

0.0 

1 10 19 28 37 46 55 

Pool IRR 

PTC Yield 

Pool Factor 





Issue Name: Aawas Trust Series 5 

Trustee: ITSL 




Transaction Structure Par PTC Series A1 3,720.0 1-60 2.3 years Fixed 

Pool Principal (Rs. Million) 7,173.9 PTC Series A2 3,453.9 60-183 7.6 years 

Fixed / 

Floating 

Number of Contracts 15778 PTC Series IO 553.27 1-183 4.04 years Fixed 














Cumulative Collection to senior PTC Payouts 137.43% PTC Series A1 - - Matured 

Ageing PTC Series A2 2887.8 3.67 years Fixed/Floating 

Loss cum delinquency (% of pool principal) PTC Series IO 567.9 2.71 years Fixed 







Cumulative Cash Collateral Utilisation 3.49% Liquidity Facility 1.21% 

Cumulative Liquidity Facility Utilisation 57.28% Break-even collection efficiency 84.61% 


100% 

98% 

96% 

94% 


6.0% 

4.5% 

3.0% 

1.5% 

92% 

1 11 21 31 41 51 


0.0% 

1 11 21 31 41 51 



20% 

15% 

10% 

5% 


1.00 

0.75 

0.50 

0.25 

0% 

1 11 21 31 41 51 

Pool IRR 

PTC yield 

0.00 

1 11 21 31 41 51 

Pool Factor 





IDBI Limited 

1 pool 


IDBI Bank Ltd. (2004) MBS 1 (Old Palasia 

RMBS Trust Series I) 

PTC Class A LAAA(SO)! LAAA(SO) 

PTC Class B LAAA(SO)! LAAA(SO) 




Issue Name: Old Palasia RMBS Trust Series I 

Trustee: ITCL 





Pool Principal (Rs. Million) 818.9 PTC Series B 290.0 1-144 7.1 years Floating 
















Fixed 

117.40% PTC Series A 114.3 0.86 years 

Payouts 

Ageing PTC Series B 2.0 0.18 years Floating 












100% 

98% 

96% 

94% 

40% 

30% 

20% 

10% 

92% 

1 16 31 46 61 76 


0% 

1 16 31 46 61 76 


PTC Yield 

9% 


1.0 

8% 

7% 

6% 

5% 

1 16 31 46 61 76 

0.8 

0.6 

0.4 

0.2 

0.0 

1 16 31 46 61 76 

Pool IRR PTC A Yield PTC B Yield 

Pool Factor 





Standard Chartered Bank 

6 pools 


Standard Chartered Bank (2005) MBS 1 

(Mortgage Loan Pool Trust 2005 Series I) 

Series A Contribution LAAA(SO)! LAAA(SO) 

Mortgage Loan Pool Trust 2006 Series II PTC Series A LAAA(SO)! LAAA(SO) 

Mortgage Loan Pool Mar-07 III Purchaser Payouts LAAA(SO)! LAAA(SO) 

Mortgage Loan Pool Mar-08 Acquirer Payouts LAAA(SO)! LAAA(SO! 

Mortgage Loan Pool Jun-08 Acquirer Payouts LAAA(SO)! LAAA(SO) 

Mortgage Loan Pool Aug-08 Acquirer Payouts LAAA(SO)! LAAA(SO) 




Issue Name: Mortgage Loan Pool Trust 2005 Series I 


Issue details – Series A Contribution 

Trustee: ITCL 


Transaction Structure Par Series A Contribution 945.5 1-102 3.0 years Fixed (IRS 


by 

Investors' 


Agent) 

Fixed : Floating Interest Rate 0:100 Rated Series A 945.5 








Yield reserve (% of pool principal) 3.20% 

Details of balance pool / Series A contributions 






Series A Contribution 144.3 1.96 years Fixed 

104.34% 

Payouts 

Ageing Rated Series A 144.3 


90+ dpd : 180+ dpd 0.35% 0.19% Credit / Liquidity Support (% of pool principal) 

Delinquency Rate (90+: 180+) 1.61% 0.69% Excess Interest Spread 11.19% 

Prepayments Cash Collateral 45.52% 

Single Monthly Mortality rate 0.99% First Loss Facility 19.32% 

Cumulative Prepayment Rate 41.55% Second Loss Facility 26.20% 

Credit / Liquidity enhancement utilisation Liquidity Facility 4.59% 

Cumulative Credit Enhancement Utilisation 76.97% Yield reserve (% of pool principal) 20.96% 



102% 

99% 

96% 

93% 


100% 

75% 

50% 

25% 

90% 

1 11 21 31 41 51 


0% 

1 11 21 31 41 51 


Pool & Contribution Yield 


16% 

12% 

8% 

4% 

0% 

1 11 21 31 41 51 

Pool IRR 

Contribution Yield 

1.0 

0.8 

0.6 

0.4 

0.2 

0.0 

1 11 21 31 41 51 




Issue Name: Mortgage Loan Pool Trust 2006 Series II 




Trustee: ITCL 

Commencement Month Mar-06 Amount Amort period Avg. Maturity Yield 

Transaction Structure Premium PTC Series A 4316.9 1-201 4.8 years Floating 

Pool Receivables (Rs. Million) 4,729.6 


Number of Contracts 4621 Rated PTC 


Receivables 

4316.9 


(linked to 3- 

month MIOIS) 



Average Loan to Value 61.00% Excess Interest Spread N.A 





Months post securitisation 51 Outstanding Pool (Rs. Million) 1087.4 





Payouts 

Ageing 


117.81% 

90+ dpd : 180+ dpd 1.04% 1.00% Rated PTC Receivables 1577.9 

PTC Series A 1577.9 5.51 years floating 

(linked to 3- 

month MIOIS) 










102% 

4% 

99% 

3% 

96% 

2% 

93% 

1% 

90% 

1 11 21 31 41 51 

0% 

1 11 21 31 41 51 





16% 

12% 

8% 

4% 

0% 

1 11 21 31 41 51 

Pool IRR 

PTC Yield 

1.0 

0.8 

0.6 

0.4 

0.2 

0.0 

1 11 21 31 41 51 

Pool Factor 





Issue Name: Mortgage Loan Pool 2007-III 


Issue details – Purchaser Payouts 

Purchaser Representative: ITCL 


Transaction Structure Par Purchaser 2492.2 1-346 11.4 years Floating 


Payouts 

(linked to 

HDFC PLR) 


Fixed : Floating Interest Rate 0:100 Rated Purchaser 2492.2 

Pool Door to Door Tenure (months) 346 

Payouts 

Average Seasoning (months) 32 Credit / Liquidity Support (% of pool principal) 

Average Pool Amortisation 14% Subordination during tenure 0.00% 

Average Loan to Value 69.44% Subordination post tenure 0.00% 

Pool IRR 9.77% Excess Interest Spread 2.7% 

Top 10 obligors: top state (%of pool) 6.70% 57.59% Cash Collateral 17.24% 


Liquidity Facility 

Details of balance pool / purchaser payouts 





Cumulative Collection to Purchaser Payouts 102.53% Purchaser Payouts 1064.8 6.82 years Floating 

Ageing 


(linked to 

HDFC RPLR) 

90+ dpd : 180+ dpd 1.16% 1.07% Rated Purchaser Payouts 1064.8 








N.A. 


100% 

95% 

90% 

85% 


4% 

3% 

2% 

1% 

80% 

1 8 15 22 29 36 

0% 

1 8 15 22 29 36 



Pool & Purchaser Yield 


16% 

1.0 

12% 

8% 

4% 

0.8 

0.6 

0.4 

0.2 

0% 

1 8 15 22 29 36 

0.0 

1 8 15 22 29 36 

Pool IRR 

Purchaser Payouts 

Pool Factor 





Issue Name: Mortgage Loan Pool Mar-08 




Transaction Structure Par Acquirer Payout 463.8 1-302 7.55 Years 



Fixed : Floating Interest Rate 0:100 Rated Acquirer 

Pool Door to Door Tenure (months) 302 

Principal 

Average Seasoning (months) 36 Credit / Liquidity Support (% of pool principal) 

Floating 

(linked to pool 

yield) 

Average Pool Amortisation 20% Subordination during tenure 0.00% 

Average Loan to Value 67.38% Subordination post tenure 0.00% 

Pool IRR 12.00% Excess Interest Spread N.A. 

Top 10 obligors: top state (%of pool) 9.30% 36.81% Cash Collateral 13.75% 


Liquidity Facility 

463.8 






Cumulative Collection to Acquirer Payouts 109.57% 

Floating 

Ageing 


Acquirer Payout 222.8 6.22 years 

(linked to pool 

yield) 

90+ dpd : 180+ dpd 0.77% 0.00% Rated Acquirer Payout 222.8 








N.A. 



110% 

100% 

90% 

80% 

70% 

1 5 9 13 17 21 25 

5% 

4% 

3% 

2% 

1% 

0% 

1 5 9 13 17 21 25 





16% 

1.0 

14% 

12% 

10% 

8% 

1 5 9 13 17 21 25 

Pool IRR 

Acquirer Payouts 

0.8 

0.6 

0.4 

0.2 

0.0 

1 5 9 13 17 21 25 

Pool Factor 




Issue Name: Mortgage Loan Pool Jun-08 





Transaction Structure Par Acquirer Payout 1,003.4 1-311 8.42 years Floating 

(linked to 


pool yield) 


Fixed : Floating Interest Rate 0: 100 

Rated Acquirer 1,003.4 

Principal 


Average Seasoning (months) 27 Subordination during tenure 0.00% 

Average Pool Amortisation 10% Subordination post tenure 0.00% 










Cumulative Collection to Acquirer Payouts 109.84% Acquirer Payout 619.8 6.93 years 

Ageing 

Loss cum delinquency (% of pool principal) Rated Acquirer Principal 619.8 

90+ dpd : 180+ dpd 2.94% 2.46% 


Floating 

(linked to 

pool yield) 









100% 

2.0% 

95% 

1.5% 

90% 

1.0% 

85% 

0.5% 

80% 

1 5 9 13 17 21 


0.0% 

1 5 9 13 17 21 



16% 


1.0 

14% 

0.9 

12% 

0.8 

10% 

0.7 

8% 

1 5 9 13 17 21 

Pool IRR 

Acquirer Payouts 

0.6 

1 5 9 13 17 21 

Pool Factor 





Issue Name: Mortgage Loan Pool Aug-08 




Transaction Structure Par Acquirer Payout 508.5 1-426 10.48 years Floating 

(linked to 


pool yield) 


Fixed : Floating Interest Rate 0: 100 

Rated Acquirer 508.5 

Principal 



Average Pool Amortisation 7% Subordination post tenure 0.00% 

Average Loan to Value 64.38% Excess Interest Spread N.A.. 









Cumulative Collection to Acquirer Payouts 107.49% Acquirer Payout 310.1 7.47 years 

Ageing 

Loss cum delinquency (% of pool principal) Rated Acquirer Principal 310.1 

90+ dpd : 180+ dpd 0.82% 0.82% 


Floating 

(linked to 

pool yield) 








110% 

100% 

90% 

80% 


4% 

3% 

2% 

1% 

70% 

1 4 7 10 13 16 19 22 


0% 

1 4 7 10 13 16 19 22 



16% 

14% 

12% 


1.0 

0.9 

0.8 

10% 

0.7 

8% 

1 4 7 10 13 16 19 22 

Pool IRR Acquirer Payouts 

0.6 

1 4 7 10 13 16 19 22 

Pool Factor 





Sundaram BNP Paribas Home Finance Limited 

1 pool 


Sundaram BNP Paribas Home Finance Ltd. 

(2004) MBS 1 (SHFL Housing Finance 

Trust Aug-04) 





Issue Name: SHFL Housing Finance Trust Aug-04 



Trustee: ITCL 

Commencement Month Aug-04 Amount Amort period Avg. 

Maturity 

Transaction Structure Par PTC Series A1 436.5 1-120 4.2 years Fixed 

Pool Principal (Rs. Million) 516.9 PTC Series A2 46.1 121-223 11.75 Fixed for first 

years 120 months, 


later equal to 

Pool IRR 




Average Pool Amortisation n.a Subordination post tenure 0.00% 



Top 10 obligors: top state (%of pool) n.a 74.30% Liquidity Facility N.A 








PTC Series A1 49.4 1.59 years Fixed 

119.11% 

Payouts 

Ageing PTC Series A2 19.9 4.93 years Fixed for 


first 120 

months 









Yield 


104% 

100% 

96% 

92% 

88% 

1 11 21 31 41 51 61 71 


PTC Yield 

9% 

8% 

7% 

6% 

5% 

1 11 21 31 41 51 61 


40% 

32% 

24% 

16% 

8% 

0% 

1 11 21 31 41 51 61 



1.0 

0.8 

0.6 

0.4 

0.2 

0.0 

1 11 21 31 41 51 61 

PTC Yield 

Pool Factor 




5. Annexure I: Key Performance 

Indicators of MBS Transactions 


Collection efficiency may be defined as a basic measure 

of pool performance is the pool’s collection efficiency. 

Cumulative collection efficiency (CCE) refers to the ratio 

of total collections to total billings on the pool to date. In 

most MBS issues, the realisation from opening overdues 

(overdues on the pool contracts at the time of 

securitisation) is available for meeting investor payouts 

and the Originator’s claim on it is subordinate. Thus, in 

the calculation of CCE, the total opening overdues are 

included in the denominator while the amounts actually 

realised from the opening overdues are included in the 

numerator. For instance, if the opening overdues on a 

pool are Rs. 10 million, the total billings to date 

(excluding opening overdues) are Rs. 590 million, and 

the total collections (including collections of Rs. 7 million 

from opening overdues) are Rs. 540 million. So, the CCE 

works out to 540/600, i.e., 90%. 

As collections from opening overdues are included while 

calculating CCE, ICRA considers it appropriate to include 

the amount of opening overdues in the figure for total 

billings to date. Further, as different transactions may 

have varying levels of opening overdues, the inclusion of 

opening overdues in total collections (numerator) and 

total billings (denominator) makes the CCE of different 

deals directly comparable. 

Cumulative Collections to Payout Ratio 

This ratio compares the cumulative collections in a pool 

to the cumulative payouts against senior Pass-Through 

Certificates (PTCs) to date. Both the numerator and the 

denominator exclude prepayments. Thus, the ratio 

denotes the cash flow coverage available to the senior 

investors in the transaction. In a premium transaction 

with cash collateral as the only form of credit 

enhancement, this ratio will be the same as the CCE. 

However, in a senior-subordinate structure or in a par 

transaction with positive excess interest spread (EIS), 

the cumulative collections to payout ratio would be higher 

than the CCE. 

Ageing Analysis 

While the CCE is a useful indicator of collection pattern, 

it does not distinguish between delinquent and sticky 

contracts. Temporary cash flow strains on the borrower 

could result in the failure to pay one or two equated 

monthly instalments (EMIs). However, the default on 

three to four EMIs would be viewed with serious concern 

and hard recovery measures may be required on such 

MBS Pools’ Performance 

contracts. This vital information is provided by the ageing 

status on the pool. The delinquency ratio is calculated 

as: [(outstanding principal on contracts overdue for over 

90 days + cumulative credit loss booked on preterminated 

contracts, whether on account of 

repossession or otherwise) /initial pool principal]. In the 

case of most of the pools analysed in this report, no 

credit loss has been booked to date. Hence, this ratio 

largely represents the percentage of delinquent 

contracts. In the calculation of the serious delinquency 

ratio, contracts overdue for over 180 days are considered 

[in lieu of 90 days past due (dpd) contracts)]. 

The delinquency ratios are important indicators of asset 

quality and are used as a proxy for ultimate credit losses. 

However, it must be noted that actual credit losses on 

the pool may be lower on account of subsequent 

recoveries from delinquent accounts. The delinquency 

ratios have a constant denominator in the form of the 

initial pool principal. On the other hand, the numerator 

increases with the passage of time as more contracts 

turn delinquent, and the ratios rise initially. In the event of 

subsequent recoveries on account of repossession or 

otherwise, the delinquency ratios show a decline. 

Single Monthly Mortality 

The Single Monthly Mortality (SMM) rate is a vital 

measure of prepayment in a pool. SMM for a month is 

equal to the prepayments during a month divided by the 

scheduled balance for the end of the month expressed 

as a percentage. 

In a par transaction, prepayments result in compression 

of the excess interest spread (EIS) available in the 

structure as the higher yield as compared to the yield on 

senior PTCs would no longer be available as credit 

enhancement for the senior PTCs to the extent of the 

foreclosed contracts. In a premium transaction as in the 

case of premature termination of contracts, usually the 

discounted value of the originally scheduled future cash 

flow (discounted at the investor yield) on the foreclosed 

contracts is paid out to the investors and their future cash 

flow is revised downwards accordingly. On account of 

the discounting rate on the PTCs being typically lower 

than the interest rate on the foreclosed contracts, the 

amount collected falls short of the amount to be paid to 

the senior investors (although part of this shortfall is met 

out of the premium collected on prepayments from 

borrowers). This shortfall then needs to be met out of the 

credit enhancement. 

Thus, in either case, prepayments have an impact on 

credit enhancement. Also, since prepayments are 

typically passed on to investors, they bring in re- 



investment risk for the investors. While this risk is not 

addressed by the ICRA-assigned rating, it is an important 

factor for the investors. 

In certain transactions, prepayments are preferentially 

paid off to senior investors. This helps mitigate the 

residual risk in the transaction for senior investors and 

also leads to an increase in the protection, as the 

effective subordination level for the balance pool period 

increases. Thus, the exact impact of prepayments on the 

investors depends on the transaction structure. 

Credit Enhancement: Utilisation to Date and 

the Current Available Level 

The asset quality of the securitised pool, the extent of 

interest rate risk and the level of credit enhancement 

available in the transaction are the three principal factors 

that drive the rating for any instrument issued under an 

MBS transaction. Thus, along with collateral analysis, it 

is equally important to study the monthly/ cumulative 

utilisation of the credit enhancement and the level of 

credit enhancement available for supporting the 

payments to senior investors over the balance maturity of 

the rated instrument. 

Cumulative Credit Enhancement Utilisation 

The cumulative credit enhancement utilisation ratio 

compares the total cumulative shortfall—in making 

payments to senior investors—in a transaction (shortfall 

on account of collection together with that on account of 

foreclosures) till a certain month with the level of credit 

enhancement available till that month. This includes the 

total cash collateral stipulated at the beginning of the 

transaction 3 and the cumulative subordinated payouts, 

including the subordinate PTCs’ share in prepaymentrelated 

payouts, till that month. In the case of ―par‖ 

transactions, this also includes the cumulative EIS 

available till that month. A high utilisation ratio is a sign of 

weak pool performance. However, so long as the 

cumulative utilisation is lower than 100%, it implies that 

the credit enhancement has been adequate to support 

the payouts to senior investors. 

In the case of certain MBS transactions, the total credit 

collateral is split into a first loss facility (FLF) and a 

second loss facility (SLF). The FLF is a portion of the 

credit collateral that provides the first line of support to 

the investors; the SLF is that portion of the credit 

collateral that provides the second line of support to the 

investors and is used only after the FLF is fully 

3 For this purpose, downward reset, if any, in cash 

collateral is ignored, original level of cash collateral is 

considered as available 


exhausted. In such transactions, ICRA monitors the 

utilisation of the FLF and the SLF of the credit collateral 

separately. 

Similarly, a separate liquidity facility—meant for meeting 

short-term delays in collections—is provided in certain 

transactions. ICRA monitors the utilisation of such 

liquidity facilities separately. It may be noted that a 

liquidity facility provides only liquidity support to the 

transaction; it does not result in any credit support as the 

credit losses in the pool remain unchanged. Assuming 

that everything else remains the same, transactions 

wherein an explicit liquidity facility is not provided for 

would typically have higher credit enhancement levels. A 

liquidity facility is always positioned at the top of the 

waterfall (i.e., it is always given priority over all other 

payments). 

A point to be noted here is that the EIS in an MBS pool 

may change with changing interest rates if the pool is 

composed of floating interest rate contracts while the 

PTC earns a fixed yield. The EIS available for the 

balance tenure in such a pool may increase or decrease 

in an increasing or decreasing interest rate scenario, 

respectively. Hence, the utilisation of credit enhancement 

should be seen in the light of total credit enhancement 

available for the balance tenure of pool rather than the 

initial credit enhancement stipulated in a pool. 

Current credit enhancement level 

Once fixed, the credit enhancement level in an MBS 

transaction cannot be revised upwards during the 

currency of the transaction. However, considering the 

pool performance, ICRA could recommend a downward 

revision of the level of cash collateral stipulated initially, if 

the terms of the transaction—and the extant regulatory 

guidelines—so permit. With the rated instruments 

amortising on a monthly basis, in the case of pools 

performing satisfactorily, the cash collateral may initially 

rise as a proportion of the outstanding on the rated 

instruments. However, this proportion would decline once 

the cash collateral is reset, ICRA recommends a 

downward reset of the cash collateral in a manner such 

that it provides the level of protection consistent with the 

rating on the instruments concerned. Thus, the level of 

credit enhancement currently available to support future 

payouts would be an important indicator for investors. 

However, following the February 2006 issue of 

guidelines on securitisation by the Reserve Bank of 

India (RBI), no portion of the credit enhancement can 

be released to the originator in the case of fresh 

transactions. This means the proportion of credit 

enhancement available will keep rising as the pool 




amortises over time. Because of this, during the 

pool’s life, the credit enhancement may reach a 

proportion that is not in line with the actual risk 

involved. This may even result in the originator 

retaining a substantial portion of the risk during the 

life of the transaction. 

Break-even Collection Efficiency 

In an MBS transaction, credit enhancement is stipulated 

so that delays/defaults in pool collections do not hamper 

scheduled payouts to the senior investor. Break-even 

collection efficiency is a measure of the collection 

efficiency level required during the balance tenure of the 

pool so as to meet investor payments, given the 

available credit enhancement. The break-even collection 

efficiency could be compared with the CCE to date in 

order to estimate whether it is achievable or not. 

It may be noted that the break-even collection efficiency 

does not factor in any collections from the overdues in 

the pool at the time of evaluation. In reality, a portion of 

the overdues would also be realised, with the 

recoverability depending on the ageing status of the 

overdues. Thus, the actual break-even collection 

efficiency would typically be even lower than the stated 

level. 

Importantly, break-even collection efficiency factors in 

the available credit enhancement; however, the cash 

collateral in MBS transactions is subject to downward 

reset on a quarterly basis. The break-even collection 

efficiency level, just before cash collateral reset is 

actually carried out, may be an understated figure. 




Annexure II: ICRA Rating Scale 

Long-Term Rating Scale: for instruments with original maturity exceeding one year 

Rating Symbols 

LAAA 

LAA 

LA 

LBBB 

LBB 

LB 

LC 

LD 

Definition 

The highest-credit-quality rating assigned by ICRA. The rated instrument carries the 

lowest credit risk. 

The high-credit-quality rating assigned by ICRA. The rated instrument carries low 

credit risk. 

The adequate-credit-quality rating assigned by ICRA. The rated instrument carries 

average credit risk. 

The moderate-credit-quality rating assigned by ICRA. The rated instrument carries 

higher than average credit risk. 

The inadequate-credit-quality rating assigned by ICRA. The rated instrument carries 

high credit risk. 

The risk-prone-credit-quality rating assigned by ICRA. The rated instrument carries 

very high credit risk. 

The poor-credit-quality rating assigned by ICRA. The rated instrument has limited 

prospect of recovery. 

The lowest-credit-quality rating assigned by ICRA. The rated instrument has very low 

prospect of recovery. 

Short-Term Rating Scale: for instruments with original maturity within one year 

Rating Symbols 

A1 

A2 

A3 

A4 

A5 

Definition 

The highest-credit-quality rating assigned by ICRA to short-term debt instruments. 

Instruments rated in this category carry the lowest credit risk in the short term. Within 

this category, certain instruments are assigned the rating of A1+ to reflect their 

relatively stronger credit quality 

The above-average-credit-quality rating assigned by ICRA to short-term debt 

instruments. However, instruments rated in this category carry higher credit risk than 

instruments rated A1. 

The moderate-credit-quality rating assigned by ICRA to short-term debt instruments. 

However, instruments rated in this category carry higher credit risk than instruments 

rated A2 and A1. 

The risk-prone-credit-quality rating assigned by ICRA to short-term debt instruments. 

Instruments rated in this category carry high credit risk. 

The lowest-credit-quality rating assigned by ICRA to short-term debt instruments. 

Instruments rated in this category have very low prospect of recovery. 




Special Symbols 

* Rating on Notice for withdrawal 

# Under rating watch 

## Rating Not Accepted 

@ 

& 

Under rating watch with negative implications 

Under rating watch with developing implications 

% Under rating watch with positive implications 

S 

^ 

fc 

SO 

(P) 

Supported by stand by/ Letter of Support 

Rating Suspended 

Compulsorily Fully Convertible Bonds/Debentures 

Structured Obligation 

The Letter 'P' in parenthesis after the rating symbol indicates that the debt instrument 

is being issued to raise resources by a new company for financing a new project and 

the rating assumes successful completion of the project 

! Conditional Rating 

Note: For the rating categories LAA through to LC the sign of + (plus) or - (minus) may be appended to the rating 

symbols to indicate their relative position within the rating categories concerned. Thus, the rating of LAA+ is one 

notch higher than LAA, while LAA- is one notch lower than LAA. 

For the rating categories MAA through to MC the sign of + (plus) or - (minus) may be appended to the rating 

symbols to indicate their relative position within the rating categories concerned. Thus, the rating of MAA+ is one 

notch higher than MAA, while MAA- is one notch lower than MAA. 

For the short-term ratings of A1 through to A4, the sign of + (plus) may be appended to the rating symbols to 

indicate their relatively stronger position within the rating categories concerned. Thus, the rating of A2+ is one 

notch higher than A2. 

(SO): The letters SO in parenthesis suffixed to a rating symbol stand for Structured Obligation. An SO rating is 

specific to the rated issue, its terms, and its structure. SO ratings do not represent ICRA's opinion on the general 

credit quality of the issuers concerned. 


ICRA - Special Comments Released 

Structured Finance : (September 2009 to August 2010) 

Aug-10 ABS Pools Rated by ICRA : Summary update on performance till June 2010 

Jun-10 MBS Pools Rated by ICRA : Report on Performance till March 2010 

May-10 ABS Pools Rated by ICRA : Report on Performance till March 2010 

Apr-10 Update on Indian Structured Finance Market – April 2010 

Mar-10 MBS Pools Rated by ICRA : Report on Performance till December 2009 

Feb-10 ABS Pools Rated by ICRA : Summary update on performance till December 2009 

Dec-09 MBS Pools Rated by ICRA : Report on Performance till September 2009 

Nov-09 ABS Pools Rated by ICRA : Report on Performance till September 2009 

Sep-09 MBS Pools Rated by ICRA : Report on Performance till June 2009 

Sep-09 

ICRA-Assigned Securitisation Ratings: Transition Study 

Others Releases (June-2010 to August-2010) 

Aug-10 

Aug-10 

Aug-10 

Aug-10 

Cut and Polished Diamond: Credit outlook seen stabilising on the back of increasing volumes and 

realizations. 

Indian Port Sector: Key Trends and Credit Challenges 

Index of Industrial Production Jun-10: Moderation to Single Digit Growth after Gap of 8 Months 

Thirteenth Finance Commission: Implications of Key Recommendations for State Governments 

Jul-10 ICRA Comments on the RBI’s First Quarter Review of Monetary Policy for FY 2010-11 

Jul-10 

Jul-10 

Jul-10 

Jul-10 

Jun-10 

Jun-10 

Jun-10 

Jun-10 

Toll Road Projects: Challenges Impeding Private Sector Participation 

Indian Commercial Vehicle Sector : Trends & Outlook 

Financial Markets & Banking Update —Vol. 1: FY2010-11 

Index of Industrial Production May-10: Healthy Growth Albeit Considerably Lower than Expected 

Sugar outlook weak; ability to negotiate cane prices downwards will be key to profitability for sugar 

mills in SY 2010-11 

Performance Review of HFC & Indian Mortgage Finance Market for 09-10 and Industry Outlook 

Index of Industrial Production April 2010: Sharp Acceleration in Pace of Growth 

Amendments in UI and Grid Code norms to benefit gencos and traders and result in better grid 

discipline; negative for utilities in deficit states

ICRA Limited 

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© Copyright, 2010, ICRA Limited. All Rights Reserved. 

Contents may be used freely with due acknowledgement to ICRA. 

ICRA ratings should not be treated as recommendation to buy, sell or hold the rated debt instruments. ICRA ratings are 

subject to a process of surveillance, which may lead to revision in ratings. Please visit our website (www.icra.in) or 

contact any ICRA office for the latest information on ICRA ratings outstanding. All information contained herein has 

been obtained by ICRA from sources believed by it to be accurate and reliable. Although reasonable care has been taken 

to ensure that the information herein is true, such information is provided ‘as is’ without any warranty of any kind, and 

ICRA in particular, makes no representation or warranty, express or implied, as to the accuracy, timeliness, or 

completeness of any such information. All information contained herein must be construed solely as statements of 

opinion, and ICRA shall not be liable for any losses incurred by users from any use of this publication or its contents.

MBS Pools Rated by ICRA :- Report On Performance till June 2010

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