Bangkok--1 Oct--Fitch Ratings
Fitch Ratings (Thailand) Limited has today affirmed the National ratings of debentures issued by SICCO Special Purpose Vehicle 2 Company Limited (SICCO 2) and SICCO Special Purpose Vehicle 3 Company Limited (SICCO 3), and assigned Loss Severity (LS) Ratings, as follows:
SICCO 2:
THB1.16bn (due February 2013) affirmed at 'AAA(tha)'; Outlook Negative; LS rating assigned at 'LS-1'.
SICCO 3:
THB930m (due April 2012) affirmed at 'AAA(tha)'; Outlook Stable; LS rating assigned at 'LS-1'.
The ratings affirmations reflect both transactions' satisfactory portfolio performance and their ability to maintain the levels of credit enhancement commensurate with the respective 'AAA(tha)' ratings since closing. The economic downturn has driven up delinquencies and defaults within the underlying portfolios of both transactions over the past year. Nonetheless, the cumulative default rates of both transactions have remained below Fitch's base case assumptions. The latest delinquency rate and the default rates of SICCO 2 and SICCO 3 were less than half the early amortisation trigger level, according to the August 2009 servicer reports.
The performance of the portfolios has been impacted by their composition, as the majority of the underlying assets are receivables originated in provinces, which are generally more sensitive to economic conditions than receivables originated in Bangkok. The performance of trucks in the portfolio (which currently account for approximately 12% and 14% of SICCO 2 and SICCO 3 portfolios, respectively) has been significantly impacted by the economy, resulting in a rapid increase in delinquencies over the past year.
Given the continued weak economic environment, Fitch has applied a more conservative default definition of more than 90 days past due (dpd) receivables (versus the more than 180 dpd under the base case assumption) as a test of future default performance. Under this more conservative default definition, SICCO 2's cumulative default rate is moderately below the base case assumption; while SICCO 3's cumulative default rate is still comfortably below the base case assumption.
The Negative Outlook for SICCO 2 reflects Fitch's ongoing concern over the deterioration of the underlying portfolio performance, which if continues, may impact the future credit enhancement level of the transaction given the relatively moderate cushion between the cumulative default rate and the base case assumption. The Stable Outlook of SICCO 3 reflects the agency's expectation that the transaction's existing cushion between the cumulative default rate and Fitch's base case assumption should be sufficient in supporting the rating amid weak economic conditions.
The transactions are the second and third securitisation transactions of auto hire purchase receivables originated by Siam Industrial Credit Public Company Limited (SICCO). The receivables continue to be serviced by SICCO, while Hongkong and Shanghai Banking Corporation (HSBC, 'AA'/ 'F1+'/Negative Outlook) is the back-up servicer. Both transactions are in their controlled amortisation period. The ratings address timely payment of interest and ultimate repayment of principal of the debentures by their legal final maturity.
Ratings Outlooks have been published for all newly issued Asia Pacific Structured Finance tranches since June 2008, and concurrently with rating actions for tranches issued prior to June 2008. Unlike a Rating Watch, which notifies investors that there is a reasonable probability of a rating change in the short term as a result of a specific event, Rating Outlooks provide forward-looking information to the market and indicate the likely direction of any rating change over a one- to-two-year period.
Applicable criteria is available on Fitch's website at www.fitchratings.com. For further details, please refer to "Global Structured Finance Rating Criteria" from September 30 2009 and "Criteria for Structured Finance Loss Severity Ratings" published February 17 2009.
Copies of surveillance reports will be available on the agency's website, www.fitchratings.com.
Note to Editors: Fitch's National ratings provide a relative measure of creditworthiness for rated entities in countries with sub- or low-investment grade international sovereign ratings. The best risk within a country is rated 'AAA' and other credits are rated only relative to this risk. National ratings are designed for use mainly by local investors in local markets and are signified by the addition of an identifier for the country concerned, such as 'AAA(tha)' for National ratings in Thailand. Specific letter grades are not therefore internationally comparable.
Contacts: Pramook Malasitt, Orawan Karoonkornsakul, Vincent Milton, Bangkok, +662 655 4755.
Media Relations: Shivani Sundralingam, Singapore, Tel: + 65 6796 7215, Email: [email protected].