Cholamandalam Investment and Finance Company Limited completed
a first of its kind securitisation of Rs854 million of
its auto loan portfolio late last week. This was announced
by Citibank N.A, the arranger in a press communique.
is the first transaction in India where a yield reserve
has been used for taking care of interest rate mismatches.
As the underlying receivables from the auto loans carried
a fixed interest rate and the PTCs offered floating rate
to investors, the structure incorporated a yield reserve
sized by the rating agency to cover the basis risk.
innovation driven by investor demand was staggered payment
of prepayments on the pool to reduce unscheduled payments
SPV, called Asset Securitisation Trust December 2004,
issued six series of pass through certificates (PTCs)
to investors rated AAA(so) by CRISIL. All the six series
issued were parri-passu senior PTCs. The senior PTCs are
structured to receive semi-annual payments and have a
door-to-door maturity of approximately two years with
floating rate coupons linked to the local benchmark MIBOR
(Mumbai Inter Bank Offer Rate).
securitisation attracted significant interest from mutual
funds. The PTCs were distributed and underwritten by Citicorp
Capital Markets Limited while Citibank N.A. was the sole
Bhaskar, vice president, Cholamandalam Finance, said,
" We have identified securitisation as a key funding
source and the response to the current issue is a reflection
of the continued confidence of the capital markets in
the origination and servicing capabilities of Cholamandalam
the year 2004, Citigroup has placed in the Indian markets
more than 25 issuances aggregating to around Rs. 4.3 billion.
For the year 2004, Citigroup retains its number 1 position
in Asian asset securitisation
league tables and is placed at no. 2 position in volume
and no. 1 position in number of deals in the securitisation
league tables in India.