Fitch Ratings has assigned a rating of 'AAA(ind)(SO)' to UTI Bank Ltd's eight series of Pass Through Certificates (PTC) to be issued by a Special Purpose Vehicle (SPV) called UBPP Series I 2004, under its personal loan securitisation programme.

UTI Bank is to sell, assign and convey a pool of loans originated by its personal loans business to an SPV trust called UBPP Series I 2004, to finance the purchase of the assets by issuing eight series of PTCs to market investors. UTI Bank would continue to service the underlying contracts.

The securities are backed by a pool of 15,619 loan contracts with a total principal outstanding of Rs984 million at the cut off date of November 30, 2004. The loans have a door-to-door maturity of 49 months, with the selection criteria imposing restrictions on certain parameters, including maximum delinquency and minimum seasoning.

The rating of the PTCs is based on the initial credit enhancement in the form of a cash collateral aggregating 24 per cent of the opening pool principal, along with the scheduled excess interest spread (EIS) available in the pool. It is supported by the credit strength of the underlying assets, which represent cherry-picked assets from UTI Bank's portfolio, the bank's strong origination and servicing expertise, as well as its legal and financial structure.

To determine the level of credit enhancement, Fitch built a pool cash flow model based on the financial structure, and also analysed historic data for determining the base values of key variables that would influence losses in this transaction. By stressing the base values of default and prepayment rates, along with the pool yield, It modelled the collateral performance, determined the contribution from excess spread, and arrived at a value for the cash reserve required to enhance the transaction to a AAA (ind) level.

Fitch's national ratings provide a relative measure of creditworthiness for rated entities in countries with relatively low international sovereign ratings and where there is demand for such ratings. The best risk within a country is rated 'AAA' and other credits are rated only relative to this risk. Indian ratings are signified by the addition of a country identifier, (ind), making the rating 'AAA(ind)' for India. These specific letter grades are not internationally comparable.

Fitch Ratings India is a 100 per cent subsidiary of Fitch Inc, one of the three largest global credit rating agencies. It has four rating offices, located at Mumbai, Delhi, Chennai and Kolkata. Fitch is recognised by Reserve Bank of India, Securities Exchange Board of India (SEBI) and the National Housing Bank.