Securitisation & Asset-Backed Securities
Independent pool analytics, credit enhancement modelling, and transaction advisory for India's securitisation market — ABS, PTCs, MFI pools, and structured securitisations.
Market context and instrument landscape.
India's securitisation market is a mainstream capital market product, with NBFC-originated pools in auto, MFI, MSME, and housing consistently oversubscribed. The RBI's 2021 framework — MHP, MRR, and formal trustee roles — raised the bar for new originators and aligned India with Basel III. AA-rated auto ABS typically prices 80–120 bps over G-Secs; MFI pools add 60–100 bps. Two transactions with identical ratings from the same originator can carry materially different risk — which is why pool-level analytics is the real differentiator.
- ▸Pass-Through Certificates (PTCs)
- ▸Direct Assignments
- ▸Residential Mortgage-Backed Securities (RMBS)
- ▸ABS — Auto, 2-Wheeler, Tractor, Personal Loan
- ▸MFI Pool Securitisation
- ▸MSME / SME Pool Securitisation
- ▸Securitised Debt Instruments (SDIs)
- ▸Credit Card Receivables
What practitioners face in this market.
Pool due diligence at scale
10,000–50,000 loan portfolios can't be sampled — they need systematic analytics across concentration, seasoning, vintage, and static pool data. Originators deliver tapes in non-standard formats, and weak diligence surfaces only post-settlement, when remediation is limited.
Credit enhancement sizing
Subordination, cash collateral, and excess spread must absorb modelled losses under stress without destroying transaction economics. Historical loss data for newer originators rarely spans a full cycle, and rating agency haircuts must be anticipated in structuring.
Rating agency preparation
CRISIL, ICRA, CARE, and India Ratings each apply distinct methodologies with frequently updated criteria. First-time originators without specialist preparation routinely face supplemental information requests that delay transactions four to eight weeks.
RBI MRR and MHP compliance
MHP varies from 3 to 12 months by tenor; MRR must be held for the life of the transaction and cannot be hedged. Compliance for direct assignments and multi-originator pools requires careful structural and legal review.
Servicer continuity and operational risk
In PTC structures, the originator typically continues as servicer, concentrating operational risk. Downgrades, PCA placement, or operational disruption deteriorate collection efficiency before formal servicer replacement can occur — a risk rarely independently diligenced.
Secondary market liquidity
PTCs trade OTC with limited price transparency. Bank treasuries valuing PTC portfolios under Ind AS 109 rely on model-based approaches whose assumptions are difficult to validate, and exits frequently clear below carrying value.
Arrowbanc's work in this asset class.
Independent pool analytics
Systematic due diligence across the full portfolio — vintage, concentration, prepayment, and loss estimation under base and stress. We normalise raw loan-level data regardless of originator format and deliver an analytical memorandum aligned to rating agency and investor questions.
Credit enhancement modelling
Bottom-up cashflow modelling with scenario analysis to size internal credit enhancement at defensible confidence intervals. Calibrated to RBI's stress parameters with explicit sensitivity showing how the structure behaves if assumptions deteriorate.
Rating strategy and preparation
Pre-rating analysis aligned to each agency's published methodology, data package preparation, and draft report review to flag factual errors, challenge assumptions, and manage supplemental information cycles.
Investor-side due diligence
Independent pool review for AIFs, bank treasuries, and insurers — underwriting analysis, relative value, and post-investment monitoring frameworks. Strictly conflict-free: we do not act for originators and investors on the same pool.
MRR and MHP compliance structuring
Detailed compliance analysis for MRR and MHP under the RBI 2021 framework, including direct assignment mechanics and novel structures. Opinions prepared with transaction counsel can be cited in documentation or submitted to the RBI.
Post-closing performance monitoring
Ongoing pool monitoring against transaction-specific triggers, early amortisation events, and credit enhancement depletion — monthly exception reports rather than raw trustee data.
Service lines relevant to this market.
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