NHB’s RMBS Institutional Structure
| i. Originator |
HFC / Bank |
| ii. Special Purpose Vehicle |
NHB SPV Trust(s) |
| iii. Trustee |
National Housing Bank |
| iv. Issuer |
NHB SPV Trust(s) |
| v. Servicer (Payments) |
HFC / Bank |
| vi. Loan Administrator (Custody of Documents, Collections, Recovery Management/Enforcements) |
HFC / Bank |
| viii. Financial / Structuring / Legal Documentation |
NHB |
| ix. Issue Arrangers |
Merchant Banking Institutions |
| x. Due Diligence Auditor |
Statutory Auditors of HFC / Bank |
| xi. Depository |
National Securities Depository Ltd. |
| xii. Registrar and Transfer Agent |
National Housing Bank / Beetal Financial Services Ltd. |
All the above issues were fully subscribed by institutional investors including Insurance Companies, Mutual Funds, Financial Institutions, and Commercial Banks.
The above securitisation transactions of NHB, involve assignment of retail housing loans from the HFCs to NHB. The loans, repayable in equated monthly instalments (EMIs), are packaged and offered to investors as Pass Through Certificates (PTCs) by NHB, acting as Issuer and Trustee. The housing loans, which constitute the receivables to be securitised, are held by a Special Purpose Vehicle (SPV) in the nature of a trust, declared by NHB. The PTCs are in the nature of trust certificates and represent proportionate undivided beneficial interest in the pool of housing loans.
NHB in its corporate capacity as also in the capacity of sole Trustee of the SPV Trust, is the issuer of Class A and Class B PTCs. While the Class A PTCs have been allotted to investors, Class B PTCs are subscribed entirely by the originators. Class B PTCs are subordinated to Class A PTCs and act as a credit enhancement for Class A PTC holders. The Class A PTCs of the above MBS issues of NHB have been rated AAA(So).
While the launch of the pilot issue of MBS has indeed been a landmark, NHB has been working towards development of systems and building of institutions in order to make the MBS market sustainable in the long run. In this process, NHB’s efforts are directed at equipping the market participants with adequate understanding of the MBS products and generating sufficient awareness about the issues, risks and benefits associated with the MBS instruments as also gradually widening the investor base, which is essential for a successful secondary mortgage market in the country.
Further, the introduction of Mortgage Backed Securitisation will help develop a long-term debt market in India. Various classes of MBS will offer a wide choice to potential investors in terms of risk-return profile, liquidity, maturity, yield etc. and help attract new investors into the capital market. Financial innovations such as MBS will be a key theme in the evolution of the Indian financial & capital market.
RMBS Pools: Collections and Payments as on December 31, 2005
| |
HDFC Pool |
LICHFL Pool |
LICHFL Pool |
CFHL Pool |
CFHL Pool |
CFHL Pool |
BOBHFL Pool |
DHFL Pool |
AB Pool |
BHFL Pool |
BHFL Pool |
BHFL Pool |
BHFL Pool |
| HP1 |
LP1 |
LP2 |
CP1 |
CP2 |
CP3 |
BP1 |
DP-1 |
SCB-AB-1 |
Bh-1 |
HFC-Bh-2 |
HFC-Bh-3 |
HFC-Bh-4 |
| |
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| Pool Characteristics (at time of Issue) |
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| - Pool Size |
88.32 |
47.54 |
74.22 |
63.40 |
85.35 |
64.13 |
77.16 |
69.79 |
50.36 |
43.65 |
30.54 |
36.17 |
32.63 |
| - PTC A Size |
59.7 |
43.84 |
46.84 |
44.85 |
58.19 |
54.45 |
59.65 |
61.83 |
42.95 |
39.97 |
29.00 |
34.31 |
30.97 |
| - PTC A Pass Thorugh Rate (% p.a.) |
11.85% |
11.85% |
10.25% |
10.25% |
8.90% |
6.25% |
6.89% |
6.98% |
6.15% |
6.60% |
7.70% |
7.16% |
7.63% |
| - Issue Month |
Aug-00 |
Aug-00 |
Jun-01 |
Jun-01 |
May-02 |
Jun-03 |
Apr-03 |
Mar-04 |
Mar-04 |
Mar-04 |
May-05 |
May-05 |
May-05 |
| - Date of maturity of PTC A (at issue) |
Aug-07 |
Aug-07 |
Apr-08 |
Apr-08 |
May-09 |
Nov-11 |
May-12 |
Jan-16 |
Dec-12 |
Aug-14 |
Aug-22 |
Dec-14 |
Feb-21 |
| |
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| Pool Performance ( Information as on December 31, 2005) |
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| |
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| I. Total Pool Collections |
109.73 |
60.23 |
85.51 |
69.33 |
79.10 |
43.41 |
52.16 |
36.58 |
20.96 |
20.68 |
5.30 |
8.77 |
6.42 |
| |
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| II Total Payouts |
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| |
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| A. Payouts to PTC A |
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| - Principal (Scheduled) |
13.62 |
13.21 |
9.89 |
23.41 |
24.09 |
12.42 |
19.77 |
9.34 |
7.44 |
7.86 |
0.83 |
3.25 |
1.93 |
| - Interest |
11.69 |
8.94 |
6.14 |
9.12 |
9.83 |
5.73 |
7.36 |
5.93 |
3.7 |
3.30 |
1.13 |
1.25 |
1.18 |
| - Prepayment |
45.16 |
29.96 |
35.87 |
18.19 |
20.98 |
16.79 |
14.79 |
13.72 |
6.34 |
9.97 |
2.36 |
3.14 |
2.29 |
| - Prepayment Penalty |
0.24 |
0.13 |
0.10 |
0.22 |
0.27 |
0.04 |
0.26 |
0.00 |
0.00 |
0.09 |
0.03 |
0.04 |
0.03 |
| |
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| B. Payout to Servicers |
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| - Trustee (NHB) |
0.16 |
0.08 |
0.11 |
0.14 |
0.18 |
0.02 |
0.03 |
0.02 |
0.04 |
0.03 |
0.01 |
0.01 |
0.01 |
| - Guarantee fee (NHB) |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.00 |
0.03 |
0.04 |
0.03 |
| - Servicing & Paying Agent |
0.39 |
0.21 |
0.27 |
0.37 |
0.47 |
0.30 |
0.39 |
0.00 |
0.20 |
0.00 |
0.00 |
0.00 |
0.00 |
| - Rating Agency |
0.03 |
0.03 |
0.02 |
0.03 |
0.02 |
0.01 |
0.01 |
0.00 |
0.01 |
0.00 |
0.00 |
0.00 |
0.00 |
| |
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| C. Payout to PTC B |
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| - Prepayment |
27.02 |
3.34 |
24.99 |
10.70 |
12.39 |
3.35 |
5.36 |
1.89 |
1.18 |
1.08 |
0.13 |
0.18 |
0.13 |
| - Prepayment Penalty |
0.14 |
0.01 |
0.07 |
0.15 |
0.17 |
0.01 |
0.09 |
0.00 |
0.00 |
0.01 |
0.01 |
0.01 |
0.01 |
| - Residual Income |
11.28 |
4.32 |
8.05 |
7.00 |
10.70 |
4.74 |
4.10 |
5.68 |
2.05 |
-1.66 |
0.77 |
0.85 |
0.81 |
| |
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| Total Payouts (A+B+C) |
109.73 |
60.23 |
85.51 |
69.33 |
79.10 |
43.41 |
52.16 |
36.58 |
20.96 |
20.68 |
5.30 |
8.77 |
6.42 |
| |
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| III. Pool Outstanding Balance |
2.50 |
1.04 |
3.47 |
11.09 |
27.90 |
31.57 |
37.23 |
44.84 |
35.40 |
24.60 |
27.23 |
29.60 |
28.28 |
| - Class A Outstanding |
0.92 |
0.68 |
1.08 |
3.24 |
13.13 |
25.24 |
25.09 |
38.78 |
29.18 |
22.14 |
25.81 |
27.92 |
26.75 |
| - Class B Outstanding |
1.58 |
0.36 |
2.39 |
7.85 |
14.77 |
6.33 |
12.14 |
6.06 |
6.22 |
2.46 |
1.42 |
1.68 |
1.53 |
| IV. Credit Enhancement Coverage |
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| - Proportion of Residual Cashflow |
37.35% |
11.72% |
37.39% |
27.21% |
27.43% |
17.56% |
20.20% |
18.00% |
14.95% |
- |
12.12% |
8.86% |
10.14% |
| - Cash Collateral / Guarantee (at the time of issue) |
1.10 (Guarantee) |
1.72 |
0.86 |
0.76 |
0.77 |
0.87 |
0.39 |
1.24(Guarantee) |
0.68 |
9.81* |
4.47 |
5.45 |
3.85 |
| - Any tapping of Cash Collateral or invoking of Guarantee |
No |
No |
No |
No |
No |
No |
No |
No |
No |
Yes |
No |
No |
No |
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| V. Collection Efficiency** |
95.43% |
90.18% |
91.10% |
95.48% |
95.31% |
96.81% |
95.64% |
93.41% |
88.08% |
94.07% |
93.74% |
96.73% |
93.14% |
| Amount in loans where |
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| instalments are in arrears for more than 3 months |
0.09 |
0.07 |
0.05 |
0.07 |
0.16 |
0.06 |
0.17 |
0.29 |
0.44 |
0.03 |
0.01 |
0.01 |
0.01 |
| |
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| VI. Average Pool Yield (% p.a.) |
16.58% |
15.17% |
14.13% |
11.76% |
11.50% |
9.61% |
8.65% |
10.65% |
8.50% |
8.54% |
9.48% |
9.10% |
9.34% |
| - Average PTC A Yield (% p.a.) |
12.42% |
11.97% |
10.40% |
10.55% |
9.15% |
6.30% |
7.40% |
6.98% |
6.25% |
7.07% |
8.55% |
8.27% |
8.39% |
| - Average PTC B Yield (% p.a.) |
21.10% |
39.91% |
17.76% |
12.78% |
13.59% |
22.36% |
11.07% |
37.76% |
18.14% |
- |
45.04% |
43.42% |
43.24% |
| |
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| VII. Average Prepayment Rate |
4.70% |
3.35% |
3.79% |
1.55% |
1.47% |
1.45% |
1.21% |
1.17% |
0.86% |
1.72% |
1.41% |
1.65% |
1.30% |
| per month (% of pool outstanding) |
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| VIII. NHB's investments in PTC A |
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| - at time of issue |
- |
- |
- |
- |
- |
2.97 |
- |
- |
- |
- |
- |
- |
- |
| - current outstanding |
- |
- |
- |
- |
- |
1.38 |
- |
- |
- |
- |
- |
- |
- |
** Averaged for the period of ten quarters ended December 31, 2005
* Balance outstanding- Rs.9.29 crore