(The following statement was released by the rating agency) Fitch Ratings-Hong Kong-24 December 2020: Fitch Ratings has affirmed six Indian asset-backed securities (ABS) transactions at ‘BBB-sf’ and has removed the transactions from Rating Watch Negative (RWN), on which they had been placed since February 2020. The Outlook is Stable. The transactions are securitisations of Indian auto-loan receivables. The affirmation and Stale Outlook follow the completion of a restructuring process to address cash-collateral inaccessibility and payment interruption risk as well as the easing of macroeconomic stress and a probable improvement in the operational environment from the lows of the pandemic-related lockdown period. Sansar Trust Dec 2018 III —-A ; Long Term Rating; Affirmed; BBB-sf; Rating Outlook Stable Sansar Trust September 2018 II —-A ; Long Term Rating; Affirmed; BBB-sf; Rating Outlook Stable Sansar Trust Dec 2017 —-A ; Long Term Rating; Affirmed; BBB-sf; Rating Outlook Stable Sansar Trust Aug 2017 —-A ; Long Term Rating; Affirmed; BBB-sf; Rating Outlook Stable SANSAR TRUST FEB 2019 V —-A ; Long Term Rating; Affirmed; BBB-sf; Rating Outlook Stable Indian Receivable Trust Dec 18 A —-A ; Long Term Rating; Affirmed; BBB-sf; Rating Outlook Stable KEY RATING DRIVERS Completion of Restructuring Process: The transactions have completed restructuring to extend the final legal maturity and allow more time for loan collection and recovery. The transactions were rated on a timely interest and principal basis at closing and now have a timely interest and ultimate payment structure, which provides greater liquidity support. Cash collateral was also transferred to an account opened in the name of the trust to address inaccessibility risk should the originator default. The transactions were placed on RWN since February 2020 due to the significant macroeconomic stress caused by prolonged lockdowns to contain the coronavirus; the risk of tighter available liquidity and credit enhancement to protect noteholders should underlying borrowers be granted and accept payment holidays due to the pandemic; and the risk of cash collateral inaccessibility should the originator default. Recovery from Pandemic-Related Stress: The Stable Outlook is based on Fitch’s view that pandemic-related stress has fallen from the peak of the crisis, though some stress is likely to remain. The collection rate has improved since India eased its lockdown in May 2020, returning to near pre-crisis levels for most transactions. Fitch forecasts GDP growth to contract by 9.4% in the financial year ending March 2021 (FY21) (+1.1pp from our September forecast), but to recover by 11.0% in FY22 and 6.3% in FY23. The operational environment of the commercial-vehicle sector is likely to improve from the 2020 lows as economic activity gradually resumes, however, we still expect borrowers to face higher stresses in 2021 compared with the pre-pandemic period. Lower Obligor Default Risk: Fitch expects delinquencies to remain high through to 2H21. Net cumulative 90+ days past due (dpd) arrears of Indian auto-loan securitisations have been stable since the moratorium, but we expect these to rise by 1.25x-1.50x from our initial base-case assumptions in 2021, due to the lagged effect of macroeconomic stress. Fitch raised its base-case default-rate assumptions for all outstanding transactions as a percentage of outstanding pool balances by 1.75x-2.00x in June 2020, and these remain higher than what we assumed at closing. We treat 90+ dpd arrears as defaulted receivables in our analysis. We assume a recovery rate of 50% of the defaulted amount and a prepayment rate of 6% a year for each transaction. Our other base-case assumptions are as follows: We assume Indian Receivable Trust Dec18 A’s default rate at 7.50% of the outstanding 0-90 dpd loan balance, with a ‘BBB-sf’ rating-stress multiplier and ‘BBB-sf’ stress recovery haircut of 2.57x and 26.70%, respectively. Net cumulative 90+ dpd was 2.01% of the original note balance as of the November 2020 payout report. We assume Sansar Trust Aug 2017’s default rate at 4.31% of the outstanding 0-90 dpd loan balance, with a ‘BBB-sf’ rating-stress multiplier and ‘BBB-sf’ stress recovery haircut of 2.57x and 26.70%, respectively. Net cumulative 90+ dpd was 0.52% of the original note balance as of the November 2020 payout report. We assume Sansar Trust Dec 2017’s default rate at 4.68% of the outstanding 0-90 dpd loan balance, with a ‘BBB-sf’ rating-stress multiplier and ‘BBB-sf’ stress recovery haircut of 2.57x and 26.7%, respectively. Net cumulative 90+ dpd was 0.62% of the original note balance as of the November 2020 payout report. We assume SANSAR TRUST September 2018 II’s default rate at 5.89% of the outstanding 0-90 dpd loan balance, with a ‘BBB-sf’ rating-stress multiplier and ‘BBB-sf’ stress recovery haircut of 2.57x and 26.7%, respectively. Net cumulative 90+ dpd was 0.45% of the original note balance as of the November 2020 payout report. We assume Sansar Trust Dec 2018 III’s default rate at 7.05% of the outstanding 0-90 dpd loan balance, with a ‘BBB-sf’ rating-stress multiplier and ‘BBB-sf’ stress recovery haircut of 2.57x and 26.7%, respectively. Net cumulative 90+ dpd was 0.49% of the original note balance as of the December 2020 payout report. We assume SANSAR TRUST FEB 2019 V’s default rate at 6.83% of the outstanding 0-90 dpd loan balance, with a ‘BBB-sf’ rating-stress multiplier and ‘BBB-sf’ stress recovery haircut of 2.57x and 26.7%, respectively. Net cumulative 90+ dpd was 0.67% of the original note balance as of November 2020 payout report. Sufficient Cash Flow to Withstand Assumed Stress: We tested the transaction cash flow under our stress scenarios to assess its sufficiency for timely payment of interest and ultimate payment of principal at the ‘BBB-sf’ rating level. We subtracted commingling-risk exposure from the starting collateral balance of the underlying pools. Credit enhancement provides protection against tighter liquidity and credit losses. The transactions had higher model-implied ratings than the notes’ current ratings, which are capped at the ‘BBB-‘ rating trigger of the credit collateral banks holding the first- or second-loss credit facility. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: The ratings are capped at ‘BBB-sf’ due to the account-bank rating trigger of ‘BBB-‘, and hence are unlikely to be upgraded. Factors that could, individually or collectively, lead to negative rating action/downgrade: The ratings of Indian Receivable Trust Dec18 A, Sansar Trust Aug 2017 and Sansar Trust Dec 2017’s notes remain unchanged even if the base-case default rate increases by 50% and the recovery rate decreases by 50% simultaneously. The ratings of SANSAR TRUST September 2018 II’s notes may be downgraded to ‘BB+sf’ if the base-case default rate increases by 50% and the recovery rate decreases by 50% simultaneously. The ratings of Sansar Trust Dec 2018 III’s notes may be downgraded to BBsf’ if the base-case default rate increases by 50% and to ‘BB+sf’ if the base-case default rate increases by 25% and the recovery rate decreases by 25% simultaneously. The ratings may be downgraded to ‘BB-sf’ if the base-case default rate increases by 50% and the recovery rate decreases by 50% simultaneously. The ratings of SANSAR TRUST FEB 2019 V’s notes may be downgraded to BB+sf’ if the base-case default rate increases by 25% and to ‘BBsf’ if the base-case default rate increases by 50%. The ratings may be downgraded to ‘BB+sf’ if the base-case default rate increases by 25% and the recovery rate decreases by 25% simultaneously. The ratings may be downgraded to ‘B+sf’ if the base-case default rate increases by 50% and the recovery rate decreases by 50% simultaneously. The above sensitivity analysis assumes credit enhancement and other factors remain constant. Fitch acknowledges the uncertainty about the future path of coronavirus-related containment measures, and has therefore considered a more severe economic downturn scenario than currently contemplated in its base-case scenario. However, we consider the stress incorporated in our base-case default rate and rating sensitivities as sufficient buffer against the potential increase in defaults under the downside scenario. Therefore, we believe the rating sensitivities above capture the coronavirus downside risks sufficiently. Best/Worst Case Rating Scenario International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from ‘AAAsf’ to ‘Dsf’. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio as part of its ongoing monitoring. Prior to the transactions closing, Fitch reviewed a small targeted sample of the origination files of Shriram Transport (NS:) Finance Company Limited and Tata Motors (NS:) Finance Limited and found the information contained in the reviewed files to be adequately consistent with the originators’ policies and practices and the other information provided to the agency about the asset portfolios. Overall, Fitch’s assessment of the information on the asset pools relied upon for the agency’s rating analysis, according to its applicable rating methodologies, indicates that it is adequately reliable. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. The issuer has informed Fitch that not all relevant underlying information used in the analysis of the rated notes is public. ESG Considerations Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of ‘3’. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch’s ESG Relevance Scores, visit www.fitchratings.com/esg Contacts: Surveillance Rating Analyst Jason Chiu, Senior Analyst +852 2263 9959 Fitch (Hong Kong) Limited 19/F Man Yee Building 60-68 Des Voeux Road Central Hong Kong Committee Chairperson Atsushi Kuroda, Senior Director +81 3 3288 2692 Media Relations: Alanis Ko, Hong Kong, Tel: +852 2263 9953, Email: [email protected] Wai Lun Wan, Hong Kong, Tel: +852 2263 9935, Email: [email protected] Additional information is available on www.fitchratings.com Applicable Model Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s). Multi-Asset Cash Flow Model, v2.7.0 (1 (https://www.fitchratings.com/site/re/984563)) Additional Disclosures Dodd-Frank Rating Information Disclosure Form (https://www.fitchratings.com/site/dodd-frank-disclosure/10148192) Solicitation Status (https://www.fitchratings.com/site/pr/10148192#solicitation-status) Additional Disclosures For Unsolicited Credit Ratings (https://www.fitchratings.com/site/pr/10148192#unsolicited-credit-ratings-disclosures) Endorsement Status (https://www.fitchratings.com/site/pr/10148192#endorsement-status) Endorsement Policy (https://www.fitchratings.com/site/pr/10148192#endorsement-policy) ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTPS://WWW.FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS (HTTPS://WWW.FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS). IN ADDITION, THE FOLLOWING HTTPS://WWW.FITCHRATINGS.COM/RATING-DEFINITIONS-DOCUMENT (https://www.fitchratings.com/rating-definitions-document) DETAILS FITCH’S RATING DEFINITIONS FOR EACH RATING SCALE AND RATING CATEGORIES, INCLUDING DEFINITIONS RELATING TO DEFAULT. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. DIRECTORS AND SHAREHOLDERS RELEVANT INTERESTS ARE AVAILABLE AT HTTPS://WWW.FITCHRATINGS.COM/SITE/REGULATORY (https://www.fitchratings.com/site/regulatory). FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH RATINGS WEBSITE. Copyright © 2020 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch’s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third- party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed. The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001 Fitch Ratings, Inc. is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (the “NRSRO”). While certain of the NRSRO’s credit rating subsidiaries are listed on Item 3 of Form NRSRO and as such are authorized to issue credit ratings on behalf of the NRSRO (see https://www.fitchratings.com/site/regulatory), other credit rating subsidiaries are not listed on Form NRSRO (the “non-NRSROs”) and therefore credit ratings issued by those subsidiaries are not issued on behalf of the NRSRO. However, non-NRSRO personnel may participate in determining credit ratings issued by or on behalf of the NRSRO.