Fitch Affirms ABACAS Series 1 & 2 at 'F1+(zaf)'
Fitch Ratings-Johannesburg/London-16 November 2009: Fitch Ratings has today affirmed Asset Backed Arbitraged Securities (Pty) limited's (ABACAS) Series 1 and Series 2 asset-backed commercial paper (ABCP) notes' Short-term ratings at 'F1+(zaf)' respectively, following a satisfactory review of the programme.
The review consisted of on-site discussions with the management of Absa Capital, a division of Absa Bank Limited ('AAA(zaf)'/Stable/'F1+(zaf)'), as sponsor and financial advisor. The review covered commercial paper issuance, IT administration systems, administrative procedures, credit policies and portfolio composition. The management team charged with the administration of the programme has been stable and is experienced in administering conduits.
ABACAS Series 1 may issue 'F1+(zaf)' CP with a maximum tenor of 186 days. It may only purchase ZAR-denominated debt securities rated at least 'AA-(zaf)'. However, for assets downgraded below 'AA-(zaf)', the issuer will post series-wide credit enhancement (SWCE) within one day of a downgrade and the downgraded assets will then either be promptly transferred out of the series, or if they cannot be disposed of within one business day, SWCE will continue to be posted in accordance with the results from Fitch's simulation model.
ABACAS Series 2 may also issue 'F1+(zaf)' CP with a maximum tenor of 186 days and may purchase both ZAR-denominated debt securities and credit-linked notes rated at least 'AA-(zaf)'. For assets downgraded below 'AA-(zaf)', the issuer has to post SWCE within one day of a downgrade and the downgraded assets will then either be promptly transferred out of the series, or if they cannot be disposed of within one business day, SWCE will continue to be posted in accordance with the results from Fitch's simulation model.
Series-specific liquidity facilities for both Series 1 and Series 2 are provided by 'F1+(zaf)'-rated counterparties and are sized to cover 100% of the aggregate face value of the outstanding CP less the face value of assets maturing at least two days prior to any CP.
The face value of the outstanding CP at end-October 2009 was approximately ZAR2.8bn in ABACAS Series 1 and ZAR2.9bn for ABACAS Series 2. Both ABACAS Series 1 and 2 only
issue CP into the South African market.
Copies of the transaction's respective rating reports are available on the agency's website, www.fitchratings.com.
Applicable criteria available at www.fitchratings.com: 'Global Rating Criteria for Asset Backed Commercial Paper,' dated 22 October, 2009.
Contacts: Emma-Jane Fulcher, London, Tel: +44 (0) 20 7417 3529; Alfons Ideler, Johannesburg, Tel: +27 11 380 0901.
Media Relations: Julian Dennison, London, Tel: +44 020 7682 7480, Email: julian.dennison@fitchratings.com.
Note to Editors: 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. National ratings are designed for use mainly by local investors in local markets and are signified by the addition of an identifier for the country concerned, such as 'AAA(zaf)' for National ratings in South Africa. Specific letter grades are not therefore internationally comparable.
Additional information is available at www.fitchratings.com.
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