Fitch Affirms Greenhouse Funding RMBS
Fitch Ratings-London/Johannesburg-01 June 2009: Fitch Ratings has today affirmed Greenhouse Funding (Pty) Ltd - Series 1's (Greenhouse) six tranches of residential mortgage-backed securities following a performance review. The agency has simultaneously assigned Loss Severity (LS) Ratings to all tranches. A full rating breakdown is provided at the end of this comment.
Greenhouse was issued in December 2007, and consists of mortgage loans originated by Nedbank Retail, a division of Nedbank Limited ('AA(zaf)'/'F1+'/Negative). Greenhouse is still in its five-year revolving period, whereby the issuer may use principal collections for the purchase of additional assets. There are various triggers in place to mitigate a potential deterioration in the credit quality of the portfolio during the revolving period.
The underlying collateral has performed as expected to date. As of April 2009, Greenhouse displayed arrears greater than three months of 1.34% of the outstanding portfolio balance. As a consequence, an arrears reserve trigger event occurred as three month plus arrears exceeded 1%. Following this trigger event, excess spread generated in April 2009 has been used to fund the arrears reserve at its required amount. Should arrears greater than three months rise to 2.5%, a further arrears trigger would occur, whereby the revolving period would come to an end.
The ratings are affirmed as follows:
Class A1: affirmed at 'AAA(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-1'
Class A2: affirmed at 'AAA(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-1'
Class B: affirmed at 'AA+(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-2'
Class C: affirmed at 'A+(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-2'
Class D: affirmed at 'BBB+(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-3'
Class E: affirmed at 'BBB-(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-2'
The Class E note is rated only for ultimate payment of principal and not timely or ultimate payment of interest.
Further commentary and performance data on the transaction are available on the agency's subscription website, www.fitchresearch.com.
Contacts: Joshua Cohen, Johannesburg, Tel: +27 11 380 0907; Alfons Ideler, +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.
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