Fitch Assigns Nqaba Finance 1 (Proprietary) Limited - 2009 Refinance Final National Ratings
Fitch Ratings-London/Johannesburg-22 May 2009: Fitch Ratings has today assigned Nqaba Finance 1 (Pty) Limited's (Nqaba Finance 1) additional floating-rate notes final National ratings and Loss Severity Ratings (LS) as detailed below. The notes have been issued to refinance the existing class A1, B1 and C1 notes.
ZAR696m class A5 floating-rate notes: 'AAA(zaf)'; Outlook Stable; Loss Severity Rating of 'LS-1'
ZAR32m class B5 floating-rate notes: 'AA(zaf)'; Outlook Stable; Loss Severity Rating of 'LS-2'
ZAR32m class C5 floating-rate notes: 'A(zaf)'; Outlook Stable; Loss Severity Rating of 'LS-2'
Fitch has simultaneously affirmed the ratings of the following securities previously issued by Nqaba Finance 1 and assigned LS Ratings as follows:
ZAR376m class A2 floating-rate notes: affirmed at 'AAA(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-1'
ZAR320mclass A3 floating-rate notes: affirmed at 'AAA(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-1'
ZAR304mclass A4 floating-rate notes: affirmed at 'AAA(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-1'
ZAR32m class B2 floating-rate notes: affirmed at 'AA(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-2'
ZAR14m class B3 floating-rate notes: affirmed at 'AA(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-2'
ZAR32m class C2 floating-rate notes: affirmed at 'A(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-2'
ZAR14m class C3 floating-rate notes: affirmed at 'A(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-2 '
ZAR24m class D2 floating-rate notes: affirmed at 'BBB(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-3'
ZAR11m class D3 floating-rate notes: affirmed at 'BBB(zaf)'; Outlook Stable; assigned a Loss Severity Rating of 'LS-3'
The Class D1 note has been repaid but not refinanced.
Nqaba Finance 1 is a South African special purpose vehicle that issued four classes of notes (classes A, B, C and D) to finance the acquisition of a revolving portfolio of residential mortgage loans from Eskom Finance Company (Proprietary) Limited (EFC) that were originally advanced by EFC to employees of Eskom Holdings Limited ('AAA(zaf)'/'F1+(zaf)'/Negative) and its group companies. Fitch notes that some employees have left Eskom, but still have their home loans serviced by EFC. The payroll deduction and housing subsidy to Eskom employees, which comprise 96.04% of the pool creates a credit linkage to Eskom that Fitch has accounted for in its analysis.
Credit enhancement (CE) for the class A notes totals 13%, provided by the subordination of the class B (4%), the class C (4%) and class D notes (1.79%) and a subordinated loan of 3.23%. CE for the class B notes equals 9.02%, provided by the subordination of the class C and D notes and the subordinated loan of 3.23%.
Fitch analysed the collateral for this transaction using a country-specific loan-by-loan mortgage default model as per the agency's criteria (for further information, see the 5 August 2003 criteria, entitled ' 'South African Residential Mortgage Default Model 2003', which is available on Fitch's subscriber website, www.fitchresearch.com). Fitch also requested additional data from the originator to assess the weighted average foreclosure frequencies and weighted average recovery rates generated by the model. The arranger provided loan-by-loan data, including every home loan which has ever been in the portfolio. The data provided information on individual loan characteristics, and most notably whether an individual home loan had been repossessed, repurchased or restructured, the arrears status at the time of such an event, and/or the worst arrears status for loans which have not been repossessed, repurchased or restructured. In addition, the originator provided repossession data on all loans which had been repossessed during the life of the transaction. In the absence of more data to verify the model's output with respect to weighted average recovery rates, the agency tested - in line with its approach for other jurisdictions - the transaction's robustness to withstand higher market value decline stresses.
The ratings address the payment of interest on the notes according to the terms and conditions of the transaction documents, subject to an interest deferral trigger on the class B, C and D notes, as well as the repayment of principal by legal final maturity for each note. Should an interest deferral trigger be hit in respect of the class B, C or D notes, interest might not be received during a period of time, but is expected to be received by legal final maturity. No interest will be accrued on the deferred interest.
The new issue report for this transaction, entitled "Nqaba Finance 1 (Property) Limited - 2009 Refinance", is available on the agency's subscription website, www.fitchratings.com.
Rating Outlooks for European Structured Finance tranches provide forward-looking information to the market. An Outlook indicates the likely direction of any rating change over a one- to two-year period. For further information on Rating Outlooks, refer to "Scanning the Horizon - Rating Outlooks in European Structured Finance", available on the agency's website, www.fitchratings.com.
Contacts: Rabia Parker, Johannesburg, Tel: +27 11 380 0906; Joshua Cohen: +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.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. 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.
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