Fitch Assigns South African Securitisation Programme (ERS) - Series 1 Notes Expected National Rtgs
Fitch Ratings-Johannesburg/London-10 November 2009: Fitch Ratings has assigned South African Securitisation Programme - Series 1 (Equipment Rentals Securitisation Series) - SASP's (ERS) upcoming issue of notes expected National and Loss Severity (LS) ratings. The notes are to be issued on 17 November 2009.
ZAR135m Class A2.1 notes: 'AAA(zaf)', 'LS-1', Outlook Stable
ZAR65m Class A2.2 notes: `AAA(zaf)', 'LS-1', Outlook Stable
ZAR232m Class A4 notes: `AAA(zaf)', 'LS-1', Outlook Stable
ZAR50m Class A5 notes: `AAA(zaf)', 'LS-1', Outlook Stable
ZAR5m Class 3B.1 notes: 'A(zaf)', 'LS-3', Outlook Stable
ZAR3m Class 3C.1 notes: `BBB(zaf)', `LS-4', Outlook Stable
Fitch has simultaneously affirmed the National ratings of and assigned loss severity ratings to SASP (ERS) outstanding notes as follows:
ZAR151m Class A2 notes: `AAA(zaf)', `LS-1', Outlook Stable
ZAR202m Class A3 notes: `AAA(zaf)', `LS-1', Outlook Stable
ZAR86m Class 3B notes: `A(zaf)', `LS-3', Outlook Stable
ZAR29m Class 3C notes: `BBB(zaf)', `LS-4', Outlook Stable
The new notes are part of a ZAR5bn programme and will be backed by a pool of equipment leases originated by Sasfin Bank Ltd, Sunlyn Rentals Ltd and a small group of delegated equipment suppliers. The notes are scheduled to mature in one to five years and have their legal final maturity in 2025.
The expected ratings are based on Fitch's portfolio credit analysis and are influenced by the agency's assumptions regarding base case pool defaults (assumed at 3.5%), recoveries (assumed at 18%) and prepayments (assumed at 13%). These base case assumptions are further stressed along the ratings scale according to Fitch's "EMEA Consumer ABS Rating Criteria", dated 1 September 2009, "Criteria for Existing Asset Securitization in Emerging Markets - Sovereign Constraints", dated 17 March 2008 and "Rating Criteria for European Granular Corporate Balance-Sheet Securitisations (SME CLOs)", dated 23 July 2009.
The expected 'AAA(zaf)' National ratings assigned to the Class A2.1, A2.2, A4 and A5 notes are supported by the 9.5% subordination of Class B notes, the 3.34% subordination of Class C notes and a reserve fund sized at 4.46% of issuance. The issued notes are expected to benefit also from healthy excess spread levels due to the high weighted average asset yield (16.89% as of 30 September 2009). The assets are linked to Prime while the notes are linked to 3 months Jibar. In order to cover the basis risk the transaction benefits from a basis swap provided by Nedbank Limited ('AA-(zaf)'/Stable/'F1+(zaf)'). The ratings are also supported by the strong historical performance of the transaction.
Fitch highlights the programme's evergreen revolving period as a risk. This is mitigated by the transaction's early amortisation triggers; by the documented eligibility and portfolio concentration criteria and by Sasfin's undertaking not to make changes to its underwriting policies which may affect pool performance negatively. Critically, the transaction will go into early amortisation if Sasfin fails to refinance any of the maturing note series at their scheduled maturity, reducing considerably the exposure of investors in the rated notes.
The final ratings are contingent upon the receipt of final documents conforming to information already received.
A full presale report is available on www.fitchratings.com.
Contacts: Alfons Ideler, Johannesburg Tel: +27 (0) 11 3800 901; Jaime Sanz, London +44 (0) 20 7682 7279; Andrei Gozia, +44 (0) 20 7682 7263.
Media Relations: Julian Dennison, London, Tel: +44 020 7682 7480, Email: julian.dennison@fitchratings.com; Peter Fitzpatrick, London, Tel: + 44 (0)20 7417 4364, Email: peter.fitzpatrick@fitchratings.com; Hannah Warrington, London, Tel: +44 (0) 207 417 6298, Email: hannah.warrington@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 on www.fitchratings.com.
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