Fitch Assigns National Ratings to South African Securitisation Programme (ERS) - Series 1 Notes
Fitch Ratings-Johannesburg/London-19 November 2009: Fitch Ratings has assigned South African Securitisation Programme - Series 1 (Equipment Rentals Securitisation Series) - SASP's (ERS) notes National and Loss Severity (LS) ratings. The ratings are as follows:
ZAR135m Class A2.1 notes: 'AAA(zaf)', Outlook Stable, 'LS-1',
ZAR65m Class A2.2 notes: `AAA(zaf)', Outlook Stable, 'LS-1',
ZAR232m Class A4 notes: `AAA(zaf)', Outlook Stable, 'LS-1',
ZAR50m Class A5 notes: `AAA(zaf)', Outlook Stable, 'LS-1',
ZAR5m Class 3B.1 notes: 'A(zaf)', Outlook Stable, 'LS-3',
ZAR3m Class 3C.1 notes: `BBB(zaf)', Outlook Stable, 'LS-4',
The new notes are part of a ZAR5bn programme and represent a partial refinancing of the existing Series 1 notes issued under the same programme. The notes are 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 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 '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 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.
A new issue 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.
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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