Download Category: Structured Finance

On 30 November 2023, GCR Ratings (GCR) affirmed the national scale long-term issue credit ratings of the notes issued under the South African Securitisation Programme (RF) Limited – Series 2 (SASP 2 or the Issuer).

The rating action reflects the updated asset performance and GCR’s credit and cash flow analysis using the most recent collateral data as at September 2023. The ratings also reflect the credit enhancement levels which are modelled as per the 10% overcollateralisation covenant.

The transaction is currently in its Revolving Period. However, as per GCR’s Criteria for Rating Structured Finance Transactions, the cash flows were modelled as per the Pre-Enforcement Priority of Payments applicable in an Amortisation Period.

The credit ratings assigned to the Class A Notes relate to the timely payment of interest and ultimate payment of principal by their Final Maturity Date, while the ratings assigned to the Class B and Class C Notes relate to the ultimate payment of interest and principal by their Final Maturity Date. The ratings exclude an assessment of the ability of the Issuer to pay either any early repayment or default interest rate penalties.

SASP 2 is the second of three series of the R5bn Multi-Seller Segregated Asset-Backed Note Programme of rental and equipment lease assets originated by Sasfin Bank Ltd. SASP 2 is primarily made up of capital asset leases, while SASP Series 1 and SASP Series 3 are primarily made up of office equipment leases.

This report focuses on changes in the main drivers of the ratings and is an update to GCR’s SASP 2 Surveillance Report published in December 2022.

On 26 October 2023, GCR Ratings (GCR) affirmed the national scale long term issue credit ratings of the Notes issued by AB Finco 1 (RF) Limited (AB Finco 1 or the Issuer) as well as their outlooks.
The ratings assigned to the Notes issued in respect of each Series reflect 1) the credit linkage of the Notes to the underlying Borrower, and 2) the ability of the Issuer to pay for the Programme’s senior expenses via each of its Series. For each Series, the Issuer’s ability to make payments due in respect of the Notes is reliant on the ability of the respective Borrower to make payments due in accordance with the terms of its Loan Agreement with Absa CIB. As such, subject to GCR’s analysis of the structure as set out in this report, the ratings of the Notes issued under each Series are based on a look-through to the long-term unsecured issuer credit ratings of the respective underlying Borrowers. GCR also analysed the cost structure of the Programme in light of the revenue generated in each Series and considering potential cost increases due to inflation or unexpected expenses.
The national scale ratings assigned to the Notes relate to the timely payment of interest and principal by the respective final maturity date of the Notes issued in relation to each Series. The ratings exclude an assessment of the ability of the Issuer to pay either any early repayment or default interest rate penalties.

9 November 2023 – GCR Ratings (GCR) assigned indicative national scale long term issue credit ratings and outlooks to the Class A10, B10 and C10 Notes (the new notes) expected to be issued under the South African Securitisation Programme (RF) Limited – Series 3 (SASP 3 or the Issuer) on or around 15 November 2023. The new Notes will be issued to refinance the existing Class A6, B6 and C6 Notes which have a Scheduled Maturity Date of 15 November 2023. The indicative ratings will expire on the sooner of 9 December 2023 or the issuance date of the new Notes, while the ratings assigned to the maturing Notes are expected to be withdrawn post the refinance. The credit ratings of the existing Notes are not expected to change on the planned refinance.

The rating analysis incorporates the updated asset performance and GCR’s credit and cash flow analysis using the most recent (September 2023) collateral data. While the ratings assigned to the Class A Notes demonstrate some resilience to certain modelled stresses, the Class B Notes’ and Class C Notes’ ratings show some sensitivity to variation in the key modelled metrics of the asset portfolio.

The transaction is currently in its Revolving Period. However, as per GCR’s Criteria for Rating Structured Finance Transactions, the cash flows were modelled as per the Pre-Enforcement Priority of Payments applicable in the Amortisation Period.

The credit ratings assigned to the Class A Notes relate to timely payment of interest and ultimate payment of principal by the Final Redemption Date of each Class of Notes respectively, while the ratings assigned to the Class B and Class C Notes relate to ultimate payment of interest and ultimate payment of principal by their Final Redemption Date. The ratings exclude an assessment of the ability of the Issuer to pay either any early repayment or default interest rate penalties. 

SASP 3 is the third of three series of the ZAR5bn multi-seller segregated asset-backed notes programme of rental and equipment lease financed assets originated by Sasfin Bank Ltd (Sasfin). SASP Series 1 and SASP 3 are primarily made up of office equipment leases, while SASP Series 2 is primarily made up of capital asset leases.

The Issuer will use the proceeds of the new Notes to refinance the ZAR300M MWAR05 and ZAR200M MWAR10 Notes with Scheduled Maturity in November 2023. GCR performed the cash flow modelling of the Transaction using the indicative capital structure and additional information provided by the Originator.

The Transaction has a Subordinated Loan balance outstanding of ZAR261,399,156. The Subordinated Loan is unrated and held by Merchant West (Pty) Ltd (as the Subordinated Loan Provider). Merchant West (Pty) Ltd is also the Originator, Seller, and Servicer of the Transaction.

The credit ratings accorded to the Class A Notes relate to the timely payment of interest and ultimate payment of principal. The upcoming issuance of these Notes was found to have no rating impact on the existing Notes. The ratings exclude an assessment of the ability of the Issuer to pay either any early repayment penalties or any default interest rate penalties.

On 10 August 2023, GCR Ratings (GCR) affirmed the following national scale long-term issue credit ratings of the various Classes of Notes issued by Agri Harvest Investments (RF) Limited – Transaction 1 (the Issuer, Transaction 1 or the Transaction):
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Class A Notes, Revolving Credit Facility (RCF), AAA(ZA)(sf) Stable Outlook
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Class B Notes, stock code AH001U; AAA(ZA)(sf) Stable Outlook
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Class C Notes, stock code AH002U; A-(ZA)(sf) Stable Outlook
The Class A Notes represent the Revolving Credit Facility (RCF) that Rand Merchant Bank (RMB) provides for the Transaction. In addition, unrated Class D Notes of R105,000,000 and unrated subordinated securities in the form of Redeemable Preference Shares (Class E Notes) of R42,600,000 have been issued.
The credit ratings assigned to all Classes of Notes relate to the ultimate payment of interest and principal by the Final Maturity Date, as contractually required. The ratings exclude an assessment of the ability of the Issuer to pay either any (early repayment) penalties or any default interest rate penalties.

On 18 August 2023, GCR Ratings (GCR) assigned national scale long-term issue credit rating to the Class A32 Note (the new Note) issued under South African Securitisation Programme (RF) Limited – Series 1 (SASP 1 or the Issuer) on 17 August 2023. The new Note was issued to refinance the Class A28 Note, which had a Scheduled Maturity Date of 17 August 2023. The rating of the Class A28 Note which has been redeemed in full has been withdrawn post the refinance. At the same time, GCR affirmed the ratings assigned to the existing Notes with Stable Outlooks.

On 31 July 2023, the Issuer issued ZAR750M of Notes. Proceeds of the issuance and the Subordinated Loan were used to acquire a portfolio of Auto Instalment Sale Agreements (ISAs) originated by Investec Bank Limited (Investec) and their Related Security which includes right to payment in respect of insurance policies.

On 1 August 2023, GCR Ratings (GCR) assigned indicative national scale long-term issue credit rating to the Class A32 Note (the new Note) to be issued under South African Securitisation Programme (RF) Limited – Series 1 (SASP 1 or the Issuer) on or around 17 August 2023. The new Note will be issued to refinance the maturing Class A28 Note, which has a Scheduled Maturity Date of 17 August 2023. The indicative rating will expire on the sooner of 1 September 2023 or the issuance date of the new Note, while the rating assigned to the maturing Note is expected to be withdrawn post the refinance. The credit ratings of the existing Class A, Class B and Class C Notes are not expected to change on the planned refinance.