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.