(The following statement was released by the rating agency)Link to Fitch Ratings' Report: The Thekwini Fund 11 (RF) Limited - Tap 1 Issuehttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=720025 LONDON, October 09 (Fitch) Fitch Ratings has assigned The Thekwini Fund 11 (RF) Limited's (Thekwini 11) tap issue notes expected National Long-term ratings, as follows:ZAR275 m class A4 notes: 'AAA(zaf)(EXP)'; Outlook StableZAR608 m class A5 notes: 'AAA(zaf)(EXP)'; Outlook StableZAR0 class A6 notes: 'AAA(zaf)(EXP)'; Outlook StableZAR55 m class B2 notes: 'A+(zaf)(EXP)'; Outlook StableZAR45 m class C2 notes: 'BBB-(zaf)(EXP)'; Outlook StableZAR17 m class D2 notes: Not ratedFitch has simultaneously affirmed the National, Long-term ratings of the existing tranches previously issued by Thekwini 11 as follows:ZAR400m class A1 notes: 'AAA(zaf)'; Outlook StableZAR500m class A2 notes: 'AAA(zaf)'; Outlook StableZAR45m class A3 notes: 'AAA(zaf)'; Outlook StableZAR59m class B1 notes: 'A+(zaf)'; Outlook StableZAR48m class C1 notes: 'BBB-(zaf)'; Outlook StableZAR18m class D1 notes: Not ratedThe transaction is a securitisation of residential mortgages originated by South African Home Loans (Pty) (SAHL) in South Africa, which closed in August 2013. Thekwini 11 will issue additional tranches under this tap issue: the notes that have been assigned an expected rating total ZAR983m, while the total new issue (including an unrated class D2 and a subordinated loan) is ZAR1,023m. Credit enhancement is provided by over-collateralisation and a reserve fund of 2.5% and, after the tap issue, will total 13.87% for the class A notes, 8.35% for the class B notes and 3.85% for the class C notes. For the class A notes, this calculation is based on an aggregate amount for the class A4, A5 and A6 notes of ZAR883m. The final spit will be determined on the auction date.KEY RATING DRIVERSFitch's analysis carried out for this tap issue confirmed that the underlying portfolio's characteristics have substantially remained in line with the original issue's analysis. The following key rating drivers still apply.Strong Originator PerformanceFitch views the performance of mortgages originated by SAHL as better than the overall South African market, which is evidenced by the lender's cumulative default data. Furthermore, SAHL's servicing and arrears management demonstrate lower property sale discounts and shorter average work-out timelines compared with peers. The agency considered this by applying a 20% downward adjustment to the loan default probabilities assumed at 'B(zaf)'. Limited Revolving PeriodThe transaction originally had a 1.5-year revolving period, due to end in January 2015, where principal collections may be used to purchase additional home loans, subject to the satisfaction of portfolio covenants. Fitch considers the portfolio covenants sufficient to mitigate a material deterioration in performance during the revolving period. Low LTVsThe transaction features loans with a maximum loan to value (LTV) ratio of 81% and a portfolio covenant that limits any increase in the weighted average (WA) LTV from the initial portfolio to 1% during the revolving period. This covenant restricts the deterioration in credit quality of the initial portfolio and also limits the dilution of potential recoveries through replenishment. The WA LTV for the combined portfolio (including both the existing securitised portfolio and the tap issue's provisional portfolio) was 68.1%.Stable Asset OutlookFitch expects the performance of the mortgages to be stable in the short to medium term. In particular, the agency believes that neither the limited economic growth nor any of the factors behind the recent downgrade of the sovereign's rating will directly affect mortgage performance. Rising interest rates are one downside risk. Fitch currently expects an only modest tightening in monetary policy by the end of 2014, but given inflationary pressures and the recent depreciation of the South African rand, the agency cannot rule out the possibility of an earlier rise in rates. RATING SENSITIVITIESMaterial increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case expectations, which in turn may result in potential negative rating actions on the notes. In particular, default rates 15% higher and recoveries 15% lower than currently assumed by the agency would result in a downgrade of the class A notes to 'AA(zaf)' from 'AAA(zaf)'. More detailed model implied ratings sensitivity can be found in the presale report atwww.fitchratings.com. For its ratings analysis, Fitch used the loan-by-loan information provided by SAHL and aggregate statistics that were compared to the original issue's. Fitch analysed the collateral using its mortgage loss model, as described in the applicable criteria (see below). The agency assessed the transaction cash flows using its proprietary cash-flow model, further described in 'EMEA Cash Flow Analysis Criteria'. Contact: Primary AnalystDaniele VisentinAssociate Director+44 20 3530 1371Fitch Ratings Limited30 North ColonnadeLondon E14 5GN Secondary AnalystNicolas ArdointDirector+44 20 3530 1106 Committee ChairpersonSelena GreaneySenior Director+44 20 3530 1135 Media Relations: Sandro Scenga, New York, Tel: +1 212-908-0278, Email: sandro.scenga@fitchratings.com.Additional information is available atwww.fitchratings.com. The information used by Fitch to analyse this transaction was provided by SAHL and Standard Bank of South Africa, as arranger. Applicable criteria, 'EMEA RMBS Master Rating Criteria', dated 6 June 2013, 'EMEA Residential Mortgage Loss Criteria', dated 6 June 2013, 'EMEA Cash Flow Analysis Criteria', dated 6 June 2013, and 'EMEA Criteria Addendum - South Africa' dated 21 February 2013 are available atwww.fitchratings.com. Applicable Criteria and Related Research: EMEA RMBS Master Rating Criteriahttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709893 EMEA Residential Mortgage Loss Criteriahttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709915 EMEA RMBS Cash Flow Analysis Criteriahttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709916 EMEA Criteria Addendum - South Africahttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=702190 Additional Disclosure Solicitation Statushttp://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=804524 ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.
Fitch Assigns Thekwini 11's Tap 1 Issue Expected Ratings; Affirms Existing Tranches
(The following statement was released by the rating agency)Link to Fitch Ratings&apos Report: The Thekwini Fund 11 (RF) Limited - Tap 1 Issuehttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=720025LONDON, October 09 (Fitch) Fitch Ratings has assigned The Thekwini Fund 11 (RF) Limited&aposs (Thekwini 11) tap issue notes expected National Long-term ratings, as follows:
October 9, 2013
