Madrid, March 22, 2016 -- Moody's Investors Service, ("Moody's") has today upgraded the ratings
of Classes B1, B2, B3, C1, C2 and C3 in The Thekwini
Fund 9 (RF) Limited.
The drivers for the upgrade are the deleveraging of the transaction,
as well as the correction of an error in its modelling. Both factors
affect positively the aforementioned notes.
Issuer: The Thekwini Fund 9 (RF) Limited
....Class B1 Notes, Upgraded to A2.za
(sf); previously on Jul 27, 2015 Confirmed at A3.za
(sf)
....Class B1 Notes, Upgraded to Baa2
(sf); previously on Jul 27, 2015 Confirmed at Ba1 (sf)
....Class B2 Notes, Upgraded to Baa2
(sf); previously on Jul 27, 2015 Confirmed at Ba1 (sf)
....Class B2 Notes, Upgraded to A2.za
(sf); previously on Jul 27, 2015 Confirmed at A3.za
(sf)
....Class B3 Notes, Upgraded to Baa2
(sf); previously on Jul 27, 2015 Confirmed at Ba1 (sf)
....Class B3 Notes, Upgraded to A2.za
(sf); previously on Jul 27, 2015 Confirmed at A3.za
(sf)
....Class C1 Notes, Upgraded to Baa2.za
(sf); previously on Jul 27, 2015 Confirmed at Ba1.za
(sf)
....Class C1 Notes, Upgraded to Ba2
(sf); previously on Jul 27, 2015 Confirmed at B1 (sf)
....Class C2 Notes, Upgraded to Baa2.za
(sf); previously on Jul 27, 2015 Confirmed at Ba1.za
(sf)
....Class C2 Notes, Upgraded to Ba2
(sf); previously on Jul 27, 2015 Confirmed at B1 (sf)
....Class C3 Notes, Upgraded to Ba2
(sf); previously on Jul 27, 2015 Confirmed at B1 (sf)
....Class C3 Notes, Upgraded to Baa2.za
(sf); previously on Jul 27, 2015 Confirmed at Ba1.za
(sf)
RATINGS RATIONALE
Today's upgrades reflect the correction of an input error related to the
modelling of commingling risk in this transaction due to the exposure
to South African Home Loans (Pty) Ltd acting as servicer in the transaction.
There is limited commingling risk on the servicer due to structural mitigants
in place, so the commingling exposure has been corrected compared
to the higher exposure modelled in previous rating actions.
The deleverage of the capital structure, which increases credit
enhancement, equally results in a positive impact on the cash flows
modelled for the transaction.
The portfolio expected loss remains unchanged at 2.25% of
the outstanding pool balance, while Moody's has reassessed its lifetime
loss expectation and has decreased the portfolio expected loss assumption
to 1.60% of the original pool balance. The MILAN
CE remains unchanged at 11%.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in January 2015.
Please see the Ratings Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of these
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include (1) performance of the underlying collateral that is better than
Moody's expected, (2) deleveraging of the capital structure and
(3) improvements in the credit quality of the transaction counterparties
and (4) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk 2) performance of the underlying
collateral that is worse than Moody's expected, (3) deterioration
in the notes' available credit enhancement and (4) deterioration in the
credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Antonio Tena
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Christophe de Noaillat
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Upgrades Mezzanine and Junior Notes in The Thekwini Fund 9 (RF) Limited RMBS transaction
