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Rating Action:

Moody's assigns definitive global scale ratings to South African RMBS issued by Blue Granite Investments No. 4 (Proprietary) Limited

07 Mar 2007
Moody's assigns definitive global scale ratings to South African RMBS issued by Blue Granite Investments No. 4 (Proprietary) Limited

ZAR2.2 Billion of Debt Securities affected; first South African RMBS rated on Moody's global scale

Johannesburg, March 07, 2007 -- Moody's Investors Service has assigned the following definitive local currency global scale ratings to seven classes of asset-backed notes issued by Blue Granite Investments No. 4:

- Aaa to ZAR350,000,000 of the Class A0 Secured Floating Rate Notes due 21 March 2018,

- Aaa to ZAR1,450,000,000 of the Class A2 Secured Floating Rate Notes due 21 March 2037,

- Aa2 to ZAR192,000,000 of the Class B Secured Floating Rate Notes due 21 March 2037,

- A2 to ZAR100,000,000 of the Class C Secured Floating Rate Notes due 21 March 2037,

- Baa2 to ZAR47,000,000 of the Class D Secured Floating Rate Notes due 21 March 2037,

- Ba2 to ZAR45,000,000 of the Class E Secured Floating Rate Notes due 21 March 2037; and

- B2 to ZAR14,000,000 of the Class F Secured Floating Rate Notes due 21 March 2037.

The provisional rating (P)Aaa assigned by Moody's to the A1 Note on February 6th 2007 remains outstanding as the A1 Note has not been issued yet.

Blue Granite Investments No. 4 is the fourth residential mortgage securitisation of The Standard Bank of South Africa (SBSA) (Baa1/Prime-2/C+) issued under the Blue Granite Investments Master Programme and the first South African RMBS transaction to be assigned local currency global scale ratings. The loans have been originated by SBSA to private individuals for the acquisition of properties in South Africa. SBSA will continue to perform the servicing of the portfolio as well as other key functions.

The transaction allows for two note issuance dates:

- on the first note issuance date (7 March 2007) the A0, A2 and B to F Notes will be issued.

- on the second note issuance date (maximum one month after the first note issuance date) the Issuer has the option to issue an A1 Note and further subordinated notes, subject to confirmations by the Security SPV and Moody's that this will not negatively affect the rating of the current Notes outstanding. The ratings on the Class A1 Note will remain provisional ratings until and, if the Class A1 Notes are issued on the second note issuance date.

In the event A1 Note is not issued a smaller mortgage pool will be purchased funded by the first note issuance proceeds and the percentage of the A0 and A2 Note will increase while the total credit enhancement under the A-0 and A-2 Notes in percentage terms will remain unchanged. Given the uncertainty of whether the A1 Note will be issued or not Moody's has taken the most conservative outcome in its analysis.

The main features of Blue Granite Investments No.4 include:

- The Indemnity bonds are registered in the name of SBSA at close and will be transferred to a SB Guarantee Company within a maximum 6 months after the close of the transaction;

- 3 year revolving period to March 2010, subject to portfolio limits and no stop purchase events occurring;

- The note issuance and subordinated loans (1.2% of the initial Notes in issue) fund (i) the purchase of mortgages, (ii) the Cash Reserve Fund equal to 2.75% of the outstanding note balance and (iii) the Redraw Reserve Fund equal to 2.25% of the outstanding note balance; and

- The arrears reserve trigger has been divided into two trigger levels. If arrears greater than 3 instalments exceed 0.8% of initial outstanding portfolio excess spread is trapped in the transaction and additional home loans will be limited to a maximum loan-to-value (LTV) of 80%, instead of 100%. The second trigger level is set at 1.2% of initial outstanding portfolio and if exceeded will stop the revolving period permanently.

According to Moody's, the ratings take into account, amongst others, the creditworthy originator and servicer in SBSA, the arrears reserve trigger, relatively high weighted average LTV of the portfolio and the inclusion of portfolio limits.

Furthermore, SBSA performs various support roles including hedge counterparty, programme and series manager, account bank and servicer. In order to mitigate exposure to SBSA, the transaction provides for timely replacement of SBSA in case its financial strength deteriorates to a level not consistent with the rating of the senior Notes.

The definitive ratings address the expected loss posed to investors by the legal final maturity. In Moody's opinion the structure allows for timely payment of interest and ultimate payment of principal at par on or before the rated final legal maturity date. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's assigned provisional ratings to this transaction on 6 February 2007.

To obtain a copy of the New Issue Report or in-depth information on the definitions and methodology of Moody's National Scale Ratings for South Africa please contact Moody's Client Service Desk in London at +44 (0) 20 7772 5454 or visit our web site at

Dion Bate
Associate Analyst
Structured Finance Group

Annick Poulain
Managing Director
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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