South African Securitisation Programme (RF) Limited - Series 2
Year : Jun 2019
The South African Securitisation Programme (RF) Limited – Series 2 (“SASP 2”) is a revolving series and the second of three series of the R5bn multi-seller segregated asset-backed note programme of rental and equipment lease financed assets originated by Sasfin Bank Limited (“Sasfin”). SASP 2 is primarily made up of capital assets leases, while SASP 1 and SASP 3 primarily comprise office equipment leases.
GCR modelled the transaction in a Pre-Enforcement Amortisation scenario as per the updated Criteria. The transaction was previously modelled in a Post-Enforcement scenario. In addition, the cumulative default and recovery base cases were amended to reflect the observed historical performance and to enhance the comparability of ratings. Given the obligor concentration limits allowed under the transaction documents, such concentrations drove the stressed cumulative default assumptions made by GCR.