South African Securitisation Programme (RF) Limited - Series 2 (Monitoring Dashboard)

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South African Securitisation Programme (RF) Limited – Series 2 (Monitoring Dashboard)
  • South African Securitisation Programme (RF) Limited - Series 2 (Monitoring Dashboard)
  • Year : Feb 2020
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Summary

The net default trigger was retrospectively recalculated in December 2019 due to two reasons.

  1. The calculation of the denominator the “Average NPV of EL for the past 12 months” has been aligned with transaction documents. The previous calculation subtracted cumulative defaults from the portfolio balance as opposed to using the current balance. 
  1. The monthly defaults and recoveries were revised to reflect their “true” value as the recoveries since Sasfin migrated to a new debtor’ system in 2019 only reflected legal collections as opposed to the complete list of the recoveries related to the default list.

Additional Information

The Dashboard covers the period from December 2018 to December 2019 and is part of GCR’s performance monitoring process and does not constitute rating action or rating reports. GCR will update the Dashboards at least on a quarterly basis.

The Dashboard exhibits key performance metrics related to the South African Securitisation Programme (RF) Ltd – Series 2 transaction, which include credit enhancement levels, excess spread, defaults, recoveries and covenants.

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