GCR modelled the Transaction’s cash flows according to its final capital structure and priorities of payments, applying its Criteria for Rating Structured Finance Transactions, September 2018 and Criteria for Rating Residential Mortgage Backed Securities (“RMBS”), November 2018. Fox Street 7’s asset portfolio was modelled based on the earmarked (July 2019) pool provided to GCR, with defaults, recoveries, prepayments and arrears modelled according to GCR’s standard RMBS methodology and assumptions. The rating outcome is a direct result of the modelling of the Transaction’s cash flows in specific rating scenarios and is detailed further in the Rating Analysis section.
Fox Street 7 is an RMBS securitisation of home loans originated by Investec Bank Limited (“Investec”) to its private banking clients that issued an initial R1.06bn of secured Notes on 29 November 2019. Investec has previously executed six other similar Fox Street RMBS transactions.