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This report explains GCR’s approach to the risks related to each of these SPVs to rate the debt issued by the Issuing SPV. Please note that the report excludes ancillary SPVs (such as Security SPVs in South Africa) that form an integral part of the securitisation scheme.
Securitisation structures typically involve a single special-purpose vehicle (SPV or Issuing SPV), being the issuer of debt backed by an asset portfolio, and several service providers. To rate the debt issued by the SPV, GCR Ratings (GCR) would perform its standard analysis on the SPV structure, its asset portfolio and the risk posed by the various counterparties involved.