GCR Ratings (“GCR”) accorded indicative long-term credit ratings to the various Classes of Notes to be issued by Urban Ubomi 1 (RF) Limited under its newly established R2.5bn Mortgage Loan Backed Securitisation Programme. In order to assess the credit strength of the various Classes of Notes to be issued, GCR analysed the performance of the entire portfolio of Loan Agreements historically originated by TUHF to formulate base cases as inputs to its cash flow model. GCR then modelled the Transaction’s cash flows in a plethora of stress scenarios, differing default and recovery distributions and interest rate paths, inter alia. The modelled Transaction structure accords with the draft Transaction documentation as presented by TUHF and utilises the indicative portfolio pool cut and indicative capital structure received by GCR.
The indicative ratings are based on the cash flow model outcome whereby the interest and principal of the various classes of Notes are paid in full in the stress scenarios that correspond with the ratings accorded to them. Although the Participating Assets are mortgage loans, given the observed behaviour of these loans, GCR used its Consumer Asset-Backed Securities Rating Criteria, September 2018, and not its Residential Mortgage Backed Securities Rating Criteria, to analyse and model the Transaction.