MW Asset Rentals (RF) Ltd (the “Issuer”) is a R2.5bn Lease Receivables Backed Note Programme (the “Transaction”) that issued R1.45bn of Class A Notes. The Transaction is in its revolving phase and continues to acquire assets on a monthly basis. None of the Transaction’s Stop Purchase Triggers and Portfolio Covenants were breached up to December 2020. The Transaction’s Liquidity Reserve, Capital Reserve and Arrears Reserve were maintained at their required levels covering the same period.
GCR modelled the Transaction according to its Pre-Enforcement Priority of Payments (during an Amortising Period). The Existing and Refinance Capital Structures (Appendix B) were modelled to the covenanted 1.28x ACR. Various combinations of scenarios were modelled, including three different default and recovery distribution vectors (front-loaded, back-loaded and stable distributed), three prepayment scenarios (high, low and stable) and three interest rate scenarios (rising, falling and stable). GCR maintained the default distribution vector which accounts for all of the assumed defaults.