OREANDA-NEWS. S&P Global Ratings today affirmed its credit ratings on Nitro Securitisation 5 Issuer Trust's (Nitro) class B to E notes (see list below).

Today's affirmations follow our review of the transaction's performance since closing in June 2015 (see "Ratings Assigned To South African ABS Transaction Nitro Securitisation 5 Issuer Trust," published on June 9, 2015).

The transaction securitizes a pool of fully amortizing installment sale agreements denominated in South African rand (ZAR) relating to auto loans originated and serviced by WesBank in South Africa. The underlying obligors are South African individuals. This is Nitro's fifth auto loan securitization transaction, and the third one that we have rated.

Late stage delinquencies (more than 90 days past due) and gross losses are in line with our base-case expectations. As of May 2016, the late stage delinquency rate was 0.91%, and the cumulative gross loss rate was 0.74%.

All collections received from the assets in a collection period, plus the cash reserve amount (if required), are allocated through a combined interest and principal waterfall. Principal repayments are fully sequential between the various classes of notes. These payments are limited to the amount defined as the positive difference between the level of performing collateral and cash available to the transaction, and the notes' balance.

The class A notes were fully amortized on the March 2016 payment date. As a consequence of the notes' amortization, available credit enhancement for the class B to E notes has increased since closing. The transaction features a cash reserve fund, which was funded through the unrated class G notes' issuance proceeds. This reserve accounts for 2.0% of the portfolio balance and is subject to a minimum required amount of 0.5% of the closing portfolio balance. As of May 2016 payment date, the reserve is at its required amount. The structure also benefits from considerable excess spread.

The transaction is exposed to the credit risk of FirstRand Bank Ltd. as the issuer bank account provider and swap provider. Counterparty exposure is in line with our current counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013). We also considered the exposure to the counterparty risk of WesBank, which acts as originator and servicer in relation to commingled assets.

We have therefore affirmed our ratings on the class B to E notes.