Fitch Affirms Blue Titanium at 'F1+(zaf)'; Withdraws Rating
Blue Titanium is a partially-supported ABCP programme sponsored by the Standard Bank of South Africa Limited (Standard Bank, AA(zaf)/Stable/F1+(zaf)). Standard Bank fulfils the roles of sponsor, administrator, liquidity provider, programme-wide credit enhancement (PWCE) provider, hedge provider and account bank. The rating of Blue Titanium's CP is dependent on Standard Bank, particularly in its role as liquidity and PWCE provider.
KEY RATING DRIVERS
Fitch has withdrawn the rating as Blue Titanium has chosen to stop participating in the rating process due to the change in Fitch's regulatory status in South Africa. Therefore, Fitch will no longer have sufficient information to maintain the ratings. Accordingly, Fitch will no longer provide ratings or analytical coverage for Blue Titanium.
The affirmation is driven by available credit enhancement, the credit quality of Blue Titanium's underlying portfolio, and Standard Bank's role as programme sponsor and liquidity - and credit-support provider.
Standard Bank provides the issuer with a liquidity facility that covers the entire amount of the ABCP in issue (ZAR3,413m) against liquidity risks such as market disruption or maturity mismatch, but not asset defaults; this makes the conduit partially supported by the sponsor. The CP rating is capped at the Short-Term Rating of the liquidity facility provider (F1+(zaf)).
Standard Bank provides PWCE through a dynamic, committed facility, which is determined using Fitch's Portfolio Credit Model (PCM) and subject to a cap of 20% of the balance of outstanding CP.
As of end-June 2016, all assets in the conduit portfolio were publicly rated by Fitch or other international rating agencies. The committed PWCE was ZAR512m or 15% of the outstanding ABCP, in accordance with transaction documentation, which Fitch considers commensurate with Blue Titanium's current ABCP rating. Of the 17 assets in the conduit, 13 were structured finance securities, three corporate loans and one a municipal bond.
RATING SENSITIVITIES
Not applicable.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Prior to the transaction closing, Fitch did not review the results of a third party assessment conducted on the asset portfolio information.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
-Transaction reporting provided by Standard Bank as at 30 June 2016
-Additional information provided by Standard Bank via email
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