OREANDA-NEWS. Fitch Ratings has affirmed the Thekwini Warehousing Conduit (RF) Limited's (Thekwini Conduit) commercial paper (CP) ratings and simultaneously withdrawn them as follows:

ZAR2.856bn senior CP: affirmed at 'F1+(zaf)'; withdrawn

ZAR13m mezzanine CP: affirmed at 'F1(zaf)'; withdrawn

ZAR11m junior CP: affirmed at 'F2(zaf)'; withdrawn

Fitch has withdrawn the ratings as Thekwini Conduit has chosen to stop participating in the rating process due to a change in Fitch's regulatory status in South Africa.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 Thekwini Conduit.

Thekwini Conduit is a single-seller ABCP conduit backed by mortgage loans originated by SA Home Loans Limited (SAHL).

KEY RATING DRIVERS

Dynamic Credit Enhancement

The dynamic credit enhancement (CE) available for the transaction is sized based on default roll rates, mitigating the risk stemming from deterioration in the credit quality of the underlying assets. If default roll rates increase, the available CE for the transaction should also increase, or further CP issuance would be halted.

Available Liquidity Support

The timely payment of interest and principal is further supported by a liquidity facility within the transaction provided by the Standard Bank of South Africa Limited, (SBSA; AA(zaf)/Stable/F1+(zaf); affirmed on 11 December 2015). To date, the facility has not been drawn and is available to provide support if needed.

Strong Originator Performance

Fitch views the performance of mortgages originated by SAHL as slightly better than the average for the South African market in terms of loan-to-value. SAHL's servicing and arrears management processes result in smaller property sale discounts and shorter average work-out timelines than peers.

Asset Outlook Stable/Negative

Fitch expects the trend of improving mortgage performance since the global financial crisis to reach a turning point in 2016, due to a further tightening in monetary policy by the South African Reserve Bank to curb rising inflation, despite continued weak economic growth. Job losses in key sectors such as mining may also hamper performance.

TRANSACTION CHARACTERISTICS

The conduit issues various tranches of CP with a maximum tenor of six months to fund the purchase of mortgage loans. The availability of a non-performing loan (NPL) facility, where SBSA is obligated to buy defaulted loans at 60% of their value upon a NPL trigger being hit is also incorporated into the calculation for credit enhancement.

The conduit also benefits from several revolving liquidity facilities provided by SBSA to cover temporary cash shortfalls and enable timely repayment of securities between the amortisation profile of the notes and assets. These liquidity facilities provide 100% liquidity support to the respective CP notes and cannot be drawn to cover defaulted assets.

Fitch relied on mortgage data for all mortgages originated by SAHL from 1999 to May 2013 (at the time of the development of the current version of South Africa RMBS criteria) to determine Thekwini's Conduit's default roll rates, which were supported by performance data on SAHL's book and data on other term transactions by the same originator up to December 2015. Based on this analysis, as well as additional investigations on the actual default experience in the transaction and the evolution of asset quality for major South African banks, the ratings reflect the credit quality of each class of CP notes.

As of end-May 2016, Thekwini Conduit had a total ZAR2.88bn CP notes outstanding. The conduit also benefited from overcollateralisation of ZAR74.25m, funded by a subordinated loan.

More details are in Thekwini Conduit's full rating report, which is available at www. fitchratings. com.

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 reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio.

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.

SOURCE OF INFORMATION

The information below was used in the analysis:

- Investor reports provided by SAHL as at 31 May 2016

- Additional information and data provided by SAHL via email

REPRESENTATIONS AND WARRANTIES

Not applicable.