OREANDA-NEWS. September 28, 2015. Fitch Ratings has affirmed iVuzi Investments Limited's (iVuzi) asset-backed commercial paper's (ABCP) National Short-term Rating at 'F1+(zaf)', as follows:

ZAR1.7bn Class A: affirmed at 'F1+(zaf)'
Class B: not rated
Class C: not rated
Class D: not rated
Class E: not rated
Class F: not rated

iVuzi is a partially-supported, South African hybrid ABCP programme structured to issue ZAR-denominated CP up to a maximum aggregate amount of ZAR15bn to fund the purchase of ZAR-denominated financial assets and rated securities.

KEY RATING DRIVERS
The affirmation follows a satisfactory review of the programme, which included a review of available programme-wide credit enhancement (PWCE), liquidity support and conduit operations.

iVuzi is supported by PWCE, provided by 'F1+(zaf)'-rated entities, equalling to at least 10% of the present value of financial assets plus a dynamic percentage of the book value of rated securities, which fluctuates based on the credit quality of the underlying portfolio.

PWCE has been provided by Rand Merchant Bank (RMB), a division of FirstRand Bank Limited (FRB, AA(zaf)/Stable/F1+(zaf)) since inception. PWCE for the class A notes as of end-August 2014 was 37.7%.

Assets funded by the conduit benefit from 100% programme-wide liquidity support equal to 100% of the face value of CP, less primarily the value of assets for which maturity matches the tenor of the CP provided by FRB. Liquidity support does not cover defaulted assets and is therefore considered partially supportive.

As part of the review, Fitch conducted an operational review and discussed with RMB's conduit management team the conduit's performance, CP issuance, portfolio composition, staff experience, systems and credit policy over the past 12 months. Fitch believes that RMB has sufficient expertise and systems in place to effectively manage the conduit.

TRANSACTION CHARACTERISTICS
iVuzi may issue CP with a maximum tenor of 364 days. Each series of CP will rank in accordance with the priority established by the transaction documents and indicated through successive alphabetic letters.

As of end-August 2015, the portfolio consisted primarily of corporate loans (95%) and corporate bonds (4%) in the transportation, real estate and sovereign sectors. The portfolio does not include any financial assets (i.e. pools of consumer loans, trade receivables, credit card receivables) directly funded by the conduit, but rated securities only. The current note issuance amount rated by Fitch is ZAR1.7bn.

RATING SENSITIVITIES
FRB, through its RMB division, acts as liquidity provider, hedge counterparty, credit enhancement provider, liquidity facility provider, sponsor and administrator to the conduit. As such, the rating of any CP issued will depend on the rating of the liquidity and credit enhancement provider.

Additionally, the CP rating is dependent on the available PWCE provided by subordinated notes, dynamic PWCE from RMB and available cash. Since July 2012, iVuzi has issued subordinate tranches (classes B to F), which Fitch does not rate. The current level of PWCE is considered sufficient to support the class A rating of 'F1+(zaf)'.

DUE DILIGENCE USAGE
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.

All of the underlying assets have ratings or credit opinions from Fitch. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess 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.
Investor reports provided by RMB as at 31 August 2015
Rating agency reports provided by RMB as at 31 August 2015