OREANDA-NEWS. Fitch Ratings has affirmed GreenHouse Funding (RF) Limited - Series 1, as follows:

ZAR158.5m Class A2 notes: affirmed at 'AAA(zaf)'; Outlook Stable
ZAR900m Class A3 notes: affirmed at 'AAA(zaf)'; Outlook Stable
ZAR110m Class B notes: affirmed at 'A(zaf)'; Outlook Stable
ZAR70m Class C notes: affirmed at 'BBB(zaf)'; Outlook Stable
ZAR44.9m Class Y notes: not rated

The transaction is a securitisation of mortgage loans originated by Nedbank Limited (Nedbank, AA(zaf)/Stable/F1+(zaf)) in South Africa. The loan portfolio is largely static, since no new purchases or further advances are permitted, and loan replacements are subject to strict conditions. The transaction initially closed in December 2007 and was refinanced in November 2012.

KEY RATING DRIVERS
The affirmations and Stable Outlooks are based on the transaction's performance, which has remained stable since the last review in January 2015. Loans in arrears of more than three months were 3.5% in November 2015, against 3.1% one year earlier. Cumulative foreclosures as of November 2015 were 4.1% of the 2012 refinance portfolio balance, while the average loss severity on foreclosures to date was around 10%. These observations are consistent with Fitch's 2012 refinance analysis.

The pool composition has only marginally changed over the past year, which was reflected in Fitch's asset model and in particular in the unchanged weighted average foreclosure frequency of 29.9% at 'AAA(zaf)'. The corresponding modelled loss was 10.5%, virtually unchanged from the previous review.

In October 2015, credit enhancement (CE) for the class A notes reached 33.3%; CE for the class B notes was 25.4%, and 20.4% for the class C notes. Despite higher CE due to deleveraging, good loan performance and unchanged model assumptions, Fitch has affirmed the class B and C notes because of the tight interest deferral triggers. These triggers may result in a temporary interruption of interest payments if the transaction is unable to provision for portfolio losses. In particular, the class C notes would defer interest as soon as the principal deficiency ledger (PDL) is not covered by excess spread, while the class B notes would defer interest as soon as the PDL reaches ZAR70m (which is equal to the balance of the class C notes). See the new issue report dated 19 November 2012 for more information.

RATING SENSITIVITIES
The class A notes could withstand a combined increase in assumed defaults and decrease in assumed recoveries by 30%. The ratings of the class B and C notes are affected by the interest deferral risk, which will be a factor limiting any upgrades until the agency believes that deferral events have become sufficiently remote.

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.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

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.
- Loan-by-loan data provided by Nedbank as at 30 November 2015.
- Investor reports provided by Nedbank until November 2015 and priority-of-payments reports until October 2015.
- Additional information provided via email by Nedbank as at January 2016.