Moody’s rates Amber House Fund 2 (RF)
Global rating agency Moody’s today assigned definative credit ratings to the following classes of notes to be issued by Amber House Fund 2 (RF) Ltd: Rand 728M Class A1 Mortgage Backed Floating Rate Notes due April 2041, Assigned A1 (sf)/Aaa.za (sf) Rand 35.2M Class B1 Mortgage Backed Floating Rate Notes due April 2041, Assigned Baa3 (sf)/A3.za (sf) Rand 36.8M Class C1 Mortgage Backed Floating Rate Notes due April 2041, Assigned B1 (sf)/Ba2.za (sf) A unique feature for this transaction is the subordination of interest. Noteholders are due additional amounts subordinated in the waterfall, if available. The coupons do not step-up, however following the IPD in October 2015 the subordinated amounts due will increase. Non payment of subordinated interest is not considered an event of default and such missed payment will not defer to a future payment date. These additional payments both pre and post the call date have not been assessed as part of the assigned ratings. This feature is different to previous Thekwini transactions but does exist in the Amber House Fund 1 transaction. A further unique feature is included whereby the reserve fund amortises to a set schedule without any stop amortisation triggers.
The ratings are primarily based on the credit quality of the portfolio, its diversity, the structural features of the transaction and its legal integrity. From the assessment of the credit quality of the underlying mortgage loan pool, Moody’s determined the portfolio expected loss of 1.4% and MILAN Aaa Credit Enhancement (CE) of 10%.