OREANDA-NEWS. Fitch Ratings has affirmed GreenHouse Funding (RF) Limited - Series 1's (GreenHouse I) and GreenHouse Funding III (RF) Limited's (GreenHouse III) ratings and simultaneously withdrawn them as follows:

GreenHouse I

Class A2 notes: affirmed at 'AAA(zaf)', Outlook Stable; Withdrawn

Class A3 notes: affirmed at 'AAA(zaf)', Outlook Stable; Withdrawn

Class B notes: affirmed at 'A(zaf)', Outlook Stable; Withdrawn

Class C notes: affirmed at 'BBB(zaf)', Outlook Stable; Withdrawn

Class Y notes: not rated

Subordinated loans: not rated

GreenHouse III

Class A1 notes: affirmed at 'AAA(zaf)', Outlook Stable; Withdrawn

Class A2 notes: affirmed at 'AAA(zaf)', Outlook Stable; Withdrawn

Class A3 notes: affirmed at 'AAA(zaf)', Outlook Stable; Withdrawn

Class B notes: affirmed at 'A(zaf)', Outlook Stable; Withdrawn

Class C notes: affirmed at 'BBB(zaf)', Outlook Stable; Withdrawn

Class D notes: not rated

Subordinated loan: not rated

Fitch has withdrawn the ratings as GreenHouse I and GreenHouse III have chosen to stop participating in the rating process due to a change in Fitch's regulatory status in South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 GreenHouse I and GreenHouse III.

The following key rating drivers underpin the notes' affirmation.

KEY RATING DRIVERS

Increasing Credit Enhancement

The amortisation of the portfolios has led to an increase of credit enhancement (CE), for GreenHouse I's class A notes to 35.6%, from 21.4% when the transaction was refinanced in 2012, and for GreenHouse III's class A notes to 23.3%, from 20.7% at closing. The 'AAA(zaf)' losses calculated through Fitch's mortgage loss model are 11.3% for GreenHouse I and 10.7% for GreenHouse III, both based on May 2016 portfolios.

Tight Interest Deferral Conditions

In spite of the large difference between modelled loss and CE, the transactions' mezzanine notes remain constrained by potential deferral of interest payments due to tight triggers. In particular, they are vulnerable to deferrals well before they start to be provisioned for. Fitch does not expect tranches rated 'AA-(zaf)' or above to defer interest; its analysis considers the likelihood and amount of interest deferrals in lower rating scenarios. Although deferrals of mezzanine interest are now less likely than at closing because of higher CE, the limited improvement does not warrant any rating upgrade.

Limited Portfolio Movements

As both transactions are static the issuers cannot purchase new loans. However, they may grant further advances and replace outstanding loans, subject to strict conditions. In its analysis, Fitch has accounted for loan redraws that borrowers are entitled to request under their loan agreements.

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 pools and the transactions. 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.

For GreenHouse I, 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.

For GreenHouse III, 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.

For GreenHouse III, prior to the transaction closing, Fitch conducted a review of a small targeted sample of Nedbank'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.

SOURCES OF INFORMATION

The information below was used in the analysis.

-Quarterly transaction reporting provided by Nedbank as of May 2016 for GreenHouse I and April 2016 for GreenHouse III.

-Loan-by-loan information provided by Nedbank as of May 2016.

-Additional information provided by Nedbank via email.