MOODY'S ASSIGNS RATINGS TO SYNTHETIC CLO BACKED BY JPY 1TRILLION LOANS ORIGINATED BY UFJ BANK
Tokyo, March 20, 2003 -- Moody's Investors Service has assigned ratings to credit linked notes to be issued by Ruby Capital One Limited and Super Senior Credit Default Swap.
The rating action is as follows:
JPY 830 billion Super Senior Credit Default Swap rated Aaa
Class A JPY 97 billion Secured Floating Rate Credit-Linked Securities rated Aaa
Class B JPY 19 billion Secured Floating Rate Credit-Linked Securities rated Aa2
Class C JPY 11 billion Secured Floating Rate Credit-Linked Securities rated A1
Class D JPY 20 billion Secured Floating Rate Credit-Linked Securities rated Baa3
Issuer: Ruby Capital One Limited
Reference Pool Amount: JPY 1 trillion
Issue Date: March 25, 2003
Expected Maturity Date: December 14, 2005
Originator: UFJ Bank Limited
Swap Counterparty: UFJ Bank Limited
Trustee: JP Morgan Chase Bank
Calculation Agent: JP Morgan Chase Bank
Arranger: UFJ Tsubasa Securities Co., Ltd. and Merrill Lynch Japan Securities Co., Ltd.
The ratings on the transaction address timely payment of interest and full repayment of principal by the maturity date.
The transaction is a balance sheet synthetic collateralized loan obligations (CLO) that references loan receivables for mainly Japanese small and medium sized enterprises originated by UFJ Bank Limited.
The ratings are based primarily on the following factors:
1. credit quality and diversity of the reference pool;
2. the level of credit enhancement provided by the senior-subordinated structure;
3. the credit default swap agreement incorporated in the transaction;
4. credit quality of the charged assets into which the proceeds of the notes are invested, and;
5. legal integrity of the structure, including the definition of credit events.
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