Tokyo, April 01, 2011 -- Moody's Japan K.K. has assigned ratings to ten RMBS
and ABS transactions since the March 11 earthquake, assessing the
direct impact of the earthquake on each deal by taking into account the
exposure to the affected areas and the deal structure.
These ten deals and their ratings are as follows. Please see the
press release for each individual transaction for more information.
No.; Sector; Deal Name; Rating Date; Rating
1) RMBS; Sumitomo Trust Bank Series 6 Residential Mortgage-Backed
Trust Certificates; March 16, 2011; Aaa (sf)
2) ABS (Credit card purchase receivables); Leading Star 3; March
18, 2011; Aaa (sf)
3) ABS (Lease receivables); Neptune Lease Trust 2011-1;
March 24, 2011; Aaa (sf)
4) ABS (Credit card receivables); Applause Series 2011-1;
March 25, 2011; Aaa (sf)
5) ABS (Consumer loan receivables); Clover Trust; March 29,
2011; Aaa (sf)
6) ABS (Loan card receivables); Dolce Loan Card Receivables Trust
Beneficial Interest and ABL; March 30, 2011; Aaa (sf)
7) ABS (Consumer loan receivables); Cosmic Trust 2011-1;
March 31, 2011; Aaa (sf)
8) ABS (Credit card receivables); Ocean Series 2011-1;
March 31, 2011; Aaa (sf)
9) ABS (Handset installment sales receivables); SBM Handset Installment
Sales Receivables Securitization 2011-3; March 30, 2011;
Aaa (sf)
10) ABS (Handset installment sales receivables); SOFTBANK MOBILE
Corp. A mobile telephone terminal Credit Trust Series 2011-3;
March 30, 2011; Aaa (sf)
Moody's had assigned provisional ratings to the first eight before
the March 11 earthquake and to the last two afterward.
Before assigning ratings after March 11, Moody's assessed
each deal to determine if any were affected by the quake, taking
into account any exposures to the affected areas as well as the structure
of each transaction.
In general, Japanese RMBS and ABS feature no regional concentration.
Information that Moody's received either as of the date of the provisional
rating or before March 11, 2011, shows that none of the ten
rated transactions had a high concentration in any particular area,
and that the exposure to the significantly affected areas, in Miyagi,
Iwate, and Fukushima prefectures, was at most around 5.8%
(by amount).
Moody's has not revised the expected default rate for some of these
transactions because their exposure to the devastated areas is minimal.
Some of the transactions contain provisions designed to minimize their
exposures, such as the inclusion of representations and warrants
that the seller would repurchase any receivables located in the areas
significantly affected by the quake or tsunami.
In Moody's view, such arrangements, if fulfilled,
will mitigate the impact of the disaster on the performance of the receivables.
Some of the transactions with revolving periods feature default trap and
dynamic reserve mechanisms. The impact of a temporary deterioration
in performance during revolving periods may be mitigated if default amounts
can be recovered by excess spread or if additional enhancement increases
because of these structures.
In addition, the subordination ratio in some transactions is higher
than Moody's requirement at the time the provisional ratings were
assigned.
As a result of re-assessment of the transactions as well as its
assumptions, Moody's has neither revised its expected default
rate for those it had provisionally rated before the disaster nor required
additional credit enhancement before assigning definitive ratings.
Provisional ratings assigned after the quake are backed by static-type
underlying pool and have the exposure to the affected area. As
a result of assessment of the earthquake's impact on the transactions,
Moody's has altered its required subordination ratio for an assigned
rating.
Some originators have set up customer centers to deal exclusively with
obligors residing in the affected areas or have considered special treatment
for any receivables affected by earthquake. If originators make
any changes to the original loan terms, such as a reduction in or
exemption of payments for a certain period, they will repurchase
the affected receivables pursuant to the representation and warrant clauses
in the transaction agreement. Moody's rating analysis,
however, does not take into account the effect of such repurchases.
Moody's will keep a close watch on how the originators deal with
obligors residing in affected areas and on how they treat their receivables
in the securitization.
The quake, the tsunami, the uncertainty regarding electricity
supply, and the problems at the Fukushima nuclear power plant will
affect the macro-economy and the business environment for RMBS
and ABS originators. In Moody's view, however,
the performance of underlying pools may not deteriorate significantly,
despite temporary fluctuations.
Moody's will release a special report detailing its view for each
asset class, taking into account the impact of earthquake on their
performance shortly.
Masafumi Hirai
Associate Analyst
Moody's Japan K.K.
Tokyo
Takako Tokinaga
Asst Vice President - Analyst
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Tokyo
Yusuke Seki
Senior Vice President - Team Leader
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's Japan K.K.
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, Minato-ku
Tokyo 105-6220
Japan
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's: New Japan RMBS/ABS ratings factor in earthquake impact