Approximately JPY 9.59 billion of Trust Certificates rated
Tokyo, February 09, 2009 -- Moody's Investors Service has announced that it has assigned provisional
ratings to the transaction named "Santoshi CLO2009,"
backed by corporate loans to small and medium-sized enterprises
(SMEs) under the SME-related financial policies of three Japanese
municipalities -- Tokyo, Osaka, and Yokohama.
The provisional ratings address the expected loss posed to investors by
the legal final maturity date. The structure allows for timely
payments of dividends and ultimate payment of principal by the scheduled
redemption date with respect to the Class 1 trust certificates,
and for timely payments of dividends and ultimate payment of principal
by the final maturity date with respect to the Class 2 and 3 trust certificates.
Moody's issues provisional ratings in advance of the final sale of trust
certificates. These ratings, however, represent only
Moody's preliminary credit opinions. Upon a conclusive review of
the transaction and associated documentation, Moody's will endeavor
to assign definitive ratings to the trust certificates. Definitive
ratings may differ from provisional ratings. The provisional ratings
are based on the information received as of February 5, 2009.
Transaction name: Santoshi CLO2009
The rating action is as follows:
Class -- Expected Issue Amount -- Dividend
Rate -- Rating -- Credit Enhancement*
1A -- JPY200,000,000 -- Fixed
-- (P)Aaa -- 64.3%
1B -- JPY200,000,000 -- Fixed
-- (P)Aaa -- 64.3%
1C -- JPY200,000,000 -- Fixed
-- (P)Aaa -- 64.3%
2 -- JPY5,085,000,000 --
Floating -- (P)Aaa -- 49.3%
3 -- JPY3,902,000,000 --
Floating -- (P)Aa1 -- 14.5%
* The Class 1A, 1B, and 1C Trust Certificates will be
fully paid by principal collections from the underlying pool in June 2010,
September 2010, and December 2010, respectively. Each
set of scheduled principal collections from the underlying pool will total
approximately JPY 0.56 billion.
Scheduled Entrustment Date: March 12, 2009
Scheduled Closing Date: March 12, 2009
Scheduled Redemption Dates: July 5, 2010, for Class
1A; October 5, 2010, for Class 1B; and January 5,
2011, for Class 1C trust certificates
Redemption: The Class 1 Trust Certificates will be paid in full
on their respective scheduled redemption dates. The Class 2 and
3 Trust Certificates will be redeemed sequentially on a quarterly pass-through
basis.
Final Maturity Date: April 5, 2017
Underlying Assets: Corporate loans to SMEs in Japan, guaranteed
in part by the Credit Guarantee Corporations (CGCs) of Tokyo, Osaka-shi,
and Yokohama-shi
Total principal amount: JPY 11,213,000,000
Number of Obligors: 272 companies (The obligor with the highest
total loan amount comprises approximately 0.9% of the pool
balance.)
Underlying Loan Period: Six years (20 equal quarterly payments starting
a year and three months after closing)
Expected Issue Amount of Subordinated Trust Certificates:JPY 1,626,000,000
Trustee: The Sumitomo Trust & Banking Co., Ltd.
Main financial institution/Arranger: Sumitomo Mitsui Banking Corporation
Originators/Servicer: Shinkin Central Bank, The Tokyo Tomin
Bank, Limited, The Yachiyo Bank, Ltd.,
The Osaka City Shinkin Bank, The Bank of Yokohama, Ltd.,
The Kanagawa Bank, Ltd., and Sumitomo Mitsui Banking
Corporation
This SME CLO transaction is backed by corporate loans to SMEs guaranteed
in part (80%) by the CGCs of Tokyo, Osaka-shi,
and Yokohama-shi. The loans were originated for securitization.
The provisional ratings are based on the following:
1. The credit quality and diversity of the pool;
2. The partial guarantee provided by CGCs of Tokyo, Osaka-shi,
and Yokohama-shi;
3. The credit enhancement provided by the senior/subordination
structure and excess spread (an estimated cumulative amount of 3~4 %);
and
4. The legal integrity of the transaction.
Moody's estimated the pool's annualized default rate at approximately
3.7%, based in particular on the historical performance
data of past CLO transactions in the same programs. Also taken
into account are each borrower's default rate (through a quantitative
credit assessment tool) and the historical performance data of the CGCs'
subrogation payments.
The principal methodology used in rating the transaction was "Japan's
SME CDOs: Focal Points in Rating Analysis and Monitoring" (February,
2009), which can be found at www.moodys.com in the
Credit Policy & Methodologies directory, in the Ratings Methodologies
subdirectory. Other methodologies and factors that may have been
considered in the process of rating this issue can also be found in the
Credit Policy & Methodologies directory.
Moody's Investors Service is a publisher of rating opinions and research.
It is not involved in the offering or sale of any securities, nor
is it acting on behalf of the offering party. This release is not
a solicitation or a recommendation to buy, hold, or sell securities.
Tokyo
Daisuke Kitazawa
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 announces provisional ratings to Santoshi CLO2009