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Rating Action:

Moody's assigns Aaa (sf) to CLIMAX 5 for Investment Condo RMBS

 The document has been translated in other languages

Global Credit Research - 04 Mar 2011

JPY 15.5 billion of Beneficial Interests Rated

Tokyo, March 04, 2011 -- Moody's Japan K.K. has assigned definitive ratings of Aaa (sf) to the JPY 15.5 billion Climax Investment Purpose Condominium Loan-Backed Trust Beneficial Interests Series 5 Class A and Class B (the "Senior Beneficial Interests"). The Senior Beneficial Interests are backed by a pool of investment-purpose condominium loans originated by Tokio Marine & Nichido Fire Insurance Co., Ltd.

The ratings address the expected loss posed to investors by the legal final maturity date. The structure allows for timely payments of dividends (in scheduled amounts, on scheduled payment dates) and ultimate repayment of principal by the legal final maturity date.

The complete rating actions are as follows:

Transaction Name: Climax Investment Purpose Condominium Loan Backed Trust Beneficial Interests Series 5

Class, Issue Amount, Scheduled Dividend Rate, Payment Frequency, Rating

Senior Beneficial Interests Class A, JPY 10.0 billion, Floating, Monthly, Aaa (sf)

Senior Beneficial Interests Class B, JPY 5.5 billion, Floating, Monthly, Aaa (sf)

Credit Enhancement: Over-collateralization provided by the senior/subordinated structure

Subordination Level:

Class A: Approx. 50.6%

Class B: Approx. 23.4%

* The formula to calculate the Subordination Level in place for this transaction is as follows.

Subordination Level = A / B

A: Total principal amount of the Beneficial Interests subordinated to the subject Beneficial Interests (excluding Co-Entrustor Beneficial Interests)

B: Total amount of the underlying investment-purpose condominium loan pool

Entrustment Date: February 1, 2011

Closing Date: March 4, 2011

Legal Final Maturity Date: November 19, 2047

Originator/Seller: Tokio Marine & Nichido Fire Insurance Co., Ltd. ("Tokio Marine & Nichido", Aa2)

Guarantor/Servicer: JACCS Co., Ltd. ("JACCS")

Asset Trustee: Mitsubishi UFJ Trust and Banking Corporation

Arranger: Deutsche Securities Inc.

Private Placement Dealer: Deutsche Securities Inc. Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

RATING RATIONALE

The obligors consist mainly of salaried workers and civil servants with relatively high income, and most of the collateral properties are located in the Tokyo metropolitan area. Having analyzed both obligors' attributes and JACCS' historical performance, Moody's expects a cumulative gross loss rate of 3.9% in the pool.

Moody's believes that each credit enhancement of the Senior Beneficial Interests (Class A and Class B) is sufficient enough to assign Aaa rating to the transaction.

JACCS screened and guaranteed investment-purpose condominium loans originated by Tokio Marine & Nichido. Tokio Marine & Nichido entrusted the loans to the Asset Trustee and received the Senior Beneficial Interests (Class A and Class B) and the Subordinated Beneficial Interests. Tokio Marine & Nichido sold the Senior Beneficial Interests (Class A and Class B) to investors, and the Subordinated Beneficial Interests to JACCS. JACCS is the Servicer and Guarantor for the loans.

Principal redemption will be made in a sequential manner. Interest collections (after paying expenses and dividends) will be transferred to the Principal Account up to the net balance of the cumulative defaulted receivables, minus the guarantor's subrogated amount (default trap).

The Subordinated Beneficial Interests cover both interest risk and commingling risk. A cash reserve is funded up front to provide liquidity for shortages in scheduled payments of the Senior Beneficial Interests (Class A and Class B) as well as trust fees, servicing fees, setup fees for a Back-up Servicer, and so forth.

The Seller, Tokio Marine & Nichido Fire Insurance Co., Ltd., was formed by the 2004 merger of The Tokio Marine and Fire Insurance Company, Limited and The Nichido Fire and Marine Insurance Company, Limited. As of March 31, 2010, the entity had 16,742 employees and approximately JPY102.0 billion in capital.

The Guarantor/Servicer, established in 1954, JACCS Co., Ltd., is one of Japan's major credit companies. As of March 31, 2010, the company had 2,431 employees and approximately JPY16.1 billion in capital.

Moody's considers JACCS sufficiently capable of servicing the pool, having reviewed business franchises, underwriting criteria, and the Servicer's operations in on-site meetings with JACCS.

For more details on this transaction, please see the new issue report which is available at www.moodys.co.jp.

The principal methodology used in this rating was "Updated: Moody's Approach to Rating RMBS Transactions in Japan" published on September 30, 2010 and available on www.moodys.co.jp.

Moody's did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments in this transaction.

The V Score for this transaction indicates "Low/Medium" uncertainty about critical assumptions.

The V Score reflects 1) JACCS' long track record of investment-condominium loans, 2) the historically low volatility in its performance, 3) the disclosure of information for analysis, and 4) the characteristics of the transaction.

Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction, not to individual tranches.

Moody's also ran sensitivities around key parameters for this transaction. For instance, if the cumulative gross loss rate of 3.9% used in determining the initial rating were changed to 7.0% or 12.0%, the model output for the Senior Beneficial Interests Class A and Class B would change from Aaa to Aaa or to Aa1 (Class A); from Aaa to Aa1 or to Aa2 (Class B), respectively (the "Parameter Sensitivities").

Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, rather they are designed to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged, and does not factor structural features such as sequential payment effect. Parameter Sensitivities reflect only the ratings impact of each scenario from a quantitative/model-indicated standpoint.

Qualitative factors are also taken into consideration in the ratings process, so the actual ratings that would be assigned in each case could vary from the information presented in the Parameter Sensitivity analysis.

The methodology, "V Scores and Parameter Sensitivities in the Asia/Pacific RMBS Sector", published on September 30, 2010, is available on moodys.co.jp.

REGULATORY DISCLOSURES

For an explanation of the (sf) indicator, please see "Moody's Structured Finance Rating Scale" on www.moodys.com.

The principal information used to prepare the credit rating comprised historical data, loan-by-loan data and contracts.

Information sources used to prepare the credit rating are the following parties involved in the ratings such as the Arranger and the Guarantor; public information, confidential and proprietary Moody's information.

Measures taken to ensure the quality of this information include representations and warranties and reviews by a third party.

Moody's considers the quality of information available on the issuer or obligation satisfactory for the purposes of assigning a credit rating.

Moody's encouraged rating-related entities to disclose any information that may be pertinent to this transaction, including items described in "Information Considered Important in Evaluating the Appropriateness of a Credit Rating" on www.moodys.co.jp, or to take other measures to enable third parties to verify the appropriateness of the credit rating.

Rating-related entities responded to us that they would disclose the related information pertinent to this transaction through Moody's press release and its presale report.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Credit ratings are Moody's current opinions of the relative future credit risk of entities, credit commitments, or debt or debt-like securities. Moody's defines credit risk as the risk that an entity may not meet its contractual, financial obligations as they come due and any estimated financial loss in the event of default. Credit ratings do not address any other risk, including but not limited to: liquidity risk, market value risk, or price volatility. Credit ratings do not constitute investment or financial advice, and credit ratings are not recommendations to purchase, sell, or hold particular securities. No warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any such rating or other opinion or information is given or made by Moody's in any form or manner whatsoever. The credit risk of an issuer or its obligations is assessed based on information received from the issuer or from public sources. Moody's may change the rating when it deems necessary. Moody's may also withdraw the rating due to insufficient information, or for other reasons.

Moody's Japan K.K. is a credit rating agency registered with the Japan Financial Services Agency and its registration number is FSA Commissioner (Ratings) No. 2. The Financial Services Agency has not imposed any supervisory measures on Moody's Japan K.K. in the past year.

Please see ratings tab on the issuer/entity page on the Moody's website for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on the Moody's website for further information.

Please see the Credit Policy page on the Moody's website for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

Tokyo
Ichiro Yamano
Vice President - Senior 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 assigns Aaa (sf) to CLIMAX 5 for Investment Condo RMBS
No Related Data.
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