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Rating Action:

Moody's assigns Aaa to Sumitomo Trust Bank Series 5 RMBS

30 Jun 2010

JPY 30 billion of trust certificates rated

Tokyo, June 30, 2010 -- Moody's Investors Service has assigned definitive ratings of Aaa to the Class A1 and A2 Sumitomo Trust Bank Series 5 Residential Mortgage-Backed Trust Certificates (the "Senior Trust Certificates") totaling JPY 30 billion.

The Senior Trust Certificates are backed by a pool of residential mortgage loans originated by The Sumitomo Trust and Banking Co., Ltd.

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

The complete rating action follows:

Issuer: Sumitomo Trust Bank Series 5 Residential Mortgage-Backed Trust Certificates

....JpnY12000M Class A1 Senior Trust Certificates Certificate, Definitive Rating Assigned Aaa

....JpnY18000M Class A2 Senior Trust Certificates Certificate, Definitive Rating Assigned Aaa

Moody's assigned provisional ratings of (P)Aaa to the above Class A1 and A2 Senior Trust Certificates on June 15, 2010.

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

Subordination:

Class A1: Approx. 63.2%

Class A2: Approx. 8.0%

* The formula used to calculate the Subordination in place for this transaction is

Subordination = A / B, where A equals the total principal amount of the Trust Certificates subordinated to the subject Trust Certificates and B equals the initial outstanding balance of the residential mortgage loan pool.

Entrustment Date: June 25, 2010

Closing Date: June 30, 2010

Final Maturity Date: The end of April, 2051

Underlying Asset: Residential mortgage loans

Seller/Servicer: The Sumitomo Trust and Banking Co., Ltd. ("Sumitomo Trust Bank," Aa3/P-1)

Asset Trustee: The Norinchukin Trust and Banking Co., Ltd. ("Norinchukin Trust Bank")

Arranger: Sumitomo Trust Bank

STRUCTURE OUTLINE

The Seller, Sumitomo Trust Bank entrusted a pool of its residential mortgage loans and cash to the Asset Trustee, Norinchukin Trust Bank.

In turn, the Seller received the Class A1 and A2 Senior Trust Certificates, the Reserve Trust Certificates, and the Subordinated Trust Certificates.

The Seller sold the Class A1 and A2 Senior Trust Certificates to the investors, but retains the Reserve Trust Certificates and Subordinated Trust Certificates.

The Seller will act as Servicer, under the Servicing Agreement with the Asset Trustee. The transaction does not have a third-party Back-up Servicer in place that can take over actual servicing operations.

However, the Asset Trustee has the right to appoint an eligible Servicer (Back-up Servicer) by entering into a new servicing agreement if any back-up servicer preparation trigger events occur.

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 aggregate amount of outstanding balance of defaulted loans and modified loans (under the Act concerning Temporary Measures to Facilitate Financing for SMEs, etc.) excluding the aggregate amount of these loans which are repurchased by the Seller.

A cash reserve was funded to provide liquidity for shortages in scheduled payments of the Senior Trust Certificates as well as trust fees, servicing fees and so forth.

Set-up fees for a Back-up Servicer and cash reserves for set-off and commingling risk will be funded after certain trigger events occur.

RATING OPINION SUMMARY

Moody's conducted an on-site review with Sumitomo Trust Bank, focusing on its business franchise as originator and its underwriting criteria. Moody's also reviewed the bank's operations as servicer and considers it sufficiently capable of servicing the pool.

The obligors consist mainly of salaried workers and civil servants with fairly high income, and most of the collateral properties are located in the Tokyo or Osaka metropolitan areas.

Having analyzed both obligor attributes and Sumitomo Trust Bank's historical performance, Moody's estimates a cumulative gross loss rate of 2.3% in the pool.

Moody's believes that the credit enhancement for each of the Class A1 and A2 Senior Trust Certificates is sufficient to assign the transaction a rating of Aaa.

SELLER/SERVICER

The Seller/Servicer, The Sumitomo Trust and Banking Co., Ltd., headquartered in Osaka, is a major Japanese trust bank, and was established in 1925. It has branch offices in principal cities nationwide, mainly in the Tokyo metropolitan and Keihan areas.

As of September 2009, the bank had consolidated capital of about JPY342.0 billion, with 51 offices in Japan and four overseas offices. The number of employees totaled 6,061.

Sumitomo Trust Bank has announced that it will integrate with Chuo Mitsui Trust Holdings, Inc. in April 2011.

V SCORES AND PARAMETER SENSITIVITIES

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

The V Score reflects the Seller's 1) long track record of residential mortgage loans, 2) the historically low volatility in its performance, and 3) disclosure of information for analysis, as well as 4) the characteristics of the transaction.

Moody's also ran sensitivity analyses for key parameters for this transaction. For instance, if the cumulative gross loss of 2.3% used in determining the initial rating were changed to 6.9% or 10.0%, the model-indicated rating for the Class A1 would not be change, but the rating for the Class A2 would change from Aaa to Aa1 or to Aa2, respectively.

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 regarding the assumptions due to data quality, historical performance, level of disclosure, transaction complexity, modeling, and the transaction governance that underlie the ratings. V Scores apply to an entire transaction (rather than individual tranches).

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. 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.

For more information, please access "V Scores and Parameter Sensitivities in the Asia/Pacific RMBS Sector", published in March 2009, on www.moodys.com

REFERENCE TO RELEVANT METHODOLOGY

The principal methodology used in rating the transaction was "Moody's Approach to Rating Residential Mortgage-Backed Securities in Japan", published in May 2003, which can be found at www.moodys.com in Research and Ratings 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 Rating Methodologies subdirectory.

Further information on Moody's analysis of this transaction is available on www.moodys.com. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

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
Ichiro Yamano/VP-Sr. Analyst
Nagisa Sugimura/Sr. Associate
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Tokyo
Yasushi Furuya
VP-SCO - Team Leader
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Moody's assigns Aaa to Sumitomo Trust Bank Series 5 RMBS
No Related Data.
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