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03 Jul 2009
Approx. JPY 16.4 billion of Beneficial Interests rated
Tokyo, July 03, 2009 -- Moody's Investors Service has assigned provisional (P)Aaa ratings to MR3
Trust Beneficial Interests (Class A, B and C Beneficial Interests).
Simultaneously, the ratings to the Class B and C Beneficial Interests
are placed on review for possible downgrade. This transaction constitutes
a resecuritization of several Senior Beneficial Interests backed by residential
The ratings address the expected loss posed to investors by the final
maturity date. The structure allows for timely payments of dividends
(in scheduled amounts, on scheduled payment dates), and full
repayment of principal by the final maturity date with respect to the
Class A and B Beneficial Interests. The rated promise on the Class
C Beneficial Interests is that the total amount of principal paid on that
tranche is equal to the tranche's initial outstanding amount. The
rating assigned to the Class C Beneficial Interests does not address dividend
Moody's issues provisional ratings in advance of the final sale of the
securities. These ratings, however, only represent
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 beneficial Interests. Definitive
ratings may differ from provisional ratings. The provisional ratings
are based on the information received as of July 2, 2009.
The complete rating action follows:
Transaction Name: MR3 Trust
Class, Issue Amount, Scheduled Dividend, Payment Frequency,
Class A Beneficial Interests, JPY [12.6] billion,
Fixed, Monthly, (P)Aaa
Class B Beneficial Interests, JPY [3.8] billion,
Fixed, Monthly, (P)Aaa on Review for Possible Downgrade
Class C Beneficial Interests, Approximately JPY  million,
Residual, Monthly, (P)Aaa on Review for Possible Downgrade
The Class A Beneficial Interests may be divided into Class A-1
and Class A-2 Beneficial Interests.
Scheduled Trust Beginning Date: July 21, 2009
Scheduled Closing Date: August 5, 2009
Final Maturity Date: July 31, 2045
Underlying Assets: Several Senior Beneficial Interests backed by
a pool of residential mortgage loan receivables and cash reserves
Class A Beneficial Interests: Approximately [23.17]%
Class B Beneficial Interests: Approximately [0.01]%
Class C Beneficial Interests: None
*The formula used to calculate over-collateralization follows:
Over-collateralization %: A / B
A: Total principal amount of the Beneficial Interests subordinated
to the subject Beneficial Interests (excluding Beneficial Interests corresponding
to the transaction's Cash Reserve Amount).
B: Total amount of the Senior Beneficial Interests that back the
MR3 Trust Beneficial Interests.
The ratings to the Class B and C Beneficial Interests are ultimately based
on the credit of high-rated entity.
- The Seller will entrust several Beneficial Interests that are
hold as well as cash to the Asset Trustee and receive the Beneficial Interests
(Classes A, B and C).
- The Seller will sell the Beneficial Interests to investors.
The transfer of the Beneficial Interests will be perfected by obtaining
the Asset Trustee's certified, dated approval in writing.
V SCORES AND PARAMETER SENSITIVITIES
The V Score for this transaction indicates Low/Medium uncertainty about
critical assumptions, in line with the Low/Medium score for the
Japanese Prime RMBS sector.
Moody's also ran sensitivities around key parameters for this transaction.
For instance, if the gross loss of 6.5% used in determining
the initial rating were changed to [13.0]% or [17.0]%,
the model-indicated rating for the Class A Beneficial Interests
would change from Aaa to Aa2 and A1, respectively. Parameter
Sensitivities for the Class B and C Beneficial Interests are not calculated
as they are not very applicable, as the ratings are directly related
to the credit of high-rated entity.
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 (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
only reflect 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 special report "V Scores and Parameter Sensitivities in the Asia/Pacific
RMBS Sector" is available on 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,"
(May 2003), 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.
Nagisa Sugimura/Senior Associate
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's assigns MR3 Trust provisional ratings
VP-SCO - Team Leader
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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