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Rating Action:

Moody's assigns (P)Aaa to CLIMAX 4 for Investment Condo RMBS

10 Feb 2010

JPY12.2 billion of beneficial interests rated

Tokyo, February 10, 2010 -- Moody's Investors Service has assigned (P)Aaa provisional ratings to the JPY12.2 billion Climax Investment Purpose Condominium Loan-Backed Trust Beneficial Interests Series 4 Class A and Class B (the "Senior Beneficial Interests") to be issued on March, 2010. The Senior Beneficial Interests are backed by a pool of investment-purpose condominium loan-backed receivables originated by Tokio Marine & Nichido Fire Insurance Co., Ltd.

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 ultimate payment of principal by the final maturity date.

Moody's issues provisional ratings in advance of the final sale of the securities. 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 Beneficial Interests. Definitive ratings may differ from provisional ratings. The provisional ratings are based on the information received as of Febuary 9, 2010.

The complete rating action follows:

Transaction Name: Climax Investment Purpose Condominium Loan Backed Trust Beneficial Interests Series 4

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

Senior Beneficial Interests Class A, JPY8.1 billion, Floating, Monthly, (P)Aaa

Senior Beneficial Interests Class B, JPY4.1 billion, Floating, Monthly, (P)Aaa

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

Subordination Level:

Class A: Approx. 50.0%

Class B: Approx. 24.7%

* 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

Expected Closing Date: March 5, 2010

Legal Final Maturity Date: November 2046

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/Private Placement Dealer: Deutsche Securities Inc. ("Deutsche Securities")

STRUCTURE OVERVIEW

- JACCS screened and guaranteed investment-purpose condominium loans originated by Tokio Marine & Nichido. Tokio Marine & Nichido will entrust the loans to the Asset Trustee and will receive the Senior Beneficial Interests (Class A and Class B) and the Subordinated Beneficial Interests. Tokio Marine & Nichido will sell the Senior Beneficial Interests (Class A and Class B) to investors through Deutsche Securities, and the Subordinated Beneficial Interests to JACCS. JACCS will be 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 will cover both interest risk and commingling risk. A cash reserve will be 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.

RATING OPINION SUMMARY

- 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.

- 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 or Osaka metropolitan districts. 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.

SELLER

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, 2009, the entity had 15,747 employees and approximately JPY101.9 billion in capital.

GUARANTOR/SERVICER

The Guarantor/Servicer, established in 1954, JACCS Co., Ltd., is one of Japan's major credit companies. As of March 31, 2009, the company had 2,684 employees and approximately JPY16.1 billion in capital.

V SCORES AND PARAMETER SENSITIVITIES

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) historically low volatility in performance, 3) information disclosure for analysis, and 4) characteristics of the transaction.

Moody's also ran sensitivity analyses for key parameters for this transaction. For instance, if the cumulative gross loss of 3.9% used in determining the initial rating were changed to 7.0%, 12.0%, or 17.0%, the model-indicated ratings for the Senior Beneficial Interests Class A and Class B would change from Aaa to Aaa, Aa1, and Aa2 (Class A); from Aaa to Aa1, Aa2, and A1 (Class B), 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.

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 Investment-Purpose Condominium Loan-Backed Securitizations in Japan" (August 2005). The report can be found at www.moodys.com in the Research and Rating directory, in the Rating Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Research and Rating directory, 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
Masayuki Nishida
Vice President - Senior Analyst
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 (P)Aaa to CLIMAX 4 for Investment Condo RMBS
No Related Data.
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