JPY 8.8 billion in Senior Beneficial Interests affected
Tokyo, October 15, 2010 -- Moody's Japan K.K. has assigned a definitive rating of Aaa
(sf) to Trust Momiji, amounting to JPY 8.8 billion,
backed by auto lease receivables (including leases with maintenance clauses).
The rating 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.
The complete rating action is as follows:
Deal Name: Trust Momiji
Senior Beneficial Interests, rated Aaa (sf)
Issue Amount: JPY 8.8 billion
Scheduled Dividend Rate: Fixed
Payment Frequency: Monthly
Entrustment Date: October 8, 2010
Transfer Date of Senior Beneficial Interests: October 15,
Final Maturity Date: December 29, 2017
Underlying Asset: Auto lease receivables (financing lease portion)
Total Principal Amount of Receivables: JPY 9,983,741,605
Seller (Originator/Initial Servicer): ORIX Auto Corporation
Arranger: ORIX Corporation
Moody's also had assigned a provisional rating of (P)Aaa (sf) to the Trust
ABL on September 8, 2010, and then withdrew it as the full
amount has been procured through the Senior Beneficial Interests.
The seller entrusted a pool of its auto lease receivables to the asset
trustee, and the asset trustee issued the Senior Beneficial Interests
and a Subordinated Beneficial Interest backed by the finance lease portion
of the auto lease receivables. Entrustment of the receivables was
perfected against third parties under the Perfection Law (the Law Prescribing
Exceptions, Etc. to the Civil Code Requirement for Setting
Up Against a Third Party to an Assignment of Claims and Chattels).
Perfection against obligors will not be made until certain events occur.
The seller holds the Subordinated Beneficial Interest and has transferred
the Senior Beneficial Interests to the investors. The transfer
was perfected against relevant obligors and third parties under Article
94 of Japan's Trust Law.
Credit enhancement is provided by the senior/subordinated structure and
available excess spread. Subordination comprises approximately
11.9% of the initial principal balance of the receivables.
The Senior Beneficial Interests will be redeemed in a controlled monthly
If any early amortization event occurs, then the dividend waterfall
to the Subordinated Beneficial Interest will be suspended, and excess
spread will be used to redeem the Senior Beneficial Interests.
Key early amortization events include a servicer replacement event occurring
and the accumulated default amount exceeding its trigger threshold.
In preparation for servicer replacement, liquidity is provided in
the form of a cash reserve at closing. This reserve will cover
dividend payments on the Senior Beneficial Interests, trust fees,
and fees relating to the start of back-up servicer operations,
etc. If any servicer replacement event occurs, the asset
trustee can dismiss the servicer. A back-up servicer was
appointed at closing.
A back-up maintenance servicer was not appointed at closing.
However, if a Back-up Maintenance Servicer Stand-by
Event -- e.g., if the accumulated default amount
exceeds its trigger threshold -- occurs, then the asset trustee
or the servicer will appoint one. And if a Back-up Maintenance
Servicer Exercise Event -- e.g., a servicer replacement
event occurring -- occurs, then the asset trustee will delegate
the maintenance operations to the back-up maintenance servicer.
Commingling risk is covered by the Subordinated Beneficial Interest.
The ratings are based mainly on the strength of transaction structure,
the credit of the receivables, and the servicer's experience.
Moody's estimated the annualized expected default rate of the underlying
assets at 0.46%, taking into consideration receivable
attributes, historical data on the receivables' entire pool,
performance data on existing securitization pools, and industry
trends. (The expected default rate is based on the default definition
used in Moody's analysis and may not be comparable to other rates.)
To determine the rating, Moody's also conducted a cash flow
analysis by adding stress consistent with the assigned rating on parameters,
such as the expected default rate.
Moody's assumes that, given the structure of the transaction
as well as other factors, the risk of interruption to the cash flow
from the assets in the event of the seller's or the asset trustee's
bankruptcy is sufficiently minimized to achieve the rating assigned.
Moody's examined the seller's operations and considers it
sufficiently capable of servicing the underlying pool as initial servicer,
given its substantial experience in the auto lease industry.
The principal methodology used in this rating was "Moody's
Approach to Rating Securitizations of Lease Receivables in Japan"
published on September 30, 2010 on www.moodys.co.jp.
In this rating process, Moody's may have considered other
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 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 is Low/Medium, the same score assigned
to the Japanese lease receivables ABS sector. Moody's has assigned
ratings to securitizations of auto lease receivables originated by the
seller over past five years.
Except for the maintenance clause, the transaction structure --
e.g., the waterfall -- is a common one.
With regard to the maintenance clause, Moody's conducted both legal
and structural analyses that also addressed the issue of the back-up
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability of various inputs in
a rating determination. The V Score ranks transactions by the potential
for significant rating changes owing to uncertainty about the assumptions
due to data quality, historical performance, the level of
disclosure, transaction complexity, modelling, and the
transaction governance that underlie the ratings. V Scores apply
to the entire transaction, not to individual tranches.
If the transaction default rate used in determining the initial rating
were changed to 0.8% or 1.0%, the model
output for Senior Beneficial Interests in these two scenarios would be
zero notches down for a 0.8% default rate, and one
notch down for a 1.0% default rate (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
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, "Updated Report on V Scores and Parameter
Sensitivities for Structured Finance Securities," published
on September 30, 2010, is available on www.moodys.co.jp.
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
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, attribution data, and contracts.
Information sources used to prepare the credit rating are the parties
involved in the ratings (the Arranger etc.), public information,
and confidential and proprietary Moody's information.
Measures taken to ensure the quality of this information include representations
and warranties etc.
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 have responded to us that they have not
disclosed information pertinent to this transaction.
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.
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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
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Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
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Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
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.
Moody's assigns a definitive rating to Trust Momiji auto lease receivables ABS
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