Approximately JPY3.1 billion in Debt Securities affected
Tokyo, October 30, 2020 -- Moody's SF Japan K.K. has assigned a provisional rating
to Bora Chiara IV, backed by residential mortgage loans insured
by the Japan Housing Finance Agency (JHF).
The complete rating action is as follows:
Transaction Name: Bora Chiara IV
Class, Issue Amount, Scheduled Dividend, Rating
Mortgage Beneficial Interests A, JPY3,095,370,000,
Floating, (P)A1 (sf)
Closing Date: November 25, 2020
Final Maturity Date: November 25, 2058
Underlying Assets: Residential mortgage loan receivables insured
by JHF
Housing Loan Insurance Underwriter: JHF
Arranger/Private Placement Dealer: Sumitomo Mitsui Trust Bank,
Limited
Credit Enhancement and Liquidity: Cash Reserves (Approximately 5.5%
of outstanding pool balance ) and excess spreads available
RATINGS RATIONALE
The Seller entrusts a pool of its residential mortgage loan receivables
as well as cash to the Asset Trustee, and receives in return the
Mortgage Beneficial Interests A, the Cash Reserve Beneficial Interests
and the Fee Reserve Beneficial Interests. The Seller sells the
Mortgage Beneficial Interests A to investors, but holds the Cash
Reserve Beneficial Interests and the Fee Reserve Beneficial Interests.
The Seller acts as the Servicer for receivables whose payments are not
delinquent. The Special Servicer serves delinquent receivables.
A Back-up Servicer is appointed at closing.
Moody's has assigned the rating based on JHF's capability
to pay principal insurance proceeds and on the availability of cash reserve
and excess spread to cover risks and expenses not covered by the insurance
policy.
The underlying residential mortgage loan receivables are insured by housing
loan insurance provided by JHF (A1, Issuer Rating).
JHF's housing loan insurance covers principal losses on the residential
mortgage loans in the pool. That is, JHF pays the insurance
proceeds to the asset trustee in case of an insurable event, after
receiving a valid insurance claim.
A cash reserve is set up at closing and maintained to cover various risks,
including commingling risk, the shortfall in interest collections
upon obligors' default, and liquidity risk in the event of
servicer default and replacement.
Moody's used conservative mortgage pool default assumptions to assess
the sufficiency of the coverage provided by cash reserve and excess spread.
As such, neither detailed loan-by-loan Milan CE analysis
nor cash flow model were used for the analysis.
The Mortgage Beneficial Interests A are redeemed according to the principal
collections from the pool in a monthly, pass-through manner.
The scheduled dividend rate of the Mortgage Beneficial Interests A is
equal to base rate plus a spread. The spread is directly linked
to the average prepayment rate from the closing date to the relevant calculation
date. In its analysis, Moody's has assessed the sufficiency
of excess spread and cash reserve considering the highest possible spread.
Moody's considers the Seller and the Special Servicer sufficiently capable
of servicing the mortgage pool, having taken into account their
business experiences and servicing operations.
The principal methodology used in this rating was "Moody's Approach
to Rating RMBS Using the MILAN Framework" (Japanese) published in May
2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1228959.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
The primary factor that could lead to an upgrade of the rating is an upgrade
of the JHF's rating. The primary factor that could lead to
a downgrade of the rating is a downgrade of the JHF's rating.
Moody's did not use any models in its analysis and therefore did
not conduct the sensitivity analysis.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
Moody's did not use any models, or loss or cash flow analysis,
in its analysis.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The rating has been disclosed to the rated entity or its designated agent(s)
and issued with no amendment resulting from that disclosure.
This rating is solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the EU and is endorsed
by Moody's Deutschland GmbH, An der Welle 5, Frankfurt
am Main 60322, Germany, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that issued the credit rating is available on www.moodys.com.
Moody's SF Japan K.K. is a registered credit rating agency
under the Financial Instrument and Exchange Act but not a Nationally Recognized
Statistical Rating Organization ("NRSRO"). Therefore the credit
ratings assigned by Moody's SF Japan K.K. are Registered
Credit Ratings to the FSA, but are not NRSRO Credit Ratings.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Yusuke Minaki
Asst Vice President - Analyst
Structured Finance Group
Moody's SF Japan K.K.
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, Minato-ku
Tokyo 105-6220
Japan
JOURNALISTS: 81 3 5408 4220
Client Service: 81 3 5408 4210
Yusuke Seki
Associate Managing Director
Structured Finance Group
JOURNALISTS: 81 3 5408 4220
Client Service: 81 3 5408 4210
Releasing Office:
Moody's SF Japan K.K.
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, Minato-ku
Tokyo 105-6220
Japan
JOURNALISTS: 81 3 5408 4220
Client Service: 81 3 5408 4210
