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Rating Action:

Moody's assigns definitive ratings to Sumitomo Trust Bank Series 6 RMBS

 The document has been translated in other languages

16 Mar 2011

JPY 42.6 billion of trust certificates rated

Tokyo, March 16, 2011 -- Moody's Japan K.K. has assigned definitive ratings of Aaa (sf) to the Class A1 and A2 Sumitomo Trust Bank Series 6 Residential Mortgage-Backed Trust Certificates (the "Senior Trust Certificates") totaling JPY 42.6 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 actions are as follows:

Transaction Name: Sumitomo Trust Bank Series 6 Residential Mortgage-Backed Trust Certificates

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

Class A1 Senior Trust Certificates, JPY 24.6 billion, Fixed, Monthly, Aaa (sf)

Class A2 Senior Trust Certificates, JPY 18.0 billion, Fixed, Monthly, Aaa (sf)

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

Subordination:

Class A1: Approx. 46.6%

Class A2: Approx. 7.5%

* 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: March 11, 2011

Closing Date: March 16, 2011

Final Maturity Date: The end of December 2051

Underlying Asset: Residential mortgage loans

Originator/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

RATING RATIONALE

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.

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

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 acts 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.

The Originator/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 2010, the bank had consolidated capital of about JPY342.0 billion, with 51 offices in Japan and four overseas offices. The number of employees totaled 6,096.

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

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 principal methodology used in this rating was "Updated: Moody's Approach to Rating RMBS Transactions in Japan" published on September 30, 2010, and available on www.moodys.co.jp.

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 indicates "Low/Medium" uncertainty about critical assumptions, in line with the Low/Medium score for the Japanese RMBS(Conforming) sector.

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

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, not to individual tranches.

Moody's also ran sensitivity analyses for key parameters for this transaction. For instance, if the cumulative gross loss rate of 2.3% used in determining the initial rating were changed to 6.9% or 9.6%, the model output 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. (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 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 methodology, "V Scores and Parameter Sensitivities in the Asia/Pacific RMBS Sector", published on September 30, 2010, is available on moodys.co.jp.

REGULATORY DISCLOSURES

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, loan-by-loan data, and contracts.

Information sources used to prepare the credit rating are the following parties involved in the ratings such as the Arranger and the Originator; public information, confidential and proprietary Moody's information.

Measures taken to ensure the quality of this information include representations and warranties and reviews by a third party.

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 would disclose the related information pertinent to this transaction through Moody's press release and its presale report.

Moody's adopts all necessary measures so that the information it uses 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 is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

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 other reasons.

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.

Please see ratings tab on the issuer/entity page on the Moody's website for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on the Moody's website for further information.

Please see the Credit Policy page on the Moody's website for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

Tokyo
Nagisa Sugimura
Associate Analyst
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Tokyo
Yusuke Seki
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.
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, Minato-ku
Tokyo 105-6220
Japan
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Moody's assigns definitive ratings to Sumitomo Trust Bank Series 6 RMBS
No Related Data.
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