JPY 10.0 billion of the Senior Trust Certificates affected
Tokyo, March 18, 2011 -- Moody's Japan K.K. has assigned a provisional (P)Aaa (sf)
rating to the Senior Trust Certificates of JPY 10.0 billion,
backed by handset installment sales receivables, originated by SOFTBANK
MOBILE Corp.
The rating addresses 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 securities.
These ratings, however, represent Moody's preliminary credit
opinions only. Upon a conclusive review of the transaction and
associated documentation, Moody's will endeavor to assign definitive
ratings to the securities. Definitive ratings may differ from provisional
ratings. The provisional rating is based on information received
as of March 17, 2011.
The complete rating actions follow:
Deal Name: SBM Handset Installment Sales Receivables Securitization
2011-3
Rating: (P)Aaa (sf)
Class: Senior Trust Certificates
Scheduled Issue Amount: JPY 10.0 billion
Scheduled Dividend Rate: Floating
Payment Frequency: Monthly
Scheduled Entrustment Date: March 25, 2011
Scheduled Transfer Date of Trust Certificates: March 30, 2011
Final Maturity Date: October 2, 2015
Scheduled First Payment Date for Principal & Dividends: July
4, 2011
Underlying Asset: Handset Installment Sales Receivables
Total Amount of Underlying Asset: JPY 13,000,008,360
(as of the end of January 2011)
Seller(Originator/Initial Servicer): SOFTBANK MOBILE Corp.
(SBM)
Trustee: Mizuho Trust & Banking Co., Ltd.
Back-up Servicer: Japan Collection Service Co.,
Ltd.
Cap Provider: Tokio Marine Financial Solutions Ltd. (Aa2)
Arranger: Mitsubishi UFJ Trust and Banking Corporation
Arranger/Program Manager: Mizuho Corporate Bank, Ltd.
RATING RATIONALE
The Seller will entrust a pool of installment sales receivables and cash
to the Trustee, and will receive the Senior Trust Certificates,
the Class A through C Seller Trust Certificates, and the Subordinated
Trust Certificate. Entrustment of the receivables will be 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 unless certain events occur.
The Seller will hold the Class A through C Seller Trust Certificates and
the Subordinated Beneficial Interest but will transfer the Senior Trust
Certificates to Investors. The transfer of the Senior Trust Certificates
will be perfected against the relevant obligors and third parties by obtaining
the Trustee's approval in writing with a certified date under Article
94 of Japan's Trust Law. The seller, acting as initial
servicer, will hold the Subordinated Trust Certificate.
The Trustee will enter into an interest rate cap agreement with a cap
provider to hedge its interest rate risk.
Credit enhancement is provided by the senior/subordinated structure.
Subordination comprises approximately 17.8% of the initial
principal balance of the Investor Trust Certificates and the Subordinated
Trust Certificate.
In preparation for servicer replacement, liquidity will be provided
in the form of a cash reserve at closing. If any servicer replacement
preparation events occur, the additional enhancement will be provided.
Besides, if any servicer replacement events occur, the Trustee
can dismiss the Servicer. A back-up servicer will be appointed
at closing.
Commingling risk is covered by the advance payment of collections from
the underlying assets and Subordinated Trust Certificates.
The ratings are based mainly on the strength of transaction structure,
the credit of the receivables, and the servicer's experience.
The assets are handset installment sales receivables originated by SBM
and are diversified, because the obligors are consumers and the
average outstanding amount (per obligor) is low, at approximately
JPY 50,000.
Moody's estimated the annualized expected default rate of the underlying
assets at approximately 2.1%, taking into consideration
the receivables' attributes, historical data on the seller's
entire pool, performance data on existing securitization pools,
and telecommunications charges 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 (including the influence
of the Pacific coast of Tohoku Earthquake) by adding stress consistent
with the assigned rating on these 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 SBM's business and considers the company
sufficiently capable of servicing the underlying pool as SBM has substantial
experience in the mobile telecommunications carrier industry as initial
servicer. Moody's has rated SBM's existing whole business
securitizations and monitors the transactions on an ongoing basis.
The principal methodology used in this rating was "Moody's Approach
to Rating Japanese Installment Sales Loan Receivables ABS,"
published on September 30, 2010, and available on www.moodys.co.jp.
Moody's did not receive or take into account any third-party
due diligence reports on the underlying assets or financial instruments
in this transaction.
The V Score for this transaction is Low/Medium. Moody's has assigned
ratings to the Originator's handset installment sales receivables
ABS since June 2007. Moody's conducted its analysis using historical
data, including information Moody's received for past transactions,
as well as performance data on the collections of telecommunications charges,
for which more data -- in terms of history -- are available
than handset installment sales receivables.
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, modeling, 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 3.5% or 4.5%, the model
output for the rated class in these two scenarios would be zero notches
down (Aaa) for a 3.5% default rate, and one notch
down (Aa1) for a 4.5% 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
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, "Updated Report on V Scores and Parameter
Sensitivities for Structured Finance Securities," published
on September 30, 2010, is available on www.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, attribution data, and contracts.
Information sources used to prepare the credit rating are the following:
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.
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 will not
disclose information pertinent to this transaction to third parties.
However, the Arrangers, the Trustee and the beneficiary shared
the information pertinent to this transaction.
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
Yusuke Minaki
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
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Tokyo 105-6220
Japan
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's assigns provisional ratings SOFTBANK MOBILE handset deal
