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Rating Action:

Moody's assigns provisional ratings to BTMU Residential Mortgage Loan Trust Beneficial Interests Series 11

26 Aug 2009

JPY 19.4 billion of Senior and Mezzanine Beneficial Interests rated

Tokyo, August 26, 2009 -- Moody's Investors Service has assigned (P)Aaa provisional ratings to BTMU Residential Mortgage Loan Trust Beneficial Interests Series 11 Senior Beneficial Interests Class A and Class B and a (P)Aa3 rating to the Mezzanine Beneficial Interests. All together, the Senior and Mezzanine Beneficial Interests total JPY 19.4 billion. These Beneficial Interests are backed by a pool of residential mortgage loan receivables originated by The Bank of Tokyo-Mitsubishi UFJ, Ltd.

The ratings address the expected loss posed to investors by the final maturity date. The structure allows for timely payments of dividend (in scheduled amounts, on scheduled payment dates), and full repayment of principal by the final maturity date with respect to the Class A and Class B Senior Beneficial Interests, and the full payment of dividend and full repayment of principal by the final maturity date with respect to the Mezzanine Beneficial Interests.

Moody's issues provisional ratings in advance of the final sale of the securities. These ratings, however, only represent 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 August 25, 2009.

The complete rating action follows:

Transaction name: BTMU Residential Mortgage Loan Trust Beneficial Interests Series 11

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

Senior Beneficial Interests Class A, JPY 7.3 billion, Fixed, Monthly, Assigned (P)Aaa

Senior Beneficial Interests Class B, JPY 11.0 billion, Fixed, Monthly, Assigned (P)Aaa

Mezzanine Beneficial Interests, JPY 1.1 billion, Fixed, Monthly, Assigned (P)Aa3

Credit Enhancement:

Senior Beneficial Interests: 6.7% Over-collateralization

Mezzanine Beneficial Interests: 1.1% Over-collateralization

* The formula to calculate the Credit Enhancement in place for this transaction is as follows.

Credit Enhancement %: A / B

A: Total principal amount of the Beneficial Interests subordinated to the subject Beneficial Interests (excluding the Subordinated Beneficial Interests corresponding to the transaction's Cash Reserve Amount)

B: Total amount of the underlying residential mortgage loans

Scheduled Entrustment Date: September 18, 2009

Scheduled Closing Date: September 29, 2009

Final Maturity Date: February 26, 2046

Seller/Servicer: The Bank of Tokyo-Mitsubishi UFJ, Ltd. (Bank of Tokyo-Mitsubishi UFJ) (Aa2/Prime-1)

Asset Trustee: Mitsubishi UFJ Trust and Banking Corporation

Guarantor: The Mitsubishi UFJ Home Loan Credit Co., Ltd./Diamond Home Credit Co., Ltd.

Arranger: Mitsubishi UFJ Securities Co., Ltd.

Private Placement Dealer: Mitsubishi UFJ Securities Co., Ltd.

RATING OPINION SUMMARY

The provisional ratings are based primarily on the following factors:

(1) The integrity of the legal structure

(2) The credit quality of the underlying residential mortgage loan pool

(3) The recovery from sales of the collateralized properties and defaulted obligors

(4) The level of excess spread/negative carry

(5) The level of over-collateralization provided by the senior/subordinated structure

(6) The subrogation payments made by the Guarantor pursuant to a guarantee agreement (only for evaluation of the Mezzanine Beneficial Interests)

(7) The level of the cash reserves

(8) The experience and expertise of the Servicer

STRUCTURE OVERVIEW

Bank of Tokyo-Mitsubishi UFJ will entrust a pool of residential mortgage loans it has originated to Mitsubishi UFJ Trust and Banking Corporation and receive the Senior Beneficial Interests, Mezzanine Beneficial Interests, and Subordinated Beneficial Interests.

Bank of Tokyo-Mitsubishi UFJ will sell the Senior Beneficial Interests and Mezzanine Beneficial Interests to investors, but will retain the Subordinated Beneficial Interests.

Bank of Tokyo-Mitsubishi UFJ will act as the Servicer.

SELLER/SERVICER

The Seller/Servicer, The Bank of Tokyo-Mitsubishi UFJ Ltd., headquartered in Tokyo, has branch offices in principal cities nationwide in Japan. It is one of the main Japanese city banks. In addition to banking, it provides various services through its associated companies including leasing, securities, credit cards, etc.

MU Frontier Servicer Co., Ltd., which will service part of the asset pool under the responsibility of the Servicer, is the succeeding entity of Frontier Servicer Co., Ltd. and Tokyo Diamond Servicing and Revitalization Co., Ltd., which were subsidiaries of UFJ Group and Mitsubishi Tokyo Financial Group, respectively.

Moody's had an on-site meeting with Bank of Tokyo-Mitsubishi UFJ and MU Frontier Servicer Co., Ltd., focusing on their business franchises and policies and the bank's role as an originator. Moody's also conducted a review of their servicer operations and considers both to be sufficiently capable of servicing the pool.

V SCORES AND PARAMETER SENSITIVITIES

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.

Moody's also ran sensitivities around key parameters for this transaction. For instance, if the gross loss of 2.7% used in determining the initial rating were changed to 6.0% or 9.0%, the model-indicated rating for the Senior Beneficial Interests Class A and the Mezzanine Beneficial Interests would not be sensitive but the rating for the Senior Beneficial Interests Class B would change from Aaa to Aa1 and Aa3, 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 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 (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 only reflect 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 www.moodys.com.

REFERENCE TO RELEVANT METHODOLOGY

The principal methodology used in rating the transaction was "Moody's Approach to Rating Residential Mortgage-Backed Securities in Japan" (May 2003), which can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Credit Policy & Methodologies directory.

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
Shinichiro Kan/AVP-Analyst
Nagisa Sugimura/Senior Associate
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 provisional ratings to BTMU Residential Mortgage Loan Trust Beneficial Interests Series 11
No Related Data.
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