JPY 24.0 billion Senior Beneficial Interests and ABL affected
Tokyo, March 10, 2011 -- Moody's Japan K.K. has assigned provisional ratings to Trust
Brillante, amounting to totaling JPY 24.0 billion,
backed by lease receivables.
The ratings 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), timely
payments of interests, and ultimate payment of principal by the
final maturity date.
Moody's issues provisional ratings in advance of the final sale of the
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 ratings are
based on information received as of March 9, 2011.
The complete rating actions are as follows.
Deal Name: Trust Brillante
Class, Dividend/Interest, Amortization, Rating
Class A Senior Beneficial Interests, Fixed, Controlled Amortization,
(P)Aaa (sf)
Trust ABL, Fixed, Controlled Amortization, (P)Aaa (sf)
Scheduled Total Issue Amount: JPY 24.0 billion
Payment Frequency: Monthly
Scheduled Entrustment Date: April 22, 2011
Scheduled Transfer Date of Beneficial Interests/Scheduled Loan Funding
Date: April 28, 2011
Final Maturity Date: June 11, 2018
Underlying Asset: Lease Receivables
Total Principal Amount of Receivables: JPY 29,992,845,199
Seller (Originator/Initial Servicer): ORIX Corporation (A3)
Arranger: ORIX Corporation
RATING RATIONALE
The seller will entrust a pool of its lease receivables to the asset trustee,
and receive the Class A and B Senior Beneficial Interests and a Subordinated
Beneficial Interest.
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 asset trustee will raise funds by taking out a limited-recourse,
asset-backed loan (the Trust ABL) from the ABL investors and use
the proceeds to redeem the Class B Senior Beneficial Interests in full.
The seller, as initial servicer, will hold the Subordinated
Beneficial Interest, but will transfer the Class A Senior Beneficial
Interests to the investors. The transfer will be 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
20.0% of the total principal amount of the receivables.
The Class A Senior Beneficial Interests and the Trust ABL will be redeemed
in a scheduled monthly amortization.
If any early amortization events occur, the dividend waterfall to
the Subordinated Beneficial Interest will be suspended, and excess
spread will be used to redeem the Class A Senior Beneficial Interests
and the Trust ABL. 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 will be provided
in the form of a cash reserve at closing. This reserve will cover
dividend/interest payments on the Class A Senior Beneficial Interests
and the Trust ABL, trust fees, and fees relating to the start
of back-up servicer operations, etc.
If any servicer replacement events occur, the asset trustee can
dismiss the servicer. A back-up servicer will not be appointed
at closing. However, if a back-up servicer standby
event occurs, the asset trustee will appoint one.
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 1.75%, taking into consideration receivable
attributes, historical data on the seller's 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 given its substantial
experience in the lease industry.
ORIX Corporation, headquartered in Minato-ku, Tokyo,
is an integrated financial services group established in 1964.
ORIX Corporation and its subsidiary businesses comprise mainly lease and
installment sales, real estate development/finance, and life
insurance. Its consolidated total assets were about JPY 8.5
trillion as of December 31, 2010.
The principal methodology used in this rating was "Moody's Approach
to Rating Securitizations of Lease Receivables 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 is Low/Medium, the same score assigned
to the Japanese lease receivables ABS sector.
Moody's has assigned ratings to securitizations of lease receivables originated
by the seller for more than ten years. The structure of this transaction
is a common one, and the level of complexity is similar to that
of a typical lease receivables ABS.
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 on 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 2.75% or 3.75%, the
model output for Class A Senior Beneficial Interests and Trust ABL in
these two scenarios would be zero notches down (Aaa) for a 2.75%
default rate, and one notch down (Aa1) for a 3.75%
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, and 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, 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, 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 will not
disclose information pertinent to this transaction to third parties except
through Moody's press release. However, they will disclose
related information pertinent to this transaction to candidate investors
who may invest in the 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
Takako Tokinaga
Asst Vice President - 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.
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Japan
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Moody's assigns provisional ratings to Trust Brillante lease receivables ABS
