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Rating Action:

Moody's assigns ratings to B-Cap 1 Trust Certificates (CMBS)

Global Credit Research - 03 Sep 2010

JPY 8 billion in Trust Certificate affected

Tokyo, September 03, 2010 -- Moody's Investors Service has assigned the following definitive ratings to B-CAP 1 Trust Certificates, which is backed by two mezzanine class specified bonds and cash.

The ratings address the expected loss posed to investors by the legal final maturity. The structure allows for ultimate payments of dividend and principal by the legal final maturity.

Other non-credit risks, such as those associated with the timing of principal prepayments and the payment of prepayment penalties, have not been addressed and may have a significant effect on yield to investors.

The ratings and transaction summary follow:

Trust Name: B-CAP 1 Trust

Arranger: Barclays Capital Japan Limited (Barclays)

Closing Date: September 3, 2010

Expected Maturity Date: September 7, 2014

Legal Final Maturity Date: September 7, 2018

Dividend: Quarterly, Fixed

Originator/Trustor: Barclays

Trustee/Issuer: DB Trust Company Limited Japan (DB Trust)

Servicer: Shinsei Servicing Company (Shinsei Servicer)

Underlying Debt: Two mezzanine specified bonds

Expected Maturity Date of the Underlying Debt: September 3, 2014

Legal Final Maturity Date of the Underlying Debt: September 3, 2016

Underlying Properties: Multiple office, residential and retail properties

Class, Amount, Dividend, Rating, Credit Support*1

Class 1, JPY 3,000 million, Fixed, Aa3 (sf), 62.5%

Class 2, JPY 1,000 million, Fixed, A1 (sf), 50.0%

Class 3, JPY 2,000 million, Fixed, A3 (sf), 25.1%

Class 4, JPY 2,000 million, Fixed, Baa2 (sf), 0.1%

Class X*2, JPY 8 million, Floating, NR, 0.0%

*1 The formula used to calculate the credit support in place for this transaction follows:

Credit support %: A / B

A: Total principal amount of the debt subordinate to the rated trust certificate

B: Total debt amount (JPY 8,008 million )

*2 Class X Trust Certificate represents the right to receive excess cash flow from the waterfall.

Moody's LTV: Total amount of the subject debt and senior to the debt / Moody's Value for the Underlying Properties

(Closing) 57.9% and (Balloon*3) 47.7% for Class 1

(Closing) 60.8% and (Balloon) 50.6% for Class 2

(Closing) 66.6% and (Balloon) 56.4% for Class 3

(Closing) 72.4% and (Balloon) 62.2% for Class 4

Moody's Stressed DSCR: Moody's Net Cash Flow / (Total amount of the subject debt and senior to the debt × a 6.25% Loan Constant)

(Closing) 1.85x and (Balloon*3) 2.25x for Class 1

(Closing) 1.76x and (Balloon) 2.12x for Class 2

(Closing) 1.61x and (Balloon) 1.90x for Class 3

(Closing) 1.48x and (Balloon) 1.72x for Class 4

*3 Each one of Balloon LTVs or SDSCRs is based on Moody's expected outstanding of the debt amount at the legal final maturity date of the Underlying Debt.

STRUCTURE OUTLINE

- The borrower issued Class A (JPY 17,000 million), Class B-1 (JPY 4,000 million) and Class B-2 (JPY 4,000 million) specified bonds.

- Barclays entrusted ClassB-1, ClassB-2 specified bonds (Underlying Debt) and cash to DB Trust. DB Trust issued the Class 1 through 4 and Class X Trust Certificates.

- Dividends on the Trust Certificates will depend on interest payments on Underlying Debt and others.

- WF at the trust level is sequential and the borrower level is basically sequential as well.

- Shinsei Servicer will be in charge of servicing Underlying Debt.

- The transaction has a 4-year tail period between the expected maturity and the legal final maturity of the Trust Certificates.

RATING OPINION SUMMARY

The transaction is a single-borrower multi-assets CMBS backed by multiple office, residential and retail properties. Moody's analysis included assessments for 1) the high liquidity of Underlying Properties, 2) the impact from the fact that the Underlying Debt is not senior debt but mezzanine debt, 3) the scheduled amortization and the fast-pay mechanism, 4) the credit support provided by the senior/subordinate structure, and which is illustrated by the loan to value (LTV) and level of stressed DSCR, and 5) the legal and structural integrity of the transaction.

V SCORE AND PARAMETER SENSITIVITIES

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 for this transaction is Medium, which is same as the Medium V Score assigned to the Japanese Single Borrower CMBS sector.

Parameter Sensitivities are not intended to measure how the rating of the security might migrate over time, but to provide a quantitative calculation of how the initial rating might change if key input parameters used in the initial rating process differed from those Moody's used as key parameters in Moody's Value for this transaction.

Moody's has used high stressed values by stressing Moody's net cash flow and caprate. To determine Moody's Value, we have posited three cases, with 5%, 15%, or 25% value cuts.

The value cuts give rise to changes in the model-indicated Parameter Sensitivity from the initial ratings to A1, A3 and Baa3 for the Class 1, A2, Baa1 and Ba1 for the Class 2, Baa1,Ba1, and Ba3 for the Class 3, and Baa3, Ba3, and B2 for the Class4.

The special report, "V Scores and Parameter Sensitivities in the Asian CMBS Sector" (April 2009) is available on www.moodys.com.

REFERENCE TO RELEVANT METHODOLOGY

The principal methodology used in rating and monitoring the transactions is "Updated: Moody's Approach to Rating CMBS Transactions in Japan" (June 2010) which can be found at www.moodys.com in the Research & Ratings directory, in the Rating Methodologies subdirectory.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings, and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

REGULATORY DISCLOSURES

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.

Please see ratings tab on the issuer/entity page on Moodys.com 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 Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service 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 our website www.moodys.com for further information.

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

Tokyo
Ren Taguchi
Asst Vice President - Analyst
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Tokyo
Tetsuji Takenouchi
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

Moody's assigns ratings to B-Cap 1 Trust Certificates (CMBS)
No Related Data.
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