JPY13,729 million Trust Certificates rated
Tokyo, December 22, 2010 -- Moody's Japan K.K. has assigned the following ratings to
Stream Trust (CMBS), which is backed by a non-recourse loan.
The ratings address the expected loss posed to investors by the legal
final maturity. The structure allows for ultimate payments of dividends
and principal by the legal final maturity.
The complete rating actions are as follows:
Deal Name: Stream Trust
Class, Amount, Dividend, Rating, Credit Support*
A, JPY 9,300 million, Fixed, Aa1 (sf), 32.3%
B, JPY 1,500 million, Fixed, Aa3 (sf), 21.4%
C, JPY 1,400 million, Fixed, A3 (sf), 11.2%
D, JPY 1,529 million, Fixed, Baa2 (sf),
0.1%
Reserve Trust Certificate, JPY 7 million, -,
Non Rated, 0.0%
* The formula used to calculate the credit support in place for this
transaction:
Credit support %: A / B, where
A: Total principal amount of the debt subordinate to the rated trust
certificates
B: Total debt (JPY 13,736 million)
Total Issuance Amount: JPY13,736 million
Expected Dividend Payments: Quarterly
Closing Date: December 22, 2010
Expected Maturity Date: May 1, 2015
Legal Final Maturity Date: May 1, 2019
Underlying Asset: A non-recourse loan
Underlying Loan Amount: JPY13,729 million
Underlying Property: A portfolio of 15 commercial real estates in
Japan
Originator/Arranger: Shinsei Securities Co., Ltd.
Trustee: DB Trust Company Limited Japan
Special Servicer: Premier Asset Management Company
RATING RATIONALE
Shinsei Securities entrusted the underlying loan to DB Trust, and
upon receipt of trust certificates in return, it transferred the
trust certificates to investors. Dividends on the trust certificates
will depend on the interest payments on the loan. The interest
rate on the loan is fixed. The waterfalls at the trust levels is
sequential. Premier Asset and Management Company will be in charge
of special servicing the loan.
The transaction has a 2-year internal tail period between the expected
and the final maturities (April 30, 2015 and April 28, 2017)
of the loan and a 2-year tail period at the CMBS level between
the final maturity of the loan and the legal final maturity of the trust
certificates (May 1, 2019).
The ratings are based mainly on 1) the property portfolio's quality and
competitiveness ; 2) the waterfalls at the borrower and trust levels;
3) the credit support provided by the senior/subordinate structure as
illustrated by the loan-to-value (LTV) and stressed DSCR
levels; and 4) the legal and structural integrity of the transaction.
Moody's estimated the credit support levels for each of the rated trust
certificates based on its estimates for the net cash flow and value of
the properties, taking into consideration the characteristics of
the underlying loan, historical data on the property, third-party
reports, performance data on existing transactions, and industry
trends.
The following are Moody's LTVs and Stressed DSCRs for each rated class.
Moody's considers these numbers appropriate for each of the ratings.
Moody's LTV:
Total amount of the subject debt and senior to the debt / Moody's Value
for the underlying properties
Class A: Closing, 49.2%; Balloon,
40.5%
Class B: Closing, 57.2%; Balloon,
48.4%
Class C: Closing, 64.6%; Balloon,
55.8%
Class D: Closing, 72.7%; Balloon,
63.9%
The Balloon LTV in each case is based on the outstanding debt balance
at balloon (the legal final maturity of the underlying loan) as estimated
by Moody's, taking into consideration a trapped cash amount at the
loan level.
Moody's Stressed DSCR:
Moody's Net Cash Flow / (Total amount of the debt in this transaction
and any senior debt × a 6.5% loan constant)
Class A: Closing, 2.30x; Balloon, 2.79x
Class B: Closing, 1.98x; Balloon, 2.34x
Class C: Closing, 1.75x; Balloon, 2.03x
Class D: Closing, 1.56x; Balloon, 1.77x
The Balloon Stressed DSCR in each case is based on 1) the outstanding
debt balance at balloon (the legal final maturity of the underlying loan)
as estimated by Moody's, taking into consideration a trapped cash
amount at the loan level and 2) a 6.5% loan constant.
Moody's has examined the performance of the Special Servicer on existing
transactions and considers it sufficiently capable of servicing the loan,
given its substantial experience in the CMBS industry.
The principal methodology used in this rating was Moody's "Updated:
Moody's Approach to Rating CMBS Transactions in Japan," published
on September 30, 2010, and available on www.moodys.co.jp.
Moody's received third-party due diligence reports for this transaction,
which did not affect the ratings assigned.
The V Score for this transaction is Medium, which is same as the
Medium V Score assigned to the Japanese Single Borrower CMBS sector.
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 Moody's provides a relative assessment by stressing Moody's Net Cash
Flow and Cap Rate with regard to the underlying asset (to determine Moody's
Value, we have tested three cases, by applying 5%,
15%, or 25% value cuts respectively), the value
cuts give rise to changes in the model indicated Parameter Sensitivity
from the initial ratings to Aa1, Aa3 and A2 for the Class A Trust
Certificates, A1, A3, and Baa3 for the Class B Trust
Certificates, Baa1, Baa3, and Ba3 for the Class C Trust
Certificates, and Baa3, Ba2, and B2 for the Class D
Trust Certificates.
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 a 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 methodologies, Moody's "Updated Report on V Scores and Parameter
Sensitivities for Structured Finance Securities," published on September
30, 2010, and "V Scores and Parameter Sensitivities in the
Asian CMBS Sector," published on September 30, 2010,
are available on www.moodys.co.jp. In addition,
Moody's publishes a weekly summary of structured finance credit,
ratings, and methodologies, available to all registered users
of its website, at www.moodys.com/SFQuickCheck.
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 and third party reports on underlying asset, 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, and acquisitions of third party reports, etc.
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.
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
Mitsuru Sukigara
Vice President - Senior 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.
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Tokyo 105-6220
Japan
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's assigns ratings to Stream Trust (CMBS)
