45 tranches of 39 transactions affected
Tokyo, August 25, 2011 -- Moody's Japan K.K. has downgraded the ratings on 40 tranches
in 36 RMBS transactions and confirmed five tranches in three transactions.
These rating actions follow the downgrade of Japanese government-related
issuers and Japanese banks on August 24, 2011. The downgrade
of these entities in turn follows Moody's decision to downgrade
the Japanese Government Bond (JGB) rating to Aa3 with a stable outlook
from Aa2.
For a list of the transactions and tranches click the link below:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF259711
Action number 1-32:
RATING RATIONALE
We have downgraded the ratings of these 32 tranches because of the declining
credit quality of the Japan Housing Finance Agency (JHF), which
insures the residential mortgage loans backing the transactions.
In addition, JHF guarantees scheduled dividends and principal payments
on all 32 tranches.
The primary uncertainty is any future change in the credit quality of
JHF because the ratings of the beneficial interests reflect the rating
of JHF.
For instance, if the rating of JHF fell to A1 or A2 from Aa3,
the ratings of the beneficial interests would fall to A1 and A2,
respectively, from Aa3. The ratings do not factor in the
credit quality of the underlying residential mortgage loan pools.
Action number: 33
RATING RATIONALE
This rating action on the seller beneficial interests backed by a pool
of residential mortgage loan receivables originated by Shinsei Bank,
Limited, follows the downgrade of the bank's long-term
deposit ratings and senior unsecured debt rating to Ba1 from Baa3 on August
24, 2011. As the credit quality of the bank declines,
set-off risk, commingling risk, and liquidity risk
increase, thereby exposing the cash reserve fund and collection
account to potential losses. The rating also takes into account
the default risk of residential mortgage loan receivables.
Primary sources of uncertainty are the current macroeconomic environment,
especially the unemployment rate and compensation levels.
Action number: 34-35
RATING RATIONALE
Moody's has confirmed the Aa3 (sf) ratings on these two mezzanine
beneficial interests. This rating action takes into account the
strong performance of the underlying assets, increased credit enhancement,
and the guarantor's ability to guarantee defaulted loans.
Moody's had placed on review for downgrade each of the Mezzanine Beneficial
Interests' ratings on June 1, 2011. The review reflected
the possible decline in the loan guarantor's ability to provide
a guarantee following the placement on review for downgrade of the rating
on the parent company, The Bank of Tokyo-Mitsubishi UFJ,
Ltd.
Primary sources of uncertainty are the current macroeconomic environment,
especially the unemployment rate and compensation levels.
Action number: 36
RATING RATIONALE
This rating action on the seller beneficial interests, backed by
a pool of residential mortgage loan receivables originated by the seller,
follows the downgrade of the seller's long-term deposit ratings
and senior unsecured debt rating to Ba1 from Baa3 on August 24,
2011. As the credit quality of the seller declines, set-off
risk, commingling risk, and liquidity risk increase,
thereby exposing the cash reserve fund and collection account to potential
losses. The rating also takes into account the default risk of
residential mortgage loan receivables.
Primary sources of assumption uncertainty are the current macroeconomic
environment, especially the unemployment rate and compensation levels.
Action number: 37-39
RATING RATIONALE
Moody's has confirmed the ratings of Class A though Class C of this
re-securitization of beneficial interests backed by personal loans,
for which third parties have provided guarantees. The rating actions
take into account the fact that the performance of the underlying assets
has been within our initial expectations. The rating actions also
consider the increased credit enhancement, and the guarantor's
ability provide a guarantee for defaulted loans.
Moody's had placed on review for downgrade each rating of the Class A
though Class C beneficial interests on June 1, 2011. The
review reflected the consideration that the guarantors' credit quality
could decline.
Primary sources of uncertainty are the current macroeconomic environment,
especially the unemployment rate and compensation levels.
Action number: 40-45
RATING RATIONALE
Moody's downgraded the transactions, which are repackagings
of beneficial interests backed by residential mortgage loans, because
of the declining credit quality of a transaction party, the rating
of which Moody's has downgraded to Aa3 from Aa2.
The primary uncertainty is any future change in the credit quality of
the transaction party, on which Moody's bases these transactions'
ratings. The ratings do not factor in the credit quality of the
underlying residential mortgage loan pools.
The principal methodology used in these rating actions was "Updated:
Moody's Approach to Rating RMBS Transactions 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 related to the
monitoring of these transactions in the past six months.
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
public ratings, credit estimates, Servicer Reports,
and Trustee Reports.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings (such as the Originator, the Servicer,
the Trustee, etc.); public information; and proprietary
Moody's information.
Measures taken to ensure the quality of this information include reviews
by a third party.
Moody's considers the quality of information available on the issuer
or obligation satisfactory for the purposes of maintaining a credit rating.
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
Shinji Yoshizawa
Analyst
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Tokyo
Koji Kumamaru
MD - Structured Finance
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
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's confirms and downgrades various Japanese RMBS following sovereign downgrade
