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10 Feb 2011
Class C through F Trust Certificates affected
NOTE:On October 15, 2012, the press release was revised as follows: corrected the final maturity date to November 20, 2012 from October 2012.
Tokyo, February 10, 2011 -- Moody's Japan K.K has today confirmed its rating on the Class C
trust certificate issued by Harvest Trust and downgraded its ratings on
the Class D through F trust certificates.
Details follow:
Class C, Confirmed at Baa2 (sf); previously on Nov 12,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Class D, Downgraded to Ba3 (sf) from Ba2 (sf); previously on
Nov 12, 2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Class E, Downgraded to B1 (sf) from Ba3 (sf); previously on
Nov 12, 2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Class F, Downgraded to Caa2 (sf) from B3 (sf); previously on
Nov 12, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Deal Name: Harvest Trust
Class: Class A through G trust certificates
Issue Amount (initial): JPY 53.3 billion
Dividend: Floating
Issue Date (initial): September 28, 2007
Final Maturity Date: November 20, 2012
Underlying Asset (initial): Eight non-recourse loans and
three specified bonds and cash
Originator/Entrustor: Shinsei Bank, Limited
Arranger: Shinsei Securities Co., Ltd.
Harvest Trust, effected in September 2007, represents the
securitization of eight non-recourse loans and three specified
bonds, with all 11 referred to as "the loans."
The Originator entrusted the loans to the Asset Trustee, and received
the Class A through G trust certificates, which it then sold to
investors. The trust certificates are rated by Moody's.
In this transaction, modified pro-rata principal payments
are to be made at maturity, as are prepayments resulting from the
sale of the underlying properties or refinancing of the loans.
Sequential payments from the most senior class are applied in the event
of amortization of the loans; recovery collection, in the event
of default; and fast pay, in the event of a breach of the DSCR
trigger.
The losses incurred by defaulting loans are allocated in reverse sequential
order from the most subordinate class of the trust certificates.
Four of the loans have been paid down in full so far, and special
servicing for two of the defaulted loans has been completed, one
of which incurred a loss on the remaining principal balance as a result
of the special servicing.
Currently, five loans -- which are backed by office,
residential, and retail properties in Tokyo and its surrounding
areas as well as in Osaka -- are under special servicing.
RATING RATIONALE
The current rating action reflects the following factors:
(1) Regarding the five specially serviced loans, Moody's has
confirmed the operating status of the underlying properties, and
the progress of special servicing activities. As a result,
Moody's re-assessed its recovery stress assumptions,
lowering them from approximately 27% to approximately 44%,
35% for the weighted average, from their initial assumptions.
(2) In light of Moody's re-assessment, losses on the
remaining balance of the loans are highly likely and could affect the
Class F trust certificates negatively.
Moody's will continue to monitor the properties' operating
status and the progress of special-servicing activities.
The principal methodology used in this rating was "Updated: Moody's
Approach to Rating CMBS Transactions in Japan" (June 2010) published on
September 30, 2010, and 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 our website, at www.moodys.com/SFQuickCheck.
Moody's did not receive or take into account any third party due diligence
reports on the underlying assets or financial instruments related to the
monitoring of this transaction 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 included Trustee
Reports, Servicer Reports, Property Management Reports.
Information sources used to prepare the credit rating came the following:
parties involved in the ratings (such as the Arranger), parties
not involved in the ratings (such as the Servicer), public information,
confidential and proprietary Moody's information.
Measures taken to ensure the quality of this information include preparation
or 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,
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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
Meishuku Ohno
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/downgrades four classes of Harvest Trust Certificates (CMBS)
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.
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