Class B and C Senior Trust Certificates affected
Tokyo, February 16, 2011 -- Moody's Japan K.K has downgraded the ratings on the Class B and
C Senior Trust Certificates issued by JLOC XXVIII Trust.
Details follow:
Class B, Downgraded to Aa2 (sf); previously on Dec 3,
2010 Aaa (sf) Placed Under Review for Possible Downgrade
Class C, Downgraded to Ba3 (sf); previously on Dec 3,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Deal Name: JLOC XXVIII Senior Trust
Class: Class A through D Senior Trust Certificates
Issue Amount (initial): JPY 88.9 billion
Dividend: Floating
Issue Date (initial): October 20, 2005
Final Maturity Date: October, 2012
Underlying Asset (initial): Two senior specified bonds backed by
commercial real estates
Entrustor: Morgan Stanley Japan Limited (as of issue date)
Trustee: Mitsubishi UFJ Trust and Banking Corporation
Arranger: Morgan Stanley Japan Limited (as of issue date)
The JLOC XXVIII Senior Trust, issued in October 2005, is a
liquidating CMBS transaction.
The Entrustor entrusted the two senior specified bonds to the Asset Trustee
(originally backed by 567 properties) and received the Class A through
D Senior Trust Certificates in return, which were then sold to investors.
The Senior Trust Certificates are rated by Moody's.
In this transaction, principal payments resulting from the sale
of the underlying properties of each bond will be used to make sequential
payments on the most senior class.
In the event of a breach of the transaction's fast-pay trigger,
dividend payments will cease, and principal payments will be made
from the proceeds of property sales as well as cash flow from the underlying
properties. The losses will be allocated in reverse sequential
order, starting with the most subordinate class of the trust certificates.
The specified bond issued by Nakano Holding TMK was redeemed in full in
July 2006.
The specified bond issued by Harajuku Holding TMK was originally backed
by 329 properties or property trust certificates. As of end-January,
212 properties had been sold.
The Class A Senior Trust Certificates were redeemed in full by sequential
payment.
Ten properties (based on Moody's current value) comprise 53% of
the portfolio, while residential properties outside Tokyo comprise
43%.
RATING RATIONALE
Given that approximately 20 months are left before final maturity for
so many -- 117 -- of the properties, Moody's
has decided to re-assess -- and add further stress
to -- its recovery assumptions for the property disposal
prices before the final maturity. Thus, the current rating
action reflects the following factors:
(1) The new estimate for disposal prices is approximately 36% lower
than Moody's initial value.
(2) The credit support for the Class B Senior Trust Certificates has thus
decreased.
(3) In addition, losses on the remaining bond are highly likely
and could negatively affect the Class C Senior Trust Certificates.
Moody's will continue to monitor the properties' operating status and
the progress of the asset advisor's 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, Performance Reports, Disposition Reports and Disposition
Plans.
Information sources used to prepare the credit rating came the following:
parties involved in the ratings (such as the asset advisor), parties
not involved in the ratings (such as the Trustee), 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,
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
Takahiro Okubo
Vice President - Senior 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.
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Tokyo 105-6220
Japan
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's downgrades JLOC XXVIII Trust (CMBS)