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Related Issuers
Rating Action:

Moody's rates Class C Beneficial Interest of Sunshine Trust, consumer loan ABS

27 Aug 2010

JPY 13.3 billion in Class C Beneficial Interest affected

Tokyo, August 27, 2010 -- Moody's Investors Service has assigned a definitive rating to Class C Beneficial Interest of JPY 13.3 billion, based on the amendments of the transaction entered into on August 25, 2010, backed by consumer loan receivables.

The rating addresses the expected loss posed to investors by the final maturity date. The structure allows for timely payments of dividends (in scheduled amounts, on scheduled payment dates), and ultimate payment of principal by the final maturity date.

The rating and a summary of the transaction follow.

Deal Name: Sunshine Trust

Class: Class C Beneficial Interest

Rating: Ba3 (sf)

Amount: JPY 13.3 billion

Dividend: Fixed

Payment Frequency: Quarterly

Amortization: Pass-through

Initial Entrustment Date: September 24, 2008

Transfer Date of Class C Beneficial Interest: August 27, 2010

Final Maturity Date: July 31, 2018

Underlying Asset: Consumer loan receivables

STRUCTURE OVERVIEW

The seller, being both originator and initial servicer, entrusted a pool of consumer loan receivables to the asset trustee, and received the Class A Beneficial Interest, Class B Beneficial Interest, Class C Beneficial Interest, Seller's Beneficial Interest and Subordinated Beneficial Interest. Entrustment of the receivables was perfected against third parties under the Perfection Law (the Law Prescribing Exceptions, Etc. to the Civil Code Requirement for Setting Up Against a Third Party to an Assignment of Claims and Chattels [Law No.104, 1998]). Perfection against obligors will not be made until certain events occur.

The seller holds the Seller's Beneficial Interest and the Subordinated Beneficial Interest and has transferred the Class A, the Class B, and the Class C Beneficial Interests ("Senior-Mezzanine Beneficial Interests") to the investors. The transfer was perfected against the relevant obligors and third parties under Article 94 of Japan's Trust Law.

Credit enhancement is provided by the senior/subordinated structure and available excess spread. Subordination comprises approximately 28% of the total outstanding amount of the receivables.

The Senior-Mezzanine Beneficial Interests will be redeemed in a sequential, monthly, pass-through basis.

Default receivables will be used as payment in kind for dividends on the Subordinated Beneficial Interest, while cash in an amount equivalent to the principal balances of the defaulted receivables will be transferred from the interest collection account to the principal collection account (defaulted trapping mechanism).

If an early amortization event occurs, the dividend waterfall to the Subordinated Beneficial Interest will be suspended, and excess spread will be used to redeem the Senior-Mezzanine Beneficial Interests. Key early amortization events include a servicer replacement event occurring and asset performance triggers being reached.

In preparation for servicer replacement, liquidity was provided in the form of a cash reserve at closing. If a servicer replacement event occurs, the asset trustee can dismiss the servicer and have the back-up servicer take over as servicer. A back-up servicer has been appointed.

Commingling Risk is covered by the Seller's Beneficial Interest.

RATING OPINION SUMMARY

After examining this transaction structures, etc, Moody's assumes that the risk of interruption to cash flow from the assets in the event of the seller's or the asset trustee's bankruptcy is sufficiently minimized for the purposes of achieving the rating assigned.

Moody's estimates the expected annual default rate of the Japanese consumer loans at approximately 15% - 23%. Moody's determined the transaction's rating after taking into account the receivable attributes, historical data on receivables' entire pool, performance data for existing securitization pools, industry trends, the transaction structure, and other elements.

Moody's examined the seller and considers the company sufficiently capable of servicing the pool, given its substantial experience in the consumer loan industry.

V Score

The V Score for this transaction is Medium, the same score assigned to the Japanese consumer loan ABS sector.

Moody's has assigned ratings to securitizations of consumer loan receivables originated by the seller since 2008. This transaction's structure is a common one and the transaction's complexity is similar to that of a typical consumer loan ABS.

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 on the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, modelling, and the transaction governance that underlie the ratings, etc. V Scores apply to the entire transaction (rather than to individual tranches).

Parameter Sensitivities

If the default rate used in determining the initial rating were changed to 24% or 25%, the model output for the Class C Beneficial Interest in these two scenarios would be two notches down for 24% default rate, and three notches down for 25% default rate.

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 take into account structural features such as 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.

Reference to Relevant Methodology

The principal methodology used in rating the transaction was "Moody's Approach to Rating Consumer Finance Loan ABS in Japan" published in November 2005, which can be found at www.moodys.com in the Research and Ratings directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies subdirectory. Further information on Moody's analysis of this transaction is also available on www.moodys.com. 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.

The methodologies, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" published in December 2008 and "V Scores and Parameter Sensitivities in the Global Consumer Loan ABS Sector" published in May 2009, are available on moodys.com.

REGULATORY DISCLOSURES

Moody's Investors Service adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from reliable sources; however, Moody's Investors Service does not and cannot in every instance independently verify, audit 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
Atsushi Karikomi
Vice President - Senior Analyst
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Tokyo
Yusuke Seki
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 rates Class C Beneficial Interest of Sunshine Trust, consumer loan ABS
No Related Data.
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​
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