JPY49.1 billion of Mezzanine Beneficial Interests affected
Tokyo, May 23, 2014 -- Moody's Japan K.K. has upgraded the ratings of 10 Mezzanine
Beneficial Interests in 10 transactions backed by fixed-rate residential
mortgages originated by The Bank of Tokyo-Mitsubishi UFJ,
Ltd. ("Bank of Tokyo-Mitsubishi UFJ").
The affected ratings are as follows:
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 2
....JPY10.5 billion Mezzanine,
upgraded to Aa1 (sf); previously on August 25, 2011,
confirmed at Aa3 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 3
....JPY14.7 billion Mezzanine,
upgraded to Aa1 (sf); previously on August 25, 2011,
confirmed at Aa3 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 4
....JPY5 billion Mezzanine, upgraded
to Aaa (sf); previously on August 5, 2010, upgraded to
Aa1 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 5
....JPY2.9 billion Mezzanine,
upgraded to Aaa (sf); previously on August 5, 2010, upgraded
to Aa1 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 6
....JPY3.8 billion Mezzanine,
upgraded to Aaa (sf); previously on August 5, 2010, upgraded
to Aa1 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 7
....JPY5.3 billion Mezzanine,
upgraded to Aaa (sf); previously on August 30, 2012,
upgraded to Aa1 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 8
....JPY3.3 billion Mezzanine,
upgraded to Aaa (sf); previously on August 5, 2010, upgraded
to Aa1 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 9
....JPY1.7 billion Mezzanine,
upgraded to Aaa (sf); previously on August 5, 2010, upgraded
to Aa1 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 10
....JPY0.8 billion Mezzanine,
upgraded to Aaa (sf); previously on August 30, 2012,
upgraded to Aa1 (sf)
Issuer: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 11
....JPY1.1 billion Mezzanine Beneficial
Interests, upgraded to Aaa (sf); previously on August 30,
2012, upgraded to Aa1 (sf)
Deal Name: BTMU Residential Mortgage Loan Trust Beneficial Interests
Series 2-11
Class: Mezzanine Beneficial Interests
Dividend: Fixed
Issue Date: Series 2 / June 6, 2006, Series 3 / August
31, 2006, Series 4 / November 30, 2006, Series
5 / December 29, 2006, Series 6 / March 9, 2006,
Series 7 / June 5, 2007, Series 8 / August 31, 2007,
Series 9 / December 3, 2007, Series 10 / March 28, 2008,
Series 11 / September 29, 2009
Final Maturity Date: Series 2 / April 27, 2043, Series
3 / June 25, 2043, Series 4 / September 25, 2043,
Series 5 / October 26, 2043, Series 6 / December 25,
2043, Series 7 / March 25, 2044, Series 8 / June 27,
2044, Series 9 / September 26, 2044, Series 10 / December
26, 2044, Series 11 / February 26, 2046
Underlying Asset: Residential mortgages
Seller (Originator/Initial Servicer): Bank of Tokyo-Mitsubishi
UFJ
Arranger: Mitsubishi UFJ Morgan Stanley Securities Co.,
Ltd.
Asset Trustee: Mitsubishi UFJ Trust and Banking Corporation
Guarantor: The Mitsubishi UFJ Home Loan Credit Co.,
Ltd./Diamond Home Credit Co., Ltd.
RATINGS RATIONALE
The ratings upgrade of the Mezzanine Beneficial Interests on the 10 deals
reflects increased credit enhancement.
The credit enhancements have increased mainly due to the increased subordination
from the pay down of the senior beneficial interests and the rise in the
cash reserves for excess spread to cover the transactions' credit
risk.
To date, the performance of the underlying loan pools for the 10
deals has tracked closely with our expectations.
The ratings of the Mezzanine Beneficial Interests, through cash
flow analysis, incorporate the guarantee provided by the loan guarantors
-- which are subsidiaries of Bank of Tokyo-Mitsubishi
UFJ.
The principal methodology used in these ratings was "Updated: Moody's
Approach to Rating RMBS Transactions in Japan" published in November 2013.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
Factors that could lead to a ratings downgrade are: (1) a deterioration
in the performance of the underlying collateral that is worse than Moody's
expectations; and (2) a decrease in credit enhancement or the loan
guarantors' credit.
Factors that could lead to a ratings upgrade are: (1) an improvement
in the performance of the underlying assets that is better than Moody's
expectations; and (2) an increase in credit enhancement or the loan
guarantors' credit.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions of the disclosure form.
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
As the section on loss and cash flow analysis describes, Moody's
quantitative analysis entails an evaluation of scenarios that stress factors
contributing to sensitivity of ratings and take into account the likelihood
of severe collateral losses or impaired cash flows. Moody's
weights the impact on the rated instruments based on its assumptions of
the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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 www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Shinji Yoshizawa
Analyst
Structured Finance Group
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
Marie Wai Man Lam
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: (852) 3758 -1350
SUBSCRIBERS: (852) 3551-3077
Releasing Office:
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 upgrades 10 RMBS deals of Bank of Tokyo-Mitsubishi UFJ