JPY58.1 Billion in Beneficial Interests Affected
Tokyo, April 26, 2011 -- Moody's Japan K.K. has today upgraded the ratings of ORIX
Loan Trust (Guaranteed) Beneficial Interest I and ORIX Loan Trust (Guaranteed)
Beneficial Interest II.
These transactions constitute a re-securitization of beneficial
interest backed by personal loans ("Original Trust Beneficial Interests")
guaranteed by third-party guarantees and owned by ORIX Corporation.
Details follow:
Deal Name: ORIX Loan Trust (Guaranteed) I Beneficial Interest
Class B, upgraded to Aaa (sf) from Aa2 (sf); previously on
August 13, 2009, confirmed at Aa2 (sf).
Class C, upgraded to Aaa (sf) from Aa3 (sf); previously on
August 13, 2009, confirmed at Aa3 (sf).
Issue Amount:
Class B, JPY 7,600 million.
Class C, JPY11,400 million
Dividend: Floating
Transfer Date of Beneficial Interest: June 23, 2006
Final Maturity Date: September 25, 2041
Underlying Asset: Personal Loans
Repackaged Trust Assigner : ORIX Corporation
Repackaged Trust Asset Trustee: ORIX Trust and Banking Corporation
Deal Name: ORIX Loan Trust (Guaranteed) II Beneficial Interest
Class B, upgraded to Aaa (sf) from Aa2 (sf); previously,
on August 13, 2009, confirmed at Aa2 (sf).
Class C, upgraded to Aaa (sf) from Aa3 (sf); previously,
on August 13, 2009, confirmed at Aa3 (sf).
Issue Amount:
Class B, JPY 26,000 million.
Class C, JPY13,100 million
Dividend: Floating
Transfer Date of Beneficial Interest: September 15, 2006
Final Maturity Date: November 25, 2046
Underlying Asset: Personal Loans
Repackaged Trust Assigner : ORIX Corporation
Repackaged Trust Asset Trustee: ORIX Trust and Banking Corporation
RATING RATIONALE
The rating upgrade reflects increased credit enhancement, resulting
from the redemption of Beneficial Interests in a sequential manner (starting
with the senior Beneficial Interest, and then the junior Beneficial
Interest) in accordance with the repayment of underlying loans by obligors,
subrogation by guarantors, and repurchase by the Original Trust
Assigner.
The ratings of the Beneficial Interest incorporate, through cash
flow analysis, the likelihood of the subrogation of the underlying
loans by the loan guarantors.
The ratings of the Beneficial Interest do not directly indicate the guarantors'
creditworthiness.
These rating actions mainly reflect the increase in credit enhancement
for each tranche.
The primary reasons for any uncertainty for the transactions include the
current macroeconomic environment, especially the unemployment rate
and salary (including bonuses) level.
In our analysis, we assume that a cumulative gross loss rate for
the underlying assets follows the stochastic distribution, and we
create scenarios which have different cumulative gross loss rates,
using such a distribution.
Next, we run a cash flow simulation for each scenario. Other
parameters -- such as the recovery rate from defaulted loans
-- are assumed in a conservative way so that we can run
a cash flow simulation under stressful conditions corresponding to the
target rating levels.
The principal methodology used in this rating 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 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 comprised
Servicing Reports, and Trustee Reports.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings (the Arranger, the Originator,
etc.); public information; and confidential and proprietary
Moody's information;
Measures taken to ensure the quality of this information include representations
and warranties provided by the information sources.
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
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data may not be available. Consequently, Moody's provides
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used in determining ratings, further information on the meaning
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Tokyo
Hiroyuki Kato
Asst Vice President - 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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Moody's upgrades ORIX Loan Trust deals backed by personal loans