JPY 4.7 billion of Senior Beneficial Interests rated
Tokyo, December 06, 2012 -- Moody's SF Japan K.K. has assigned a definitive rating to the Asahi Kasei Hebel Haus® New Master Trust RMBS Series1 Senior Beneficial Interests backed by residential mortgage loans originated by Asahi Kasei Mortgage Corporation.
This is the first issuance through this master trust program.
Moody's SF Japan K.K. is a registered credit rating agency under the Financial Instrument and Exchange Act but not a Nationally Recognized Statistical Rating Organization ("NRSRO"). Therefore the credit ratings assigned by Moody's SF Japan K.K. are Registered Credit Ratings to the FSA but are not NRSRO Credit Ratings.
The rating addresses the expected loss posed to investors by the legal final maturity date. The structure allows for timely payments of dividends (in scheduled amounts, on scheduled payment dates), and ultimate repayment of the principal by the legal final maturity date.
The complete rating actions are as follows:
Transaction Name: Asahi Kasei Hebel Haus® New Master Trust RMBS Series1 Senior Beneficial Interests
Class, Issue Amount, Scheduled Dividend Rate, Payment Frequency, RatingClass A Fixed Senior Beneficial Interests, JPY 4.7 billion, Fixed, Monthly, Aaa (sf)
Credit Enhancement: The senior/subordinated structure, excess spread available and the cash reserves for negative carry risk.
Class A Fixed Senior Beneficial Interests: Approx. 9.7%
* The formula used to calculate the subordination in place for this transaction is
Subordination = 1-A/B, where A equals the principal amount of the Senior Beneficial Interests, and B equals the initial outstanding balance of the residential mortgage loan pool corresponding to the Senior Beneficial Interests.
Entrustment Date: November 28, 2012
Closing Date: December 6, 2012
Final Maturity Date: May 29, 2054
Underlying Asset: Residential mortgage loans
Originator/Seller/Servicer: Asahi Kasei Mortgage Corporation ("Asahi Kasei Mortgage")
Asset Trustee: Mitsubishi UFJ Trust and Banking Corporation ("Mitsubishi UFJ Trust Bank")
Arranger: Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. ("MUMSS")
Having analyzed both the obligors' attributes and the originator's historical performance, Moody's estimated a cumulative gross loss rate of 2.1% for the pool. Given the transaction structure, Moody's believes that the credit enhancement for the Senior Beneficial Interests is sufficient for assigning the rating.
Asahi Kasei Mortgage, as the Originator, Servicer and Seller, entrusted a pool of its residential mortgage loans, all related rights and cash to Asset Trustee, based on the trust agreement entered into between both parties. In turn, the Seller received the Class A Fixed Senior Beneficial Interests ("Senior Beneficial Interests"), the Subordinated Beneficial Interests, the Reserve Beneficial Interests and the Negative Carry Reserve Beneficial Interests.
Entrustment of the residential mortgage loans was perfected against third parties via registration pursuant to the Perfection Law. Notification of entrustment to the obligors of the receivables will not be made unless certain events occur.
The Seller sold the Senior Beneficial Interests to the investors through MUMSS, as the underwriter, and retains the Subordinated Beneficial Interests, the Reserve Beneficial Interests and the Negative Carry Reserve Beneficial Interests. The transfer of the Senior Beneficial Interests was perfected against relevant obligors and third parties under Article 94 of Japan's Trust Law.
The Seller acts as the Servicer, under the Servicing Agreement with the Asset Trustee. The transaction does not have a third-party Back-up Servicer in place that can take over actual servicing operations. However, the Asset Trustee will appoint an eligible Back-up Servicer by entering into a new servicing agreement if any back-up servicer preparation events occur.
The Senior Beneficial Interests will be redeemed in a monthly, pass-through manner. If certain conditions are met, a part of Subordinated Beneficial Interests can be redeemed.
Interest collections (after paying expenses and dividends) will be transferred to the Principal Account up to the aggregate amount of the outstanding balance of defaulted loans -- excluding the aggregate amount of these loans which are repurchased by the Seller (defaulted trapping mechanism).
If any early amortization events occur, the dividends waterfall to the Subordinated Beneficial Interests will be suspended, and the excess spread will be used to redeem the Senior Beneficial Interests. Key early amortization events include a servicer replacement.
The cash reserves for the negative carry covers the negative carry risk which is present at the early stage of the transaction.
Commingling risk is covered by the servicer's advance payment of collections. First, the servicer advances scheduled collection amounts, and will also advance expected prepayment collection amounts, if certain trigger events occur.
A cash reserve was funded up front to provide liquidity for shortages in scheduled payments of the Senior Beneficial Interests as well as trust fees, set-up fees for a Back-up Servicer and so forth. Servicing fees for a Back-up Servicer will be funded after certain trigger events occur.
The Seller and Servicer, Asahi Kasei Mortgage Corporation, is a mortgage bank which was established in 2004, headquartered in Shinjuku-ku, Tokyo, and it is a wholly owned subsidiary of the Asahi Kasei Homes Corporation. The Asahi Kasei Homes Corporation conducts housing business under the Asahi Kasei Group, in which Asahi Kasei Corporation (A2) is a holding company.
Moody's conducted an on-site review of Asahi Kasei Mortgage (Originator/Servicer), focusing on its business franchise as Originator and its underwriting criteria. Moody's also reviewed the Asahi Kasei Mortgage's operations as servicer and considers it sufficiently capable of servicing the pool.
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 in this transaction.
The V Score for this transaction indicates "Low/Medium" uncertainty about critical assumptions, in line with the Low/Medium score for the Japanese RMBS (Conforming) sector. The V Score reflects: The quality of historical data, disclosure of information for analysis and the characteristics of the transaction.
Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. The V Score ranks transactions by the potential for significant rating changes owing to uncertainty around the assumptions due to data quality, historical performance, the level of disclosure, transaction complexity, the modeling and the transaction governance that underlie the ratings. V Scores apply to the entire transaction, not to individual tranches.
Moody's also ran sensitivity analyses for key parameters for this transaction. For instance, if the cumulative gross loss rate of 2.1% used in determining the initial rating was changed to 4.2% or 10.5%, the model output for the Senior Beneficial Interests would change from Aaa to Aa1 or to Aa2 (the "parameter sensitivities").
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 factor 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.
The rating implementation guidance, "V Scores and Parameter Sensitivities in the Asia/Pacific RMBS Sector," published on September 30, 2010, is available on www.moodys.co.jp.
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The principal information used to prepare the credit rating comprised historical data, loan-by-loan data, and contracts.
Information sources used to prepare the credit rating are the following parties involved in the ratings such as the Arranger and the Originator; public information, confidential and proprietary Moody's information.
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Shinichiro Kan Vice President - Senior Analyst Structured Finance Group Moody's SF Japan K.K. Atago Green Hills Mori Tower 20fl 2-5-1 Atago, Minato-ku Tokyo 105-6220 Japan JOURNALISTS: (03) 5408-4220 SUBSCRIBERS: (03) 5408-4210 Yusuke Seki Associate Managing Director Structured Finance Group JOURNALISTS: (03) 5408-4220 SUBSCRIBERS: (03) 5408-4210 Releasing Office: Moody's SF Japan K.K. Atago Green Hills Mori Tower 20fl 2-5-1 Atago, Minato-ku Tokyo 105-6220 Japan JOURNALISTS: (03) 5408-4220 SUBSCRIBERS: (03) 5408-4210 Copyright 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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