13.11.2012 03:10
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Moody's rates Auto Loan ABS Program 1211 Series

JPY1.665 billion in ABL affected

Tokyo, November 13, 2012 -- Moody's SF Japan K.K. has assigned a definitive Aaa (sf) rating to Auto Loan ABS Program 1211 Series, backed by auto loan receivables.

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 final payment date. The structure allows for timely payments of interest and ultimate payment of principal by the final payment date.

The complete rating action is as follows:

Deal Name: Auto Loan ABS Program 1211 Series

Class: ABL Rating: Aaa (sf) ABL Amount: JPY1.665 billion Interest Rate: Fixed Payment Frequency: Monthly Entrustment Date: November 13, 2012

ABL Funding Date: November 13, 2012

Final Payment Date: January 17, 2019

Underlying Asset: Auto loan receivables

Total Amount of Receivables: JPY1,998,750,076 (JPY1,944,607,697 in principal)

Loan Fund Trustee/Money Fund Trustee: Mizuho Trust & Banking Co., Ltd. ("Mizuho Trust", A1/P-1)

Arranger: Mizuho Trust RATINGS RATIONALE The Loan Fund Trustee entered the affiliated auto loan program agreement with the affiliated financial institution, acting as originator and initial servicer.

The Loan Fund Trustee extends the affiliated loan to Obligors based on the affiliated auto loan agreement.

The originator entrusted cash to the Money Fund Trustee, to enhance the credit and the liquidity of the Auto Loan fund, and received the Money Fund Beneficial Interest. The Money Fund Trustee entrusted the cash, in an amount equal to the Money Fund Beneficial Interest, to the Loan Fund Trustee, and received the Class 2 Beneficial Interest.

The originator entrusted cash to the Loan Fund Trustee and received the Class 1 Beneficial Interest. The Loan Fund Trustee received a limited recourse loan (the ABL) from the ABL Investor and redeemed the Class 1 Beneficial Interest in full.

Credit enhancement is provided by the senior/subordinated structure and available excess spread. Subordination (excluding liquidity reserve) comprises approximately 18.3% of the total outstanding amount of the ABL and the Class 2 Beneficial Interest.

The ABL will be redeemed on a monthly pass-through basis. The Class 2 Beneficial Interest will be partly redeemed to the extent that the required enhancement is maintained.

If any early amortization events occur, the dividend waterfall to the Class 2 Beneficial Interest will be suspended, and excess spread will be used to redeem the ABL.

In preparation for servicer replacement, liquidity was provided in the form of a cash reserve at closing. This reserve will cover interest payments on the ABL, fees relating to initial and ongoing back-up servicer operations. If any servicer replacement events occur, the Trustee can dismiss the Servicer. A back-up servicer was appointed at closing.

The commingling risk is covered by the Class 2 Beneficial Interest.

The rating is based mainly on the strength of the transaction structure, the credit of the receivables, and the servicer's experience.

Moody's estimated the annualized expected default rate of the underlying assets at 2.1%, taking into consideration receivable attributes, historical data on the originator's entire pool, performance data on existing securitization pools, and industry trends. (The expected default rate is based on the default definition used in Moody's analysis and may not be comparable to other rates.)

To determine the rating, Moody's also conducted a cash flow analysis by adding stress consistent with the assigned rating on parameters such as the expected default rate.

Moody's assumes that, given the structure of the transaction as well as other factors, the risk of interruption to the cash flow from the assets in the event of the originator's or the Trustee's bankruptcy is sufficiently minimized to achieve the rating assigned.

Moody's examined the originator's operations and considers it sufficiently capable of servicing the underlying pool as initial servicer, given its substantial experience in the auto loan industry.

The principal methodology used in rating the rating was "Moody's approach to Rating Japanese Auto Loan ABS," published on September 30, 2010, and available on www.moodys.co.jp.

Moody's did not receive or take into account any third-party due diligence reports on the underlying assets or financial instruments in this transaction.

The V Score for this transaction is Low, and is the same score assigned to the Japanese Auto Loan ABS sector.

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. V Scores apply to the entire transaction, not to individual tranches.

If the transaction default rate used in determining the initial rating were changed to 3.2 % or 4.2 %, the model output for ABL in these two scenarios would be 1 notch down (Aa1) for a 3.2% default rate, and 2 notches down (Aa2) for a 4.2% default rate (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, "Updated Report on V Scores and Parameter Sensitivities for Structured Finance Securities" published on September 30, 2010 and "V Scores and Parameter Sensitivities in the Non-U.S. Vehicle ABS Sector" published on September 30, 2010, are available on www.moodys.co.jp.

REGULATORY DISCLOSURES

The Global Scale Credit Ratings on this press release that are issued by one of Moody's affiliates outside the EU are endorsed by Moody's Investors Service Ltd., One Canada Square, Canary Wharf, London E 14 5FA, UK, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that has issued a particular Credit Rating is available on www.moodys.com.

For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant 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 relevant 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 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 historical data, attribution data, and contracts.

Information sources used to prepare the credit rating are the following; parties involved in the ratings (the Arranger and the Originator), public information; and confidential and proprietary Moody's information.

Measures taken to ensure the quality of this information include representations and warranties.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

A profile of the originator follows:

Business sector: Financial industry

Size of business: More than JPY 100 billion in total assets.

Location: Tokyo

Reason for non-disclosure: Given the possibility that information about this transaction could be used for objectives different from those originally intended, disclosing the originator's name may have a negative impact.

Moody's encouraged rating-related entities to disclose any information that may be pertinent to this transaction, including items described in "Information Considered Important in Evaluating the Appropriateness of a Credit Rating" on www.moodys.co.jp, or to take other measures to enable third parties to verify the appropriateness of the credit rating.

Rating-related entities had responded to us that they would not disclose information pertinent to this transaction to third parties except through Moody's press release. However, they would disclose information pertinent to this transaction to their investors who would invest in the transaction.

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 SF Japan K.K. is a credit rating agency registered with the Japan Financial Services Agency and its registration number is FSA Commissioner (Ratings) No. 3. The Financial Services Agency has not imposed any supervisory measures on Moody's SF 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.

Yusuke Minaki 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.

CREDIT RATINGS ARE MOODY'S SF JAPAN K.K.'S ("MSFJ") CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MSFJ 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 ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. CREDIT RATINGS DO NOT CONSTITUTE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS ARE NOT RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. CREDIT RATINGS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MSFJ ISSUES ITS CREDIT RATINGS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY'S PRIOR WRITTEN CONSENT. All information contained herein is obtained by MOODY'S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided "AS IS" without warranty of any kind. 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. Under no circumstances shall MOODY'S have any liability to any person or entity for (a) any loss or damage in whole or in part caused by, resulting from, or relating to, any error (negligent or otherwise) or other circumstance or contingency within or outside the control of MOODY'S or any of its directors, officers, employees or agents in connection with the procurement, collection, compilation, analysis, interpretation, communication, publication or delivery of any such information, or (b) any direct, indirect, special, consequential, compensatory or incidental damages whatsoever (including without limitation, lost profits), even if MOODY'S is advised in advance of the possibility of such damages, resulting from the use of or inability to use, any such information.

The ratings, financial reporting analysis, projections, and other observations, if any, constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities. Each user of the information contained herein must make its own study and evaluation of each security it may consider purchasing, holding or selling. 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.

MSFJ is a wholly-owned credit rating agency subsidiary of Moody's Japan K. K.("MJKK"). MJKK is wholly-owned by Moody's Group Japan G. K., which is wholly-owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of Moody's Corporation(MCO). MSFJ is not a Nationally Recognized Statistical Rating Organization("NRSRO"). Therefore credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MSFJ is a credit rating agency registered with the Japan Financial Services Agency and its registration number is FSA Commissioner (Ratings) No. 3.

MSFJ hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MSFJ have, prior to assignment of any rating, agreed to pay to MSFJ for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000. MCO and MSFJ also maintain policies and procedures to address the independence of MSFJ's ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MSFJ and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Shareholder Relations - Corporate Governance - Director and Shareholder Affiliation Policy."

Any publication into Australia of this document is by MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657, which holds Australian Financial Services License no. 336969. This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001.

This credit rating is an opinion as to the creditworthiness or a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors. It would be dangerous for retail investors to make any investment decision based on this credit rating. If in doubt you should contact your financial or other professional adviser.

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