RPT-Fitch Affirms HYDRA III Funding Corp's Bonds

Fri Jun 7, 2013 3:44am EDT

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June 7 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed HYDRA III Funding Corporation's series 1 bonds. The transaction is a securitisation of residential mortgage loan receivables, including those backed by investment properties, originated by multiple originators in Japan. The rating actions are listed below.

JPY5.26bn* Class S1 bonds affirmed at 'AAAsf'; Outlook Stable JPY1.28bn* Class S2 bonds affirmed at 'AAAsf'; Outlook Stable JPY0.23bn* Class J bonds affirmed at 'A-sf'; Outlook Stable

* as of 6 June 2013

Key Rating Drivers

The affirmations reflect Fitch's view that available credit enhancement (CE) levels are sufficient to support the current ratings.

The CE levels at both the underlying level and transaction level have been increasing.

The performance of the five remaining underlying pools has been stable, with no significant deterioration since the previous rating action in July 2012.

Rating Sensitivities

An unexpected increase in the delinquency or default rate may lead to higher loss assumption which may, in turn, affect the ratings of the bonds. However, given the growth in CE levels to date, the risk of downgrade due to asset performance deterioration is considered to be low.

The originators of the remaining underlying assets are Tsukuba Bank, Ltd. (formerly The Ibaraki Bank, Ltd.), Sumitomo Mitsui Trust Loan & Finance Co., Ltd (formerly Life Housing Loan, Co., Ltd.), SBI Mortgage Co., Ltd. (formerly GOODLOAN Co., Ltd.) and The Prudential Life Insurance Co., Ltd. (formerly Aoba Life Insurance Co., Ltd.).

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