RPT-Fitch Upgrades 1 and Affirms 4 Classes of HN Trust's Senior BIs
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Oct 3 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has upgraded one and affirmed four senior beneficial interests (BIs) from HN Trust. The rating actions are listed below:
JPY140m Class A1 senior BIs affirmed at 'AA+sf'; Outlook Stable;
JPY60m Class A2 senior BIs affirmed at 'BBBsf'; Outlook Stable;
JPY20m Class A3 senior BIs affirmed at 'BBsf'; Outlook Stable;
JPY600m Class B1 senior BIs affirmed at 'AA+sf'; Outlook Stable; and
JPY447.7m Class B2 senior BIs upgraded to 'A+sf' from 'Asf'; Outlook Stable.
All balances as of 2 October 2013
The transaction is a re-securitisation of two junior BIs issued prior to the issuance of these senior BIs, and is ultimately backed by multiple residential mortgage loan pools.
KEY RATING DRIVERS
The upgrades of the class B2 senior BIs reflect the growth in credit enhancement (CE) levels benefiting from the excess spread in the underlying transaction. The affirmations of other rated classes reflect Fitch's view that the available CE levels are sufficient to support the current ratings.
The overall transaction performance remains within the agency's expectations. The ratings of the class A1 and B1 senior BIs are constrained by the exposure to the account bank, which does not satisfy the agency's counterparty criteria to support higher ratings.
An unexpected material increase in delinquencies, defaults and loss severities from defaulted loans in the underlying pools may lead to negative rating actions. In addition, the ratings of the class A1-A3 senior BIs may be affected by the prepayment performance of the underlying mortgage pools.