(The following statement was released by the rating agency)
TOKYO, June 10 (Fitch) Fitch Ratings-Tokyo- 10 June 2014: Fitch
affirmed HYDRA Funding Corporation's series 1 bonds. The
transaction is a
securitisation of residential mortgage loans, including
originated by multiple originators in Japan. The rating actions
JPY5.17bn* Class S1 bonds affirmed at 'AAAsf'; Outlook Stable
JPY0.47bn* Class S4 bonds affirmed at 'AAAsf'; Outlook Stable
JPY0.25bn* Class J bonds affirmed at 'AAsf'; Outlook Stable
*as of 9 June 2014
KEY RATING DRIVERS
The affirmations reflect Fitch's view that current available
(CE) levels are sufficient to support the ratings and the
of Japanese economic conditions that affect the borrowers'
ability to pay the
residential mortgage loans.
As principal redemption has progressed, the total bond balance
smaller than the balance of the senior beneficial interests
(BIs) backed by
residential mortgage loans originated by the former Nippon Home
Ltd. (NHF), the largest underlying asset for this transaction.
The NHF pool
performance has remained within Fitch's expectations and the CE
levels of the
underlying senior BIs have significantly increased to date.
In addition, Fitch believes that the cash reserves in Hydra
trust and NHF trust
provide sufficient liquidity protection to support the current
An unexpected increase in the delinquency or default rate in the
pools may lead to higher loss assumption which may, in turn,
affect the ratings
of the bonds.
Fitch believes that the class J bonds would not be supported at
a higher rating
level considering the overall transaction structure, including
structure and the account bank trigger in the underlying trusts.
ratings of the class J bonds are unlikely to be upgraded in the
The originators of the underlying residential mortgage loans are
(formerly NHF), SBI Mortgage Co., Ltd. (formerly GOODLOAN Co.,
Ltd. ), Manulife
Life Insurance Company (formerly Daihyaku Mutual Life Insurance
Joint Residential Fudosan Co., Ltd. (formerly L Kakuei
Lead Surveillance Analyst
+81 3 3288 2631
Fitch Ratings Japan Limited
Kojimachi Crystal City East Wing 3rd Floor
4-8 Kojimachi, Chiyoda-ku
+81 3 3288 2692
Media Relations: Wai-Lun Wan, Hong Kong, Tel: +852 2263 9935,
Additional information is available at www.fitchratings.com.
The source of information used to assess these ratings was
Shinsei Trust &
Banking Co., Ltd. as trustee and calculation agent.
Applicable criteria, 'Global Structured Finance Rating
Criteria', dated 20 May
2014; 'APAC Residential Mortgage Criteria - Amended' dated 1
'Criteria for Interest Rate Stresses in Structured Finance
Covered Bonds', dated 23 January 2014; 'Criteria for Rating Caps
in Global Structured Finance Transactions', dated 28 May 2014;
Criteria for Structured Finance and Covered Bonds', dated 14 May
available at www.fitchratings.com.
Applicable Criteria and Related Research:
APAC Residential Mortgage Criteria - Amended
Criteria for Interest Rate Stresses in Structured Finance
Global Structured Finance Rating Criteria
Criteria for Rating Caps and Limitations in Global Structured
Counterparty Criteria for Structured Finance and Covered Bonds
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