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July 11 (The following statement was released by the rating agency)
Fitch Ratings has affirmed the ratings of two Shinsei TB Trust funds' senior beneficial interests (senior BIs) listed below. Both transactions are securitisations of residential mortgage loans in Japan.
Shinsei TB Trust fund code 7916702:
JPY0.60bn* senior BIs 1 affirmed at 'AAAsf'; Outlook Stable
Shinsei TB Trust fund code 7916703:
JPY1.71bn* senior BIs 1 affirmed at 'AAAsf'; Outlook Stable\*as of 10 July 2014
KEY RATING DRIVERS
The affirmations reflect Fitch's view that the available credit enhancement for each of the senior BIs is sufficient to support the current ratings and each pool's performance has remained within the agency's expectation.
No loans have defaulted in either transaction to date. Since the previous rating action in August 2013, very few delinquent loans have been observed in the underlying pools and all such loans have been delinquent for less than one month.
An unexpected material increase in delinquencies, defaults and loss severities from defaulted loans in each underlying pool may lead to negative rating actions.