(The following statement was released by the rating agency)
Dec 17 -
-- JHF's series 68 fixed-rate residential mortgage-secured pass-through
notes are a structured note issuance that JHF originated. A pool of
residential mortgage loans ultimately backs the notes.
-- We have assigned our preliminary 'AAA (sf)' rating to the notes, based
on our view of the transaction's legal structure, credit support, and pool
characteristics, among other factors.
-- Due to the structural features of this transaction, the rating on the
notes depends to an extent on the credit quality of JHF.
Standard & Poor's Ratings Services today said that it has assigned its preliminary 'AAA
(sf)' rating to Japan Housing Finance Agency's (JHF; AA-/Negative/A-1+) JPY138.1
billion series 68 fixed-rate residential mortgage-secured pass-through notes. A pool of
residential mortgage loans that JHF purchased from private financial institutions ultimately
secures the notes.
We base the preliminary rating on information as of Dec. 17, 2012. Subsequent
information may result in the assignment of a final rating that differs from
the preliminary rating. We will assign a final rating after JHF finalizes the
amount and exact terms of the notes and we complete a full rating analysis,
including a satisfactory review of the final pool, cash flow modeling, final
structure, transaction documents, and legal and tax opinions.
Standard & Poor's preliminary rating reflects its opinion on the likelihood of
the timely payment of interest, or interest distribution in the case of
beneficiary certificates, allowing for a three-month grace period, and the
ultimate repayment of principal by the transaction's legal final maturity date
in January 2048.
This transaction is a structured note issuance that JHF originated. We expect
the notes to be backed by JPY175.8 billion in beneficiary certificates issued
from a trust created with Sumitomo Mitsui Trust Bank Ltd. JHF will entrust
6,803 residential mortgage loan contracts worth about JPY175.8 billion with the
trust, along with security rights for each mortgage. The loan pool comprises
loans that JHF purchased from private financial institutions. The breakdown of
purchased loans is as follows: house construction loans (48.8%), new home
purchase loans (33.8%), loans to purchase existing homes (10.7%), and
refinancing mortgage loans (6.8%).
JHF will also act as servicer for the transaction, Sumitomo Mitsui Trust Bank
as backup servicer, and Sumitomo Mitsui Banking Corp. as beneficiary
representative. Due to the structural features of this transaction, the rating
on the notes depends to an extent on the credit quality of JHF.
RELATED CRITERIA AND RESEARCH
"Counterparty Risk Framework Methodology And Assumptions," Nov. 29, 2012
"Performance Watch: JHF And GHLC Residential Mortgage-Secured Pass-Through
Notes," Sept. 10, 2012
"Recoveries From Defaulted Japan Housing Finance Agency Loans Are 60% To 70%,"
Aug. 27, 2012
"Japan Housing Finance Agency Structured Notes: Structure And Issuance Data
Updated For 2012," April 30, 2012
"Japan RMBS: Post-Disaster Outlook Is Stable For Most RMBS Deals In Fiscal
2012," April 9, 2012
"Japanese Structured Finance Scenario And Sensitivity Analysis: The Effects Of
Major Macroeconomic Factors," April 6, 2012
"S&P Clarifies Potential Impact On Ratings On JHF's Structured Notes From Its
Proposed Imputed Promises Criteria," March 7, 2012
"Request For Comment: Methodology For Rating Debt Issues Based On Imputed
Promises," Feb. 10, 2012
"Principles Of Credit Ratings," Feb. 16, 2011
"Rating Methodology For Residential Mortgage-Backed Securities In Japan," Aug.
PRELIMINARY RATING ASSIGNED
Japan Housing Finance Agency
JPY138.1 billion JHF series 68 fixed-rate residential mortgage-secured
pass-through notes due January 2048
Preliminary rating Amount Coupon type O/C ratio
AAA (sf) JPY138.1 bil. Fixed rate 21.4%
The transaction's closing date will be Dec. 27, 2012.
The overcollateralization (O/C) ratio is defined as: 1-(A+B)/(C-D-E)
A: the rated obligations and equally ranked obligations
B: prior obligations to the rated obligations
C: underlying assets (including cash)
D: liquidity reserves
E: obligations, except for senior, mezzanine, or subordinate obligations
(seller's interest, etc.)
In the case of a master trust structure, the series base value should be