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TEXT-Fitch affirms 29 Japanese SF ratings; 7 off RWN
December 19, 2012 / 7:18 AM / 5 years ago

TEXT-Fitch affirms 29 Japanese SF ratings; 7 off RWN

Dec 19 - Fitch Ratings has affirmed five Japanese structured finance (SF) transactions, comprising 29 rated classes, and removed seven classes from Rating Watch Negative (RWN). A full rating breakdown is provided at the end of this commentary.

The RWN on the seven ‘AAAsf’ rated classes has been removed following remedial action by the respective transaction parties to appoint a new account bank in each affected transaction. The classes had been placed on RWN since 22 August 2012 due to their exposure to an ineligible account bank. The affirmation of all 29 classes reflects Fitch’s view that available credit enhancement (CE) is sufficient to support the current ratings in all cases, given asset performance.

In DTC Three Funding Limited (DTC Three), DTC Eight Funding Limited (DTC Eight), Leopard Two Funding Limited and L-MAP One Funding Limited, the master lease structures in place have contributed to stable loan performance. Limited delinquencies and defaults, together with sequential payment to date, have resulted in higher CE levels. Fitch therefore believes that these transactions are protected against potential performance deterioration.

In addition, for DTC Three and DTC Eight, Fitch continues to believe that these transactions have available cash reserves to address liquidity risk in the absence of an advancing agent. This view is based on the expected stable performance of the loan pools, note amortisation and a low interest rate environment in Japan.

For L-STaRS One Funding Limited (L-STaRS), default and recovery performance has remained within Fitch’s expectations since the previous rating action in January 2012. The agency believes that stable excess spread will continue to absorb expected losses from the portfolio.

L-STaRS is a securitisation of residential mortgage loans mainly backed by investment properties. The other four transactions are securitisations of mortgage loans backed by multi-family apartment properties.

The full list of rating actions is as follows.

DTC Three Funding Limited:

JPY2.48bn* Class A-1 notes affirmed at ‘AAAsf’; off RWN; Outlook Stable

JPY1.69bn* Class A-2 notes affirmed at ‘AAAsf’; off RWN; Outlook Stable

JPY0.87bn* Class B notes affirmed at ‘AAsf’; Outlook Stable

JPY0.54bn* Class C notes affirmed at ‘Asf’; Outlook Stable

JPY0.69bn* Class D notes affirmed at ‘BBBsf’; Outlook Stable

JPY0.776bn* Class E notes affirmed at ‘BBsf’; Outlook Stable

DTC Eight Funding Limited:

JPY14.03bn* Class A notes affirmed at ‘AAAsf’; off RWN; Outlook Stable

JPY1.68bn* Class B notes affirmed at ‘AAsf’; Outlook Stable

JPY1.53bn* Class C notes affirmed at ‘Asf’; Outlook Stable

JPY1.14bn* Class D notes affirmed at ‘BBBsf’; Outlook Stable

JPY0.2bn* Class E notes affirmed at ‘BBsf’; Outlook Stable

JPY0.82bn* Class N notes affirmed at ‘BBBsf’; Outlook Stable

Leopard Two Funding Limited:

JPY3.89bn* Class A-1 notes affirmed at ‘AAAsf’; off RWN; Outlook Stable

JPY3.89bn* Class A-2 notes affirmed at ‘AAAsf’; off RWN; Outlook Stable

JPY0.52bn* Class B notes affirmed at ‘AAsf’; Outlook Stable

JPY0.52bn* Class C notes affirmed at ‘Asf’; Outlook Stable

JPY0.54bn* Class D notes affirmed at ‘BBsf’; Outlook Stable

JPY41m* Class E notes affirmed at ‘BBsf’; Outlook Stable

L-MAP One Funding Limited:

JPY11.35bn* Class A notes affirmed at ‘AAAsf’; off RWN; Outlook Stable

JPY0.8bn* Class B notes affirmed at ‘AAsf’; Outlook Stable

JPY0.58bn* Class C notes affirmed at ‘Asf’; Outlook Stable

JPY0.39bn* Class D notes affirmed at ‘BBBsf’; Outlook Stable

JPY0.3bn* Class J-NIM notes affirmed at ‘BBBsf’; Outlook Stable

L-STaRS One Funding Limited:

JPY5.41bn* Class A notes affirmed at ‘AAAsf’; off RWN; Outlook Stable

JPY0.45bn* Class B notes affirmed at ‘AAsf’; Outlook Stable

JPY0.3bn* Class C notes affirmed at ‘Asf’; Outlook Stable

JPY0.15bn* Class D notes affirmed at ‘BBB+sf’; Outlook Stable

JPY0.1bn* Class E notes affirmed at ‘BBB-sf’; Outlook Stable

JPY0.13bn* Class N-2 notes affirmed at ‘BBBsf’; Outlook Stable

The class N-1 notes were redeemed in full in November 2012.

*as of 18 December 2012

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