Bangkok--11 May--Moody's
JPY8.3 billion of Beneficial Interests affected
Tokyo, May 11, 2012 -- Moody's Japan K.K. has upgraded the rating of the AM One Trust Seller Beneficial Interests to Baa2 (sf) from Ba1 (sf).
Details follow:
Approximately JPY8.3 billion Seller Beneficial Interests upgraded to Baa2 (sf) from Ba1 (sf); previously on 25 August 2011 downgraded to Ba1 (sf) from Baa3 (sf).
Deal Name: AM One Trust
Class: Seller Beneficial Interests
Issue Amount: Approximately JPY8.3 billion
Dividend: None
Transfer Date of Beneficial Interests: 21 January 2009
Final Maturity Date: 20 December 2045
Underlying Asset: Residential mortgages
RATINGS RATIONALE
The rating upgrade reflects the increased level of credit enhancement for the Seller Beneficial Interests, resulting from the redemption of the beneficial interests in a sequential manner. This started with the senior beneficial interests, and was followed by the junior beneficial interests.
As the credit quality of the Seller declines, the set-off risk increases, thereby exposing the Seller Beneficial Interests to potential losses.
However, with the increase in the level of credit enhancement for the Seller Beneficial Interests the risk has decreased to the level that the rating of the Seller Beneficial Interest is higher than the Seller.
The primary source of our assumptions over uncertainty is the current macroeconomic environment, especially the unemployment rate and salary levels, including bonuses.
Moody's assumes that a cumulative gross loss rate for the underlying assets follows a stochastic distribution, and has created scenarios which have different cumulative gross loss rates, using this distribution.
Moody's then ran a cash flow simulation for each scenario. Conservative assumptions were made for other parameters, including the recovery rates of defaulting loans, such that a cash flow simulation could be run under stress conditions corresponding to the target rating level.
The principal methodology used in this rating was "Updated: Moody's Approach to Rating RMBS Transactions in Japan" published on 30 September 2010, and available on www.moodys.co.jp.
Moody's did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued by one of Moody's affiliates outside the EU are endorsed by Moody's Investors Service Ltd., One Canada Square, Canary Wharf, London E 14 5FA, UK, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For an explanation of the (sf) indicator, please see "Moody's Structured Finance Rating Scale" on www.moodys.com.
The principal information used to prepare the credit rating comprised Master Servicing Report, and Trustee Report.
Information sources used to prepare the credit rating are the following: parties involved in the ratings (The Servicer, The Trustee), public information, and confidential and proprietary Moody's information.
Measures taken to ensure the quality of this information include reviews by a third party.
Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.
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Credit ratings are Moody's current opinions of the relative future credit risk of entities, credit commitments, or debt or debt-like securities. Moody's defines credit risk as the risk that an entity may not meet its contractual, financial obligations as they come due and any estimated financial loss in the event of default. Credit ratings do not address any other risk, including but not limited to: liquidity risk, market value risk, or price volatility. Credit ratings do not constitute investment or financial advice, and credit ratings are not recommendations to purchase, sell, or hold particular securities. No warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any such rating or other opinion or information is given or made by Moody's in any form or manner whatsoever. The credit risk of an issuer or its obligations is assessed based on information received from the issuer or from public sources. Moody's may change the rating when it deems necessary. Moody's may also withdraw the rating due to insufficient information, or for other reasons.
Moody's Japan K.K. is a credit rating agency registered with the Japan Financial Services Agency and its registration number is FSA Commissioner (Ratings) No. 2. The Financial Services Agency has not imposed any supervisory measures on Moody's Japan K.K. in the past year.
Please see ratings tab on the issuer/entity page on the Moody's website for the last rating action and the rating history.
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