กรุงเทพฯ--20 พ.ย.--Standard & Poor's
TOKYO (Standard & Poor's) Nov. 20, 2014--Standard & Poor's Ratings Servicestoday affirmed its 'AAA (sf)' ratings on the class S-1, S-4, and J unsecuredbonds issued under the Hydra Funding Corp. residential mortgage-backedsecurities (RMBS) transaction (see list below). The class S-2, S-3, and O
unsecured bonds issued under the same transaction have already been fullyredeemed.
At closing, the former Nippon Home Finance Co. Ltd. (currently, Star CapitalCo. Ltd.), the former GOODLOAN Co. (SBI Mortgage Co. Ltd.), the formerDaihyaku Mutual Life Insurance Co. (Manulife Life Insurance Co.), and theformer L-Kakuei Corp. (Joint Residential Fudosan) established six underlying
trusts to hold six pools (one pool per underlying trust) of receivables suchas housing loans and condominium investment loans that these companiesoriginated. Six trust certificates issued from the underlying trusts back thebonds issued under this transaction.
Today's affirmations reflect the following:
At present, the assets underlying the transaction mostly consist of the senior trust certificates that the pool of loans originated by Nippon Home Finance (the "NHF pool") backs. Thus, the credit quality of the transaction highly depends on that of the NHF pool.For the NHF pool, we assume a cumulative default frequency for the loans currently outstanding of about 11% under our base-case scenario and about 35% under our 'AAA' stress scenario. We also assume a recovery rate of roughly 18% for defaulted loans under our 'AAA' stress scenario.
The underlying trust backed by the NHF pool employs a senior-subordinate structure, and credit enhancement for this trust has risen, reflecting progress in the redemption of principal on the senior trust certificates.We expect the full repayment of the rated bonds using cash flows from the six trust certificates under our 'AAA' stress scenario.Standard & Poor's published a request for comment (RFC) on its proposed methodology for rating Japanese RMBS transactions (see "Request For Comment: Methodology And Assumptions For Rating Japanese RMBS," published July 23, 2014). Because we have not yet published the revised criteria, we did not apply the proposed criteria to our analysis of the transaction this time.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at http://standardandpoorsdisclosure-17g7.com.