Ratings On Six Bank Of Yokohama RMBS Deals Affirmed At #AAA (sf)#

Stocks and Financial Services Press Releases Wednesday September 24, 2014 14:54
TOKYO--24 Sep--Standard & Poor's

TOKYO (Standard & Poor's) Sept. 24, 2014--Standard & Poor's Ratings Servicestoday affirmed its 'AAA (sf)' ratings on all remaining classes of trustcertificates issued under the Bank of Yokohama Mortgage-Backed TrustCertificates Series 1 to 5, and 8 residential mortgage-backed securities

(RMBS) transactions (see list below).
Today's affirmations reflect the following:

The default rates of the mortgage loan receivables underlying the transactions have been relatively low and stable, and we expect the rates to remain low. We assume a cumulative default frequency for the mortgage loans currently outstanding of about 3%-5% under our base-case scenario and about 12%-19% under a stress scenario commensurate with our 'AAA' rating. In addition, we assume a recovery rate of roughly 30% for defaulted loans under our 'AAA' stress scenario.

Prepayments and scheduled repayments of principal on the underlying residential mortgage loans have advanced the redemption of principal on the rated senior trust certificates, thereby improving the transactions' credit enhancement levels.We consider the credit enhancement available for the rated trust certificates to be sufficient to mitigate various risks, such as credit risk, under our 'AAA' stress scenario.A pool of mortgage loan receivables that Bank of Yokohama Ltd. originated ultimately secures the senior trust certificates issued under each transaction.

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, on RatingsDirect). Because we have not yet published the revised criteria, we did not apply the proposed criteria to our analysis of the transactions 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.

The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011. If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in this credit rating report are available at http://standardandpoorsdisclosure-17g7.com.


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