Research: Rating Action: Moody’s assigns definitive rating to Ritz Series 67 backed by residential mortgages


Approximately JPY6.2 billion in debt securities affected

Tokyo, June 29, 2022 — Moody’s SF Japan K.K. has assigned a definitive rating to the following transaction.

The complete rating action is as follows:

Transaction Name: Ritz Series 67

Class, Issue Amount, Scheduled Dividend, Rating

Mortgage Beneficial Interests, JPY6,152,520,000, Fixed, A1 (sf)

Closing Date: June 29, 2022

Final Maturity Date: June 30, 2059

Underlying Assets: Residential mortgage loan receivables insured by the Japan Housing Finance Agency (“JHF”)

Credit and Liquidity Support Provider: JHF

Housing Loan Insurance Underwriter: JHF

Arranger/Underwriter: SMBC Nikko Securities Inc.

RATINGS RATIONALE

The Seller entrusts a pool of its residential mortgage loan receivables as well as cash to the Asset Trustee, and receives in return the Mortgage Beneficial Interests and the Reserve Beneficial Interests. The Seller sells the Mortgage Beneficial Interests to investors, but holds the Reserve Beneficial Interests.

The Seller acts as the initial servicer, under the Servicing Agreement with the Asset Trustee. The Back-up Servicer/Special Servicer is appointed, under the Back-up Servicing Agreement/Special Servicing Agreement with the Asset Trustee.

JHF (Issuer Rating: A1) and the Asset Trustee enters into a Credit Support and Liquidity Support Agreement under which JHF is obliged to guarantee the principal of and scheduled dividend payments on the Mortgage Beneficial Interests.

The Mortgage Beneficial Interests are redeemed according to the collections from the pool in a monthly, pass-through manner.

Moody’s considers the Seller and the Special Servicer sufficiently capable of servicing the pool, having taken into account their business experiences and servicing operations.

The principal methodology used in this rating was “Rating Transactions Based on the Credit Substitution Approach: Letter of Credit-backed, Insured and Guaranteed Debts (Japanese)” published in June 2017 and available at https://ratings.moodys.com/api/rmc-documents/357593. Alternatively, please see the Rating Methodologies page on https://ratings.moodys.com for a copy of this methodology.

Please note that a Request for Comment was published in which Moody’s requested market feedback on potential revisions to one or more of the methodologies used in determining these Credit Ratings. If the revised methodologies are implemented as proposed, it is not currently expected that the Credit Ratings referenced in this press release will be affected.

Request for Comments can be found on the rating methodologies page on https://ratings.moodys.com.

Factors that would lead to an upgrade or downgrade of the rating:

The primary factor that could lead to an upgrade of the rating is an upgrade of the JHF’s rating. The primary factor that could lead to a downgrade of the rating is a downgrade of the JHF’s rating.

Moody’s assigns the rating based solely on JHF’s capability to perform its guarantee obligation pursuant to a Credit and Liquidity Support Agreement.

Moody’s did not use any models in its analysis and therefore did not conduct the sensitivity analysis.

REGULATORY DISCLOSURES

For further specification of Moody’s key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody’s Rating Symbols and Definitions can be found on https://ratings.moodys.com/rating-definitions.

Moody’s did not use any models, or loss or cash flow analysis, in its analysis.

Moody’s did not use any stress scenario simulations in its analysis.

For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security 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 certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider’s credit rating. For provisional ratings, this announcement provides certain 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 issuer/deal page for the respective issuer on https://ratings.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

This rating is solicited. Please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website https://ratings.moodys.com.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://ratings.moodys.com/documents/PBC_1288235.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, 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 issued the credit rating is available on https://ratings.moodys.com.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the UK and is endorsed by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody’s office that issued the credit rating is available on https://ratings.moodys.com.

Moody’s SF Japan K.K. is a registered credit rating agency under the Financial Instrument and Exchange Act but not a Nationally Recognized Statistical Rating Organization (‘NRSRO’). Therefore the credit ratings assigned by Moody’s SF Japan K.K. are Registered Credit Ratings to the FSA, but are not NRSRO Credit Ratings.

Please see https://ratings.moodys.com for any updates on changes to the lead rating analyst and to the Moody’s legal entity that has issued the rating.

Please see the issuer/deal page on https://ratings.moodys.com for additional regulatory disclosures for each credit rating.



Kiyomine Sato

Analyst

Structured Finance Group

Moody’s SF Japan K.K.

Atago Green Hills Mori Tower 20fl

2-5-1 Atago, Minato-ku

Tokyo, 105-6220

Japan

JOURNALISTS: 81 3 5408 4220

Client Service: 81 3 5408 4210


Yusuke Seki

Associate Managing Director

Structured Finance Group

JOURNALISTS: 81 3 5408 4220

Client Service: 81 3 5408 4210


Releasing Office:

Moody’s SF Japan K.K.

Atago Green Hills Mori Tower 20fl

2-5-1 Atago, Minato-ku
Tokyo, 105-6220

Japan

JOURNALISTS: 81 3 5408 4220

Client Service: 81 3 5408 4210

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