ข่าวประชาสัมพันธ์การเงิน/หลักทรัพย์

Leopard Two Funding RMBS Classes D And E Upgraded; Ratings On Other Classes Affirmed

          TOKYO (S&P Global Ratings) Jan. 26, 2018--S&P Global Ratings today said it has raised its ratings on classes D and E and affirmed its ratings on the other four classes issued under the Leopard Two Funding Ltd. transaction (see list below).
          Today's rating actions reflect the following: 
          - The construction company Leopalace21 Corp. entered into a master lease agreement with each borrower of the apartment construction loans underlying the transaction. The borrowers continue to repay principal and pay interest on the loans using the stable income from the master leases. As a result, the delinquency and default rates of the pool of loans underlying the transaction have been extremely low since closing. 
          - The average vacancy rate of the collateral apartment buildings has remained relatively high, suggesting profitability has weakened at some of the buildings. If the master lease contracts expire or are rescinded in the future, the obligors will use rent income from the buildings to repay the loans. However, given the high average vacancy rates of the buildings, rent income would likely fall. In our analysis, we assume net cash flow about 20% lower than the originator's assessments as of the transaction's closing date to reflect such a decrease.
          - For the loans currently outstanding, we assume a foreclosure frequency of about 5% and projected losses (net loss ratio after accounting for recoveries from defaulted loans) of about 0.4% under our base-case scenario, and projected losses of about 10% under our 'AAA' stress scenario. In calculating foreclosure frequency, we did not take into account the stabilizing effect on income from the master lease contracts.
          - Principal redemption for the rated notes has progressed and the transaction's credit enhancement levels have increased, reflecting both scheduled principal repayments as well as prepayments on the loans. Current credit support for classes C to E is sufficient to cover various risks, such as credit risk, under stress scenarios consistent with each rating. When determining the rating levels of these classes, we mainly take into account the past high average vacancy rate of the collateral apartment buildings and the possibility of high volatility in transaction performance following a future reduction of the collateral pool.
          - Current credit support for classes A-1, A-2, and B is sufficient to cover various risks, such as credit risk, under a stress scenario consistent with the current rating.
          - Based on the current credit support level and the credit support floors our criteria stipulate for residential mortgage-backed securities (RMBS) backed by apartment construction loans, the maximum potential rating for classes D to E is in the 'A' category.
 
          The Leopard Two Funding RMBS transaction is backed by a pool of apartment construction loans that Lehman Brothers Commercial Mortgage K.K. (formerly, New Century Finance Co. Ltd.) originated. The loans were extended to finance the construction costs and miscellaneous expenses of rental apartment buildings that Leopalace21 newly constructed. Updated loan-by-loan data for the transaction are provided.