TOKYO, Feb. 14 /PRNewswire/ -- Standard & Poor's today assigned its
preliminary ratings to Shinsei Funding Two Special Purpose Co.'s Series 2002-1
class A notes and Series 2002-2 class A notes. The notes are ultimately
backed by a pool of loans to large and midsize corporations and municipalities
in Japan originated or purchased by Shinsei Bank Ltd.
The preliminary ratings are based on portfolio information as of
Dec. 31, 2001 and all other information as of Feb. 11, 2002. Subsequent
information may result in the assignment of final ratings that differ from the
preliminary ratings. The preliminary ratings address the full and timely
payment of interest and the ultimate full repayment of principal by the
transaction's legal final maturity date.
This transaction is a collateralized loan obligation (CLO) using a Master
Trust structure. It is the third and fourth series of CLO transactions funded
through Shinsei Bank Master Trust (Master Trust), a master trust organized
under the laws of Japan, created on Sept. 27, 2001, and sponsored by Shinsei
Bank. The first and second series, Series 2001-1 and Series 2001-2, were
issued on Dec. 12, 2001. The capital and legal structures of Series 2001-1
and Series 2001-2 are very similar to those of this transaction. The assets
of the Master Trust are a pool of corporate and municipal loans. Shinsei Bank
is the trustor of the Master Trust and the transferor of the loans to the
Master Trust. Shinsei Trust & Banking Co. Ltd. (Shinsei Trust), a bank
created under the laws of Japan, is the trustee of the Master Trust.
Both series of class A notes will be backed by class A investor
certificates issued from the Master Trust. In addition, there are also class
B certificates and class C certificates for Series 2002-1 and Series 2002-2
which:
* Will provide credit enhancement to the class A certificates;
* Are not owned by the issuer and will not be acquired by the issuer; and
* Will initially be retained by Shinsei Bank and may be sold thereafter.
The preliminary ratings on the Series 2002-1 class A notes and 2002-2
class A notes are based on:
* Credit enhancement. The Series 2002-1 class A certificates and
2002-2 class A certificates benefit from 23.5% and 30% subordination
respectively, provided by class B and C certificates issued by the
Master Trust.
* The establishment of reserve funds to mitigate liquidity risk. The
reserve fund for the Series 2002-1 certificates will be funded at
closing with JPY170,600,000, which is equal to 0.50% of the aggregate
principal amount of the Series 2002-1 class A and B certificates. The
reserve fund for the Series 2002-2 certificates will be funded at
closing with JPY175,750,000, which is equal to 0.50% of the aggregate
principal amount of the Series 2002-2 class A and B certificates. Over
the course of the transaction, the required reserve fund amount for the
Series 2002-1 certificates will be determined as the greater of either
(i) 0.50% of the aggregate principal amount of the Series 2002-1 class A
and B certificates or (ii) three months of interest owed on the Series
2002-1 class A and B certificates. The required reserve fund amount for
the Series 2002-2 certificates will calculated in the same manner;
* Stringent loan eligibility criteria. Each loan included in the
portfolio that supports the Series 2002-1 and Series 2002-2 certificates
must be rated at least '4C' by Shinsei Bank (the Master Trust can accept
loans rated as low as the '6C' category but loans rated from '5A' to
'6C' will not be included in the portfolio that supports the Series
2002-1 and 2002-2 certificates, provides for cash payments that fully
amortize its outstanding principal balance by maturity, and is payable
only in Japanese yen);
* Limitation on concentration risks. The portfolio of loans will be
subject to certain maximum concentration percentages established for
each series of certificates to limit the series credit exposure to an
individual obligor or any other loan characteristics as of any given
date;
* Robust cash flow structure. Given the structural enhancements of this
transaction and the quality of the underlying portfolio of loans, the
Series 2002-1 and 2002-2 class A and class B certificates are repaid in
whole even under stressful cash flow scenarios;
* The experience of Shinsei Bank as originator and servicer; and
* The robustness of the legal structure.
A copy of Standard & Poor's English-language presale report for this
transaction will soon be available on RatingsDirect, Standard & Poor's premier
Web-based credit analysis system, at http://www.ratingsdirect.com. In
addition, the report will be available on Standard & Poor's Ratings Services
Web site at http://www.standardandpoors.com. Under Presale Reports, select
Structured Finance, then Asset-Backed Securities. A Japanese-language presale
report will later be available on Standard & Poor's Japanese Web site, at
http://www.standardandpoors.co.jp.
PRELIMINARY RATINGS ASSIGNED
Shinsei Funding Two Special Purpose Co.'s Series 2002-1 class A notes and
Series 2002-2 class A notes
Series 2002-1 JPY30 billion class A floating-rate notes AAA
Series 2002-2 JPY30 billion class A fixed-rate notes AAA
SOURCE Standard & Poor's
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Related links:
http://www.standardandpoors.com
CONTACT:
Kenji Kondo, Tokyo, +81-3-3593-8590, Sean
Dougherty, New York, +1-212-438-1387, Mike Drexler, Tokyo,
+81-3-3593-8671, or George H. Sun, New York, +1-212-438-6232, all
of Standard & Poor's Ratings Services
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