Four Tranches Of Tokai Labour Bank Series 6 RMBS Ratings On Other Tranches Affirmed

Stocks and Financial Services Press Releases Monday December 19, 2016 17:17
TOKYO--19 Dec--S&P Global Ratings

TOKYO (S&P Global Ratings) Dec. 19, 2016--S&P Global Ratings today said it has raised its ratings on four tranches of trust certificates issued under the Tokai Labour Bank Series 6 Residential Mortgage Backed Trust Certificates transaction.

At the same time, we have affirmed our ratings on the other tranches of this transaction (see list below). Today's rating actions reflect the following:

We assume a foreclosure frequency for the mortgage loans currently outstanding of about 1% under our base-case scenario and 9% under a stress scenario consistent with our 'AAA' rating.We also assume a recovery rate for defaulted loans of 25% under our base-case scenario and 19% under our 'AAA' stress scenario.No losses have occurred in the underlying pool because the originator has repurchased all defaulted loans.

Current credit enhancement available for each rated class is sufficient to cover that class' various risks such as credit risk under a stress scenario consistent with our raised or affirmed rating on the class.
A pool of mortgage loan receivables that Tokai Labour Bank originated and entrusted with Sumitomo Mitsui Trust Bank Ltd.
backs the trust certificates issued under this residential mortgage-backed securities (RMBS) transaction. In addition, the transaction lacks updated loan-by-loan data in the surveillance period.

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