Rating Action: Moody's assigns definitive rating and affirms ratings of SoftBank's handset receivables ABSGlobal Credit Research - 27 Dec 2021Approximately JPY201.240 billion, JPY10.0 billion and JPY40.132 billion in debt securities affectedTokyo, December 27, 2021 -- Moody's SF Japan K.K. has assigned a definitive rating to and affirmed the ratings of the following transactions.The complete rating action and affected ratings are as follows:Transaction Name: SoftBank Corp. A mobile telephone terminal Credit Trust Series 2021-12 ("Series 2021-12")(Lead Analyst: Yusuke Minaki / VP -- Senior Analyst)Class, Issue Amount, Scheduled Dividend Rate, Closing Date, Rating Action,First Senior Trust Certificates, JPY201,239,988,263 (additionally issued amount is JPY47.0 billion), Floating, December 27, 2021, Assigned Aaa (sf)Transaction Name: SoftBank Corp. A mobile telephone terminal Credit Trust Series 2021-9 ("Series 2021-9")(Lead Analyst: Naomi Fujiwara / VP -- Senior Analyst)Class, Issue Amount, Scheduled Dividend Rate, Closing Date, Affected ratingSecond Senior Trust Certificates, JPY10.0 billion, Floating, September 29, 2021, Affirmed Aa2 (sf)Previously on September 29, 2021 definitive rating assigned Aa2 (sf).Transaction Name: SoftBank Corp. A mobile telephone terminal Credit Trust Series 2020-6 ("Series 2020-6")(Lead Analyst: Naomi Fujiwara / VP -- Senior Analyst)Class, Issue Amount, Scheduled Dividend Rate, Closing Date, Affected ratingFirst Senior Trust Certificates, JPY40.132 billion, Floating, June 30, 2020, Affirmed Aaa (sf)Previously on June 30, 2020 definitive rating assigned Aaa (sf).Senior Trust Certificates for the Series 2020-6 has been renamed as First Senior Trust Certificates at the time of Series 2021-9 issuance.Final Maturity Date: December 4, 2026Underlying Asset: Handset installment sales receivablesTotal Amount of Receivables (at the master trust level): JPY297,539,184,110 (JPY286,155,530,729 in principal, as of the end of October 2021)Seller (Originator/Initial Servicer): SoftBank Corp.Asset Trustee: Sumitomo Mitsui Trust Bank, LimitedBack-up Servicer: Japan Collection Service Co., Ltd.Cap Provider: Sumitomo Mitsui Trust Bank, LimitedArranger: Sumitomo Mitsui Trust Bank, LimitedRATINGS RATIONALEThe Seller entrusts an additional pool of installment sales receivables and cash to the Asset Trustee, and, in turn, receives the First Senior Trust Certificates based on the master trust agreement. At the same time, the amounts of the Class A through D Seller Trust Certificates and the Subordinated Trust Certificates are increased as appropriate.The entrustment of the receivables is perfected against third parties under the Perfection Law. Perfection against obligors is not made unless certain events occur.The Seller holds the Class A through D Seller Trust Certificates and the Subordinated Trust Certificates but transfers the First Senior Trust Certificates to investors. The transfer of the First Senior Trust Certificates is perfected against the Asset Trustee and third parties under Article 94 of Japan's Trust Law. The newly issued First Senior Trust Certificates are merged with one of the existing First Senior Trust Certificates based on the master trust agreement. As a result, there are two First Senior Trust Certificates outstanding (Series 2021-12 and 2020-6) and one Second Senior Trust Certificates outstanding. The final maturity dates of all Senior Trust Certificates are unified into that of the newly issued series.The Asset Trustee enters into an interest-rate cap agreement with the cap provider to hedge its interest-rate risk.The underlying assets of the master trust are shared by all the First Senior Trust Certificates and the Second Senior Trust Certificates.Allocation of the principal collection from the underlying assets to the First Senior Trust Certificates is according to the original issuance amount of each First Senior Trust Certificates, considering all series which were previously merged into as long as any of the corresponding underlying assets are still outstanding.Credit enhancement is mainly provided by the senior/subordinated structure. Subordinations for the First and Second Senior Trust Certificates comprise approximately 21.0% and 17.5%, respectively, of the total principal balance of all the First Senior Trust Certificates, Second Senior Trust Certificates and Subordinated Trust Certificates of the master trust at the closing date.The First Senior Trust Certificates and Subordinated Trust Certificates are redeemed in a monthly pass-through amortization manner. The Second Senior Trust Certificates are redeemed in a quarterly controlled amortization manner, starting after the fifth month from the closing date. The Second Senior and Subordinated Trust Certificates are redeemed to the extent that certain conditions are met.Defaulted receivables in the underlying pool are used as redemption in kind of the Subordinated Trust Certificates. At the same time, cash -- equivalent to the principal balance of the defaulted receivables -- is transferred from the interest collection account to the principal collection account, and the outstanding amount of the Subordinated Trust Certificates is increased by the same amount (default trapping mechanism).If any early amortization events occur, the principal waterfall to the Second Trust Certificates, as well as the dividend and principal waterfall to the Subordinated Trust Certificates are suspended, and interest collections -- after the payment of cost and dividend on the First Senior Trust Certificates -- are used to pay principal of the First Senior Trust Certificates.Key early amortization events include the occurrence of a tax event and asset performance triggers being breached.If any servicer replacement events occur, the Asset Trustee can dismiss the Servicer. The Back-up Servicer is appointed at closing. In preparation for servicer replacement, liquidity is provided in the form of a cash reserve at closing. If any servicer replacement preparation events occur, additional enhancement is provided.Commingling risk is covered by the Subordinated Trust Certificates.In this transaction, the underlying assets include receivables under the programs such as "New Tokusuru Support" provided by the Seller. Under the program, when obligors recontract with new phones, they have the option of offsetting their remaining receivable balance -- up to an amount equivalent to 24 months of installments -- by selling to the Seller their old phones, which must be in a satisfactory condition as determined by the Seller.To compensate for the lost receivables balance, the transaction requires the seller to make an indemnity payment to the trustee, within approximately three months after the option is exercised, equal to the outstanding receivable balance at the time the mobile phone is returned.These potentially large indemnity payments expose the transaction to the default of the seller during the period between the return of the mobile phones and the indemnity payments. To partially mitigate this risk, the seller entrusts some amount of cash in advance, based on pre-fixed formulas. If the seller defaults and fails to make the indemnification payments to the trustee, the cash held by the trustee and the subordinated trust certificates will provide protection to the Senior Trust Certificates.The ratings are based mainly on the credit quality of the receivables, the transaction structure and the Originator/Initial Servicer's experience and credit quality.Moody's affirms the ratings of the Series 2021-9 Second Senior Trust Certificates and the Series 2020-6 First Senior Trust Certificates following the issuance of Series 2021-12 First Senior Trust Certificates.The underlying assets are handset installment sales receivables originated by the Seller. The portfolio is highly granular with a large number of consumer obligors and no large exposures.Moody's estimated the annualized expected default rate of the underlying assets at approximately 0.8%, taking into consideration the receivables' attributes, historical data on the Seller's entire pool, performance data on existing securitization pools, and industry trends. The expected default rate is based on the default definition used in Moody's analysis and may not be comparable to other rates.To determine the ratings, Moody's also conducted a cash flow analysis.Given the structure of this master trust, Moody's considered how the changes in cash allocation based on the evolving original issuance amounts and the outstanding balances of each First Senior Trust Certificates will affect the loss allocation between each First Senior Trust Certificates.Moody's assumes that, given the structure of the transaction and other factors, the risk of interruption to the cash flow from the assets -- in the event of the Seller's or the Asset Trustee's bankruptcy -- is sufficiently minimized to achieve the ratings assigned.Moody's considers the Seller is sufficiently capable of servicing the underlying pool, as the Seller has substantial experience as an Initial Servicer in the mobile telecommunications carrier industry.The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-Backed ABS (Japanese)" published in September 2021 and available at https://ift.tt/3z0ztc1. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Factors that would lead to an upgrade or downgrade of the ratings:The primary factors that could lead to an upgrade or downgrade of the ratings are the worse performance of the underlying assets than Moody's had expected and the deterioration of the Seller's creditworthiness.Moody's has also conducted the sensitivity analysis below which provides the number of notches by which the model-indicated output of the deal would have varied if different assumptions had been made as to certain key model parameters. The analysis assumes that the deal has not aged.If the transaction's annualized expected default rate was changed from 0.8% to 1.2% and 1.5% and other assumptions remained unchanged, the model-indicated output of the First Senior Trust Certificates would change by 0 and 0 notches, and the model-indicated output of the Second Senior Trust Certificates would change by 1 and 3 notches.The analysis results are model-indicated outputs, which are one of the many quantitative and qualitative factors considered by rating committees in determining actual ratings. This analysis does not intend to measure how the rating of the deal might migrate over time, but rather, how the initial model-indicated output of the deal might have differed if certain key model parameters had been varied.REGULATORY DISCLOSURESFor 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 at: https://ift.tt/31UQRyA analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.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 ratings tab on the issuer/entity page for the respective issuer on www.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 ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website https://ift.tt/349xDIr 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://ift.tt/31UrDnX 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 www.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 www.moodys.com.The below contact information is provided for information purposes only. Please see the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead rating analyst and the Moody's legal entity that has issued the ratings.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 www.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 ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. Yusuke Minaki Vice President - Senior Analyst Structured Finance Group Moody's Japan K.K. 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[non-NRSRO] SoftBank Corp. A mobile telephone terminal Credit Trust Series 2021-12 -- Moody's assigns definitive rating and affirms ratings of SoftBank's handset receivables ABS - Yahoo Finance
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