NOVEMBER 11, 2013 RESIDENTIAL MBS RATING : 1. 1 2. RMBS 2 3. 3 4. 16 5. RMBS 23 1: RMBS 24 2A: 25 2B: 28 2C: 29 2D: CPR) 32 3: 33 4: 35 5: 36 : 03.5408.4100 RMBS Updated: Moody s Approach to Rating RMBS Transactions in Japan 1. RMBS RMBS (2003 5 ) 1 RMBS This Moody s Japan rating methodology is based on Moody s Investors Service s rating methodology titled Updated: Moody s Approach to Rating RMBS Transactions in Japan, (November 11, 2013). The rating approach described in the Moody s Investors Service report was adopted by Moody s Japan on November 11, 2013.
2. RMBS (1) RMBS 1 1: () (2) RMBS 2 2: 2 NOVEMBER 11, 2013 : RMBS
3. RMBS 3 (1) (2) (3) 3: DATED TED (1) (2) / (3) / (1) / RMBS 3 3 NOVEMBER 11, 2013 : RMBS
2 1) 2A RMBS 1 LTV, DTI, TTM,,, / 2) 2B RMBS V 1 3) 2C 2 RMBS 1 V RMBS V 2009 4 4 NOVEMBER 11, 2013 : RMBS
RMBS 4) (CPR) 2D 2 5 NOVEMBER 11, 2013 : RMBS
4: * 1 * 2 * 3 * 3 0.5 2.0 *1 *2 *3 RMBS 3.5% 0 5 10 15 20 2.5% 3.0 0 5 10 15 20 A Aa Aaa 0 5 10 15 20 X 2.0 CPR X 0.5 6 NOVEMBER 11, 2013 : RMBS
(2) 1 RMBS 100 5: 0% 2% 4% 6% 8% 10% 12% 14% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0% 7.5% 8.0% 8.5% 9.0% 9.5% 10.0% 10.5% 11.0% 11.5% 1 0.50% 0.866% 11 5.50% 2.829% 21 10.50% 0.089% 2 1.00% 5.815% 12 6.00% 1.935% 22 11.00% 0.067% 3 1.50% 12.262% 13 6.50% 1.458% 23 11.50% 0.046% 4 2.00% 15.884% 14 7.00% 0.903% 24 12.00% 0.035% 5 2.50% 15.173% 15 7.50% 0.685% : : 6 3.00% 12.930% 16 8.00% 0.509% : : 7 3.50% 10.307% 17 8.50% 0.325% : : 8 4.00% 7.820% 18 9.00% 0.245% : : 9 4.50% 5.593% 19 9.50% 0.168% 99 97.00% 0.000% 10 5.00% 3.840% 20 10.00% 0.116% 100 98.75% 0.000% 100.000% 12.0% 12.5% 13.0% 7 NOVEMBER 11, 2013 : RMBS
RMBS RMBS 1) RMBS (i) (ii) 6: (i) 6 OLO (i) (ii) 8 NOVEMBER 11, 2013 : RMBS
7: 0 10 20 (ii) 0 10 20 5 125% 3 8: 5 2) 125 1 RMBS RMBS (i) RMBS RMBS 2 3 5 5 125% 125% 9 NOVEMBER 11, 2013 : RMBS
(ii) RMBS (i) 9 RMBS RMBS RMBS 9: (a) (b) RMBS (c) (d) RMBS RMBS (c RMBS» :» (: RMBS 2 RMBS 10 NOVEMBER 11, 2013 : RMBS
(ii) RMBS RMBS RMBSRMBS 5 RMBS 7 RMBS 2 RMBS LIBOR 10: < > < > <LIBOR> 4 5 11 NOVEMBER 11, 2013 : RMBS
3 RMBS RMBS 11: 7% 6% 5% 4% 3% 2% 1% 0% 0 5 10 15 20 25 30 (3) 7 (WAL) WAL 5 WAL WAL(n) x (n) (n) x (n) WAL=5.38 =0.00100% Aaa 12 NOVEMBER 11, 2013 : RMBS
12: WAL 1 0.50% 0.866% 5.26 yrs 0.00000% 2 1.00% 5.815% 5.28 yrs 0.00000% 3 1.50% 12.262% 5.30 yrs 0.00000% : : : : : 30 16.00% 0.004% 7.26 yrs 2.65653% 31 16.75% 0.003% 7.52 yrs 3.31445% 32 17.50% 0.002% 7.78 yrs 3.97236% : : : : : 99 97.00% 0.000% 23.23 yrs 51.89524% 100 98.75% 0.000% 23.36 yrs 52.30633% / - 100.000% 5.38 yrs 0.00100% Y0% 1 2 5 6 10 Aaa 0.00003% 0.0001% 0.0016% 0.0022% 0.0055% Aa1 0.00031% 0.0017% 0.0171% 0.0231% 0.0550% Aa2 0.00075% 0.0044% 0.0374% 0.0490% 0.1100% : : : : : : RMBS RMBS 1) RMBS 13 NOVEMBER 11, 2013 : RMBS
2) RMBS RMBS RMBS RMBS Aaa 3 6 RMBS 1» 3» 14 NOVEMBER 11, 2013 : RMBS
1 RMBS RMBS 6» 7 30 8» 15 9 n 2 i 45 25 15 NOVEMBER 11, 2013 : RMBS
4. (1) ( A) 2 B) C) 2 3 D) (LTV)80% 90% E) F) RMBS DTI DSCR 10 DSCR Aaa DSCR 10 DSCR Debt Service Coverage Ratio DSCR 1.0 16 NOVEMBER 11, 2013 : RMBS
2 1 30 10 30 10 10 20 20 17 NOVEMBER 11, 2013 : RMBS
13: 0 5 10 15 20 25 30 0 5 10 15 20 25 30 18 NOVEMBER 11, 2013 : RMBS
(2) A) B) C) 2 D) (LTV) E) F) G) H) ) LTV D) LTV DTI DTI LTV 19 NOVEMBER 11, 2013 : RMBS
(3) ( ( 2 A) 400 B) C) DTI 20 NOVEMBER 11, 2013 : RMBS
(4) RMBS RMBS RMBS RMBS 14 RMBS RMBS 14: RMBS RMBS RMBS 15 RMBS RMBS RMBS RMBS RMBS RMBS RMBS RMBS RMBS Aaa A2 P-1 A1 30 21 NOVEMBER 11, 2013 : RMBS
15: RMBS RMBS CDO RMBS RMBS»»» RMBS»» 22 NOVEMBER 11, 2013 : RMBS
5. RMBS (1) (2) (WAC) (3) (4) (5) RMBS RMBS 23 NOVEMBER 11, 2013 : RMBS
1 RMBS RMBS RMBS» RMBS 2003 5» 2004 4» 2005 8» 1 2004 4» 2 2004 8» 3 2004 11» 4 RMBS 2004 12» 5 2004 12» 6 2005 9» 7 2006 3» 8 2006 6» 9 2006 6» 10 2006 6» 11 1 : 2007 8» 12 2 :2007 8» 13 2007 11 24 NOVEMBER 11, 2013 : RMBS
2A (1) LTV, DTI, TTM, 4 4 ; LTV (Loan to Value LTV LTV LTV LTV 95% LTV DTI (Debt to Income DTI DTI DTI DTI DTI TTM (Term to Maturity TTM TTM TTM TTM TTM 16 5 10 25 NOVEMBER 11, 2013 : RMBS
16: 0 5 10 15 20 17: LTV TTM 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% 0% 30% 40% 50% 60% 70% 80% 90% 100% 110% 120% 10% 15% 20% 25% 30% 35% 40% 45% 50% 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% LTV DTI 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% DTI 0% 15.0 20.0 25.0 30.0 35.0 0 5 10 15 20 TTM 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 26 NOVEMBER 11, 2013 : RMBS
18 4 18: (Step 1) 1 70 15% 25yrs 0.2yr 1.23% 0.21% 2 72 40% 25yrs 3.2yr 4.81% 0.30% 3 80 40% 30yrs 0.7yr 5.73% 0.19% : : : : : 500 99 23% 30yrs 3.7yr 2.65% 0.40% 100.00% 3.40% (Step 3) (2) (Step 2) 3.61% RMBS WAL 19: 27 NOVEMBER 11, 2013 : RMBS
2B 7 2 2A 2 20 Aaa 20:Aaa 16% 14% 12% 10% 8% 0 500 1,000 1,500 2,000 2,500 3,000 3,500 4,000 4,500 5,000 28 NOVEMBER 11, 2013 : RMBS
2C: (1) RMBS 2 1 2 24 21 21: RMBS 22 29 NOVEMBER 11, 2013 : RMBS
22: RMBS 23 23: 30 NOVEMBER 11, 2013 : RMBS
(2) 31 NOVEMBER 11, 2013 : RMBS
2DCPR) 2 CPR 4 32 NOVEMBER 11, 2013 : RMBS
3 (1) RMBS 24: 100% 80% 60% 40% 20% 0% 0 5 10 15 20 25 30 3 2 33 NOVEMBER 11, 2013 : RMBS
25: 1 2 Rand 1 Rand 2 Rand 3 2 2 1 Rand 1 1 2 2 3 2 2 Y1 1 Rand Y2 1 Rand Rand (2) RMBS RMBS RMBS 11 11 RMBS RMBS 2009 2 34 NOVEMBER 11, 2013 : RMBS
4 12 2009 12 RMBS 13,14 :»»» :»»»»»» =»» 12 RMBS 2010 4 13 RMBS 14 2 35 NOVEMBER 11, 2013 : RMBS
5 26: 1 2 3 4 5 6 7 8 9 10 Aaa 0.00005% 0.00020% 0.00070% 0.00180% 0.00290% 0.00400% 0.00520% 0.00660% 0.00820% 0.01000% Aa1 0.00057% 0.00300% 0.01000% 0.02100% 0.03100% 0.04200% 0.05400% 0.06700% 0.08200% 0.10000% Aa2 0.00136% 0.00800% 0.02600% 0.04700% 0.06800% 0.08900% 0.11100% 0.13500% 0.16400% 0.20000% Aa3 0.00302% 0.01900% 0.05900% 0.10100% 0.14200% 0.18300% 0.22700% 0.27200% 0.32700% 0.40000% A1 0.00581% 0.03700% 0.11700% 0.18900% 0.26100% 0.33000% 0.40600% 0.48000% 0.57300% 0.70000% A2 0.01087% 0.07000% 0.22200% 0.34500% 0.46700% 0.58300% 0.71000% 0.82900% 0.98200% 1.20000% A3 0.03885% 0.15000% 0.36000% 0.54000% 0.73000% 0.91000% 1.11000% 1.30000% 1.52000% 1.80000% Baa1 0.09000% 0.28000% 0.56000% 0.83000% 1.10000% 1.37000% 1.67000% 1.97000% 2.27000% 2.60000% Baa2 0.17000% 0.47000% 0.83000% 1.20000% 1.58000% 1.97000% 2.41000% 2.85000% 3.24000% 3.60000% Baa3 0.42000% 1.05000% 1.71000% 2.38000% 3.05000% 3.70000% 4.33000% 4.97000% 5.57000% 6.10000% Ba1 0.87000% 2.02000% 3.13000% 4.20000% 5.28000% 6.25000% 7.06000% 7.89000% 8.69000% 9.40000% Ba2 1.56000% 3.47000% 5.18000% 6.80000% 8.41000% 9.77000% 10.70000% 11.66000% 12.65000% 13.50000% Ba3 2.81000% 5.51000% 7.87000% 9.79000% 11.86000% 13.49000% 14.62000% 15.71000% 16.71000% 17.66000% B1 4.68000% 8.38000% 11.58000% 13.85000% 16.12000% 17.89000% 19.13000% 20.23000% 21.24000% 22.20000% B2 7.16000% 11.67000% 15.55000% 18.13000% 20.71000% 22.65000% 24.01000% 25.15000% 26.22000% 27.20000% B3 11.62000% 16.61000% 21.03000% 24.04000% 27.05000% 29.20000% 31.00000% 32.58000% 33.78000% 34.90000% Caa1 17.38160% 23.23416% 28.63861% 32.47884% 36.31374% 38.96665% 41.38538% 43.65696% 45.67182% 47.70000% Caa2 26.00000% 32.50000% 39.00000% 43.88000% 48.75000% 52.00000% 55.25000% 58.50000% 61.75000% 65.00000% Caa3 50.99020% 57.00877% 62.44998% 66.24198% 69.82120% 72.11103% 74.33034% 76.48529% 78.58117% 80.70000% 27 1 2 3 4 5 6 7 8 9 10 Aaa 0.00003% 0.00011% 0.00039% 0.00099% 0.00160% 0.00220% 0.00286% 0.00363% 0.00451% 0.00550% Aa1 0.00031% 0.00165% 0.00550% 0.01155% 0.01705% 0.02310% 0.02970% 0.03685% 0.04510% 0.05500% Aa2 0.00075% 0.00440% 0.01430% 0.02585% 0.03740% 0.04895% 0.06105% 0.07425% 0.09020% 0.11000% Aa3 0.00166% 0.01045% 0.03245% 0.05555% 0.07810% 0.10065% 0.12485% 0.14960% 0.17985% 0.22000% A1 0.00320% 0.02035% 0.06435% 0.10395% 0.14355% 0.18150% 0.22330% 0.26400% 0.31515% 0.38500% A2 0.00598% 0.03850% 0.12210% 0.18975% 0.25685% 0.32065% 0.39050% 0.45595% 0.54010% 0.66000% A3 0.02137% 0.08250% 0.19800% 0.29700% 0.40150% 0.50050% 0.61050% 0.71500% 0.83600% 0.99000% Baa1 0.04950% 0.15400% 0.30800% 0.45650% 0.60500% 0.75350% 0.91850% 1.08350% 1.24850% 1.43000% Baa2 0.09350% 0.25850% 0.45650% 0.66000% 0.86900% 1.08350% 1.32550% 1.56750% 1.78200% 1.98000% Baa3 0.23100% 0.57750% 0.94050% 1.30900% 1.67750% 2.03500% 2.38150% 2.73350% 3.06350% 3.35500% Ba1 0.47850% 1.11100% 1.72150% 2.31000% 2.90400% 3.43750% 3.88300% 4.33950% 4.77950% 5.17000% Ba2 0.85800% 1.90850% 2.84900% 3.74000% 4.62550% 5.37350% 5.88500% 6.41300% 6.95750% 7.42500% Ba3 1.54550% 3.03050% 4.32850% 5.38450% 6.52300% 7.41950% 8.04100% 8.64050% 9.19050% 9.71300% B1 2.57400% 4.60900% 6.36900% 7.61750% 8.86600% 9.83950% 10.52150% 11.12650% 11.68200% 12.21000% B2 3.93800% 6.41850% 8.55250% 9.97150% 11.39050% 12.45750% 13.20550% 13.83250% 14.42100% 14.96000% B3 6.39100% 9.13550% 11.56650% 13.22200% 14.87750% 16.06000% 17.05000% 17.91900% 18.57900% 19.19500% Caa1 9.55988% 12.77879% 15.75124% 17.86336% 19.97256% 21.43166% 22.76196% 24.01133% 25.11950% 26.23500% Caa2 14.30000% 17.87500% 21.45000% 24.13400% 26.81250% 28.60000% 30.38750% 32.17500% 33.96250% 35.75000% Caa3 28.04461% 31.35482% 34.34749% 36.43309% 38.40166% 39.66107% 40.88169% 42.06691% 43.21964% 44.38500% 36 NOVEMBER 11, 2013 : RMBS
Report Number: JP002535 (Japanese) SF205788(English) 2013 SF () SF MJKKMSFJMJKK / MSFJ MJKK / MSFJ MJKK MSFJ MJKK / MSFJ MJKK / MSFJ MJKK / MSFJ MJKK / MSFJ MJKK MSFJ MJKK / MSFJ ( ) (a)(b) (a) (b) TDATED MJKK Moody s Corporation (MCO) Moody s Overseas Holdings Inc.MSFJ MSFJ NRSRO Nationally Recognized Statistical Rating Organization = MSFJ NRSRO NRSRO MSFJ MJKK MSFJ 2 3 MJKK MSFJMJKK MSFJ CP MJKK MSFJ 20 3 5,000 MJKK MSFJ MCO MJKK MSFJ MJKK MSFJ MCO MJKK MSFJ MCO 5% SEC www.moodys.com "Shareholder Relations-Corporate Governance-Director and Shareholder Affiliation Policy" 336969 Moody s Investors Service Pty Limited ABN 61 003 399 657 2001 761G 2001 761G ME OU 37 NOVEMBER 11, 2013 : RMBS