JULY 2013 SEPTEMBER 30, 2010 INTERNATIONAL STRUCTURED FINANCE RATING : 1. 1 1.1 1 1.2 1 1.3 3 2. 4 2.1 4 2.2 9 3. 10 3.1 10 3.2 11 3.3 11 3.4 13 3.5-14 4. 14 4.1 14 4.2 14 4.3 15 : 16 03.5408.4100 Moody's Approach to Rating Repackaged Securities 1. 2007 1.1 2001 1 2001 2001 1.3 3 3.3 3.4 4 1.2 1.2.1 SPV 1 This Moody s Japan rating methodology is based on Moody s Investors Service s rating methodology titled Moody's Approach to Rating Repackaged Securities, (April 14, 2010). The rating approach described in the Moody s Investors Service report was adopted by Moody s Japan on September 30, 2010. 1 :"Repackaged Securities (October 2001)" 2002 1
1 SPV SPV SPV SPV SPV 1.2.2 CLN CLN 2 SPV CDS 2 2 SEPTEMBER 30, 2010
1.2.3 SPV SPV 3 3 SPV 1 2 SPV CDOCSO (Collateralised Synthetic Obligations) CLO CSO 3 1.3 1 SPV 4 1 SPV 2 2.2.1 2 100 70 30 40 (60-30)/70 43% 60% 3 "Moody's Approach to Rating Collateralized Loan Obligations(August 2009)" "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (September 2009)" CSO CDO2009 10 3 SEPTEMBER 30, 2010
4 2.2 SPV (perfectly ring-fenced) 2. 2.2 2.1 CLN 2 2.1.1 2.1.1.1 ISDA (Events of Default)(Termination Events) 4 SEPTEMBER 30, 2010
(Obligation DefaultISDA 4 5 (Limited Recourse)(Non-petition) 2.1.2 2.1.1.2 SPV(Insolvency)(Failure to Pay) 1 6 SPV (Bankruptcy) (Illegality) SPV (frivolous petition) 30 SPV (the Merger without Assumption) (the Tax and Credit Event Upon Merger) (Specified Transaction) SPV SPV SPV (Breach of Agreement) (Misrepresentation) 2.1.2 SPV SPV 7 SPV SPVSPV 4 "Understanding The Risks in Credit Default Swaps (March 2001)" 2001 5 5 "Framework for De-Linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions Moody's Methodology (May 2007)" 2007 6 6 SPV 2.1.2 7 "Moody's Weekly Credit Outlook, GGP Bankruptcy Judge questions Structured Finance keystone (May 11, 2009)" 5 SEPTEMBER 30, 2010
SPV SPV SPV SPV (orphan entity)spv SPV SPV SPV SPV SPV (ring-fence)spv SPV SPV SPV SPV SPV SPV (True Sale)(Non-consolidation) SPV (Bankruptcy-remoteness) SPV SPV 2.1.3 SPV SPV (grantor trust)spv SPV SPV 1 SPV SPV 8 8 6 SEPTEMBER 30, 2010
SPV SPV SPV SPV SPV SPV SPV 2.1.4 SPV SPV SPV SPV 9 2.1.5 2.1.5.1 distressed exchange 10 11 (Tax Events) SPV 9 A1 A2 P-1 10 "Corporate Default and Recovery Rates, 1920-2009 (February 2010)" 1920-2009 2010 3 11 "Understanding The Risks In Credit Default Swaps (March 2001)" 2001 5 7 SEPTEMBER 30, 2010
2.1.5.2 RAC Rating Agency ConditionRAC 12 RAC 13 RAC RAC RAC RACRAC 14 2.1.5.3 SPV 2.1.5.4 CLN 2 CLN P-1 A2 SPV 15 12 "The Role of Trustees in EMEA Structured Finance Transactions (February 2005)" 13 RAC 14 "Moody's Clarifies Policy for the Issuance of RACs (March 2010)" RAC 2010 5 15 "Moody's Clarifies Criteria For Account Bank Exposure In Synthetic Securitisation (September 2009)" 8 SEPTEMBER 30, 2010
16 2.1.6 SPV SPV 2.2 1 SPV 1 2.2.1 2.1 2.1.2 2.2.1.1 i 16 "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations(September 2009)" CSO CDO2009 10 Section 4.2. 4.2 9 SEPTEMBER 30, 2010
ii iii iv v (1) (2) SPV (i)(ii) 1 (AUP) SPVSPV 17 2.2.1.2 SPV 2004 (Securitization LawSPV 18 SPV SPV 3. EL EL 3.1 EL 1 EL EL 3.1.1 3.4 17 SPV 2.2.1.2 (cell) SPV SPV 18 Luxembourg Securitisation Law of 22 March, 2004. 10 SEPTEMBER 30, 2010
1 t t t-1 3.2 3.1.2 3.3 3.2 1 2 EL EL Ba EL A»»»» 1. 2. 5 EL Aa3 Baa3 1 Aa3 Baa3 0.003020%0.420000%=0.000013% Aaa 3.3 3.3.1 3.3.1.1 11 SEPTEMBER 30, 2010
SPV 45% 19 20 SPVCDS A2/P-1 CDS CDS 45% 21 3.3.1.2 (NPV) NPV EL 6 1 3.3.2 (De-linkage) 3.3.2.1 SPV SPV (Defaulting Party) 2010 1 25 SPV 19 20 "Moody's Approach to Rating SF CDOs(March 2009)" SF CDO 2010 9 21 CDS "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations" CSO CDO 12 SEPTEMBER 30, 2010
3.3.2.2 1 SPV ISDA Credit Support Annex (CSA) SPV SPV 3.4 22 CSA 22 "Framework for De-Linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions Moody's Methodology (May 2007)" 2007 6 13 SEPTEMBER 30, 2010
3.5 - LIBOR 23 4. 4.1 4.2 EL 24 23 "Moody's Update on Rating Debt Obligations with Variable Promises (June 2009)" 24 30 14 SEPTEMBER 30, 2010
4.3 CLNCSOCLN CSO 25 CLN CLN 25 "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (September 2009)" CSO CDO2009 10 Section 3 3 15 SEPTEMBER 30, 2010
: 16 SEPTEMBER 30, 2010
17 SEPTEMBER 30, 2010
Report Number: JP002198-sf395(Japanese) SF196495 (English) Copyright 2010 Moodys Investors Service, Inc./ All rights reserved. MJKKMJKK MJKK (a)(b) (a) (b) MJKK Moodys Corporation (MCO ) Moodys Overseas Holdings Inc. MJKK MJKK CP MJKK MJKK 20 3 5,000 MJKK MCO MJKK MJKK MCO MJKK MCO 5% SEC www.moodys.com "Shareholder Relations-Corporate Governance-Director and Shareholder Affiliation Policy" 336969 Moodys Investors Service Pty Limited ABN 61 003 399 657 2001 761G 2001 761G 18 SEPTEMBER 30, 2010