Hitachi Capital RMBS Series 6, 7, 9, And 11 'AAA (sf)' Ratings Affirmed

  • The Hitachi Capital series 6, 7, 9, and 11 transactions are each ultimately secured by a pool of residential mortgage loans that Hitachi Capital Corp. originated.
  • Current credit enhancement available to the transactions is sufficient to cover various risks, such as credit risk and commingling risk, under stress scenarios commensurate with our ratings.
  • We are affirming our 'AAA (sf)' ratings on the senior trust certificates issued under the above four transactions.
TOKYO (S&P Global Ratings) March 26, 2020--S&P Global Ratings today said it 
has affirmed its 'AAA (sf)' ratings on senior trust certificates issued under 
Hitachi Capital Corp. series 6 to 7, 9 and 11 residential mortgage-backed 
securities (RMBS) transactions (see list below).

The affirmations reflect the following:
  • For the loans currently outstanding, we assume a foreclosure frequency of about 1% and projected losses (net loss rate after accounting for recoveries from defaulted loans) of about 0.3-0.5% under our base-case scenario. We assume a foreclosure frequency of about 7-11% and projected losses of about 3-5% under our 'AAA' stress scenario. Where applicable, we apply a floor for projected losses at 0.35% under our base-case scenario and 4.0% under our 'AAA' stress scenario, as set out in our Japanese RMBS criteria (see "Methodology And Assumptions For Rating Japanese RMBS," published Dec. 19, 2014).
  • Considering the shorter repayment period of the underlying residential mortgage loans, we assumed a scenario of defaults occurring in 120 months in addition to a scenario set out under our criteria for Japanese RMBS transactions.
  • We have assumed three scenarios for interest rates in our cash flow analysis--one based on implied forward rates, one where the range of fluctuation is smaller than implied forward rates, and one where interest rates rise to 8% and then fluctuate between 2% and 8%.
  • Current credit enhancement available to the transactions is sufficient to cover various risks, such as credit risk and commingling risk, under stress scenarios commensurate with our ratings.
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