FILP Master Trust 2nd Special Purpose Co.'s Series 1 Notes Placed On CreditWatch Negative
- FILP Master Trust 2nd Special Purpose Co.'s series 1 notes are securitization transactions, the notes of which are backed by a pool of fiscal loans extended under the Japanese government's Fiscal Investment and Loan Program (FILP) to initially 12 government-related entities in Japan as obligors.
- Following the lowering of the long-term sovereign credit ratings on Japan, about half of the assets in the portfolio underlying this transaction were downgraded by one notch.
- We placed the rating on the notes issued under this transaction on CreditWatch negative to review our pairwise correlation assumptions for government-related entities, and to evaluate the credit stability of the notes.
TOKYO (Standard & Poor's) Feb. 2, 2011--Standard & Poor's Ratings Services today placed on CreditWatch with negative implications its 'AAA (sf)' rating on the notes issued under the FILP Master Trust 2nd Special Purpose Co.'s series 1 transaction (see list below). The notes issued under this transaction are backed by a pool of fiscal loans extended under the Japanese government's Fiscal Investment and Loan Program (FILP) to initially 12 government-related entities in Japan as obligors. Following the lowering of the long-term sovereign credit ratings on Japan (AA-/Stable/A-1+) on Jan. 27, 2011, (see media release "Ratings On Japan Lowered To 'AA-'; Outlook Stable), about half of the assets in the portfolio underlying this transaction were downgraded by one notch. We placed the rating on the notes issued under this transaction on CreditWatch negative to review, among other factors, our pairwise correlation assumptions for government-related entities in the underlying asset portfolio, and to evaluate the credit stability of the notes. The simple average of the correlations between the 12 government-related entities has been 0.42 since August 2008. If our updated pairwise correlation assumptions remain at the same level, we see a likelihood of a downgrade. We aim to resolve the CreditWatch status within three months. The rating addresses the full and timely payment of interest and the ultimate full repayment of principal by the transaction's legal final maturity date (or by the revised legal final maturity date if this is changed during the term). RELATED CRITERIA AND RESEARCH "Principles-Based Rating Methodology for Global Structured Finance Securities," published May 29, 2007. RATINGS PLACED ON CREDITWATCH NEGATIVE FILP Master Trust 2nd Special Purpose Co. ¥100 Billion Series 1 Notes To From Initial issue amount Legal Final Maturity AAA (sf)/Watch Neg AAA (sf) ¥100 bil. June 2020 A Japanese-language version of this media release is available on Standard & Poor's Research Online at www.researchonline.jp, or via CreditWire Japan on Bloomberg Professional at SPCJ .
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