OREANDA-NEWS. Fitch Ratings has affirmed the ratings on 39 tranches from eight DTC transactions. The Outlooks on all tranches are Stable. The transactions are securitisations of mortgage loans backed by multi-family apartment properties. The full list of rating actions is at the end of this commentary.

KEY RATING DRIVERS

The affirmations reflect Fitch's view that stable performance of the underlying loans and available credit enhancement (CE) levels are sufficient to support the current ratings. The master lease structure in place for the collateral properties contributes to stable loan performance, and for each of the eight transactions, delinquencies and defaults have been limited to date. Fitch expects this trend to continue. The transactions were not remodelled, given the stable actual and expected asset performance.

RATING SENSITIVITIES

An unexpected increase in the delinquency or default rate may lead to higher loss assumption, which may, in turn, affect the ratings of the notes. However, the possibility of downgrade for the senior notes of DTC One to Three, especially for the most senior notes, is considered remote due to significant progress of the sequential principal repayment. The 'AAAsf' rated notes of the other transactions can be supported even if assumed property cash flows decline by 20% from the agency's initial assumptions.

For DTC Three and DTC Eight, Fitch continues to believe that available cash reserves address liquidity risk in the absence of an eligible advancing agent. This view is based on the expected stable performance of the underlying loan pools, note amortisation and the low interest rate environment in Japan. Therefore, an unexpected increase in interest rates may lead to negative rating actions on these transactions.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to or reviewed by Fitch in relation to this rating action.

DATA ADEQUACY

Fitch checked the consistency and plausibility of the information it received about the performance of the underlying pools and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the underlying pools information or conducted a review of loan origination files as part of its ongoing monitoring.

The full list of rating actions is as follows.

DTC One Special Purpose Company:

JPY10.0m Class A-1 notes affirmed at 'AAAsf'; Outlook Stable

JPY87.6m Class A-2 notes affirmed at 'AAAsf'; Outlook Stable

JPY0.4m Class A-3 notes affirmed at 'AAAsf'; Outlook Stable

JPY320m Class B notes affirmed at 'AAsf'; Outlook Stable

JPY180m Class C notes affirmed at 'Asf'; Outlook Stable

JPY320m Class D notes affirmed at 'BBBsf'; Outlook Stable

JPY350m Class E notes affirmed at 'BBsf'; Outlook Stable

DTC Two Funding Limited:

JPY7.6m Class A notes affirmed at 'AAAsf'; Outlook Stable

JPY470m Class B notes affirmed at 'AA+sf'; Outlook Stable

JPY280m Class C notes affirmed at 'A+sf'; Outlook Stable

JPY380m Class D notes affirmed at 'BBBsf'; Outlook Stable

JPY850m Class E notes affirmed at 'BBsf'; Outlook Stable

JPY1.1bn Class J notes affirmed at 'BBBsf'; Outlook Stable

DTC Three Funding Limited:

JPY368m Class A-1 notes affirmed at 'AAAsf'; Outlook Stable

JPY251m Class A-2 notes affirmed at 'AAAsf'; Outlook Stable

JPY870m Class B notes affirmed at 'AAsf'; Outlook Stable

JPY540m Class C notes affirmed at 'Asf'; Outlook Stable

JPY690m Class D notes affirmed at 'BBBsf'; Outlook Stable

JPY776m Class E notes affirmed at 'BBsf'; Outlook Stable

DTC Four Funding Limited:

JPY2.3bn Class A-1 notes affirmed at 'AAAsf'; Outlook Stable

JPY1.2bn Class A-2 notes affirmed at 'AAAsf'; Outlook Stable

JPY294m Class B notes affirmed at 'AAsf'; Outlook Stable

JPY294m Class C notes affirmed at 'Asf'; Outlook Stable

JPY71m Class D notes affirmed at 'BBBsf'; Outlook Stable

DTC Five Funding Limited:

JPY3.2bn Class A notes affirmed at 'AAAsf'; Outlook Stable

JPY265m Class B notes affirmed at 'AAsf'; Outlook Stable

JPY265m Class C notes affirmed at 'Asf'; Outlook Stable

JPY20m Class D notes affirmed at 'BBBsf'; Outlook Stable

DTC Six Funding Limited:

JPY4.0bn Class A notes affirmed at 'AAAsf'; Outlook Stable

JPY330m Class B notes affirmed at 'AAsf'; Outlook Stable

JPY310m Class C notes affirmed at 'Asf'; Outlook Stable

Class D notes were paid in full in June 2016.

DTC Seven Funding Limited:

JPY4.6bn Class A notes affirmed at 'AAAsf'; Outlook Stable

JPY612m Class B notes affirmed at 'AAsf'; Outlook Stable

JPY239m Class C notes affirmed at 'Asf'; Outlook Stable

DTC Eight Funding Limited:

JPY5.8bn Class A notes affirmed at 'AAAsf'; Outlook Stable

JPY695m Class B notes affirmed at 'AAsf'; Outlook Stable

JPY632m Class C notes affirmed at 'Asf'; Outlook Stable

JPY276m Class D notes affirmed at 'BBBsf'; Outlook Stable

JPY58m Class N notes affirmed at 'BBBsf'; Outlook Stable

All tranche balances are as of 19 August 2016.