Fitch Affirms L-STaRS One Funding Limited; Outlook Stable
JPY3,619m* Class A notes affirmed at 'AAAsf'; Outlook Stable
JPY429m* Class B notes affirmed at 'AAsf'; Outlook Stable
JPY228m* Class C notes affirmed at 'Asf'; Outlook Stable
JPY100m* Class E notes affirmed at 'BBB-sf'; Outlook Stable
*as of 27 October 2015
The class D notes were paid in full in June 2015.
KEY RATING DRIVERS
The affirmations of all ratings reflect Fitch's view that the available credit enhancement (CE) for the notes is sufficient to support the current ratings based on the agency's expectation that the underlying pool performance will remain stable.
Fitch believes that available excess spread will continue to be sufficient to cover expected losses from the underlying pool given the stable default performance, although the actual prepayment rate performance to date has been relatively high compared with Fitch's expectation. The default model was not re-run for this rating action.
An unexpected material increase in delinquencies, defaults and loss severities from defaulted loans in the underlying pools may lead to negative rating actions. The CE levels for the class A notes can support defaults at least 1.17 times higher than assumed in Fitch's 'AAAsf' stress scenario. In accordance with the transaction agreements, Fitch expects the class B and C notes to be fully repaid faster than the class A notes. Due to this structure, the protection against downgrades of these is larger than that of the class A notes.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has checked the consistency and plausibility of the information it has received about the performance of the underlying pool 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 pool information or conducted a review of loan origination files as part of its ongoing monitoring.