Japanese CMBS Gets Cut By Moody’s
Moody’s concluded its review of 339 tranches of commercial mortgage backed securities (CMBS) with an original balance of 1.44 trillion yen ($15 Billion US) involving 57 Japanese CMBS deals.
The review was prompted by Moody’’s view that the turmoil affecting the Japanese CMBS market — especially major developments in the real estate financing market — could continue for some time. Moodys downgraded 293 tranches with an original balance of 1.16 trillion JPY for 53 deals.
Moodys confirmed the ratings of 46 tranches with an original balance of 0.28 trillion JPY for 27 deals. Moodys did not upgrade any tranches.
20% of Aaa classes were downgraded by 1 to 2 notches (1.1 notches on weighted average basis), and 8% were confirmed. 34% of Aa classes were downgraded by 1 to 4 notches (1.6 notches on weighted average basis), and 15% were confirmed.
44% of A classes were downgraded by 1 to 7 notches (2.3 notches on weighted average basis), and 9% were confirmed.
77% of Baa or lower classes were downgraded by 1 to 8 notches (3.0 notches on weighted average basis), and 2% were confirmed. Moody’’s actions reflect Moodys concern that loan defaults are increasing, prompted by the decline in refinancing possibilities for existing CMBS borrowers because of the liquidity crisis.
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