The underlying pool - worth Ñ29.8 billion - is made up of 4,680 loans, 70% of which were originated to refinance the obligors existing mortgage loan. The average loan-to-value of the loans is 45.79% and the pool has an average seasoning of 43.77 months.
The transaction has been split into five floating rate tranches that will pay a coupon over one month Japanese Libor. Moodys Investors has given triple-A ratings to the three senior note classes - worth Ñ28.1 billion - an A2 rating to the Ñ700 million B tranche, and Baa2 to the Ñ600 million subordinated C piece.
Credit enhancement for the senior notes will come from 5.6% overcollateralization, any excess spread accrued on the notes and a Ñ58 million cash reserve.Meanwhile, consumer credit company Quoq, a regular securitizer of assets including consumer loans and auto loans, is set to return to the market in the near future. The firms latest issue - again being backed by consumer loans - will raise Ñ25.9 billion and will be split into two tranches: one Ñ23.1 million tranche of triple-A rated paper and a Ñ2.8 billion subordinated piece.