自主規制規則・証券化商品関係 | 日本証券業協会

(1)

RMBS (Securitized Products Backed by Japanese Housing Loans)

Item

Level

Explanation

Comments

Notes

I

I-1 Product name 1 Specific name that identifies the product Desirable to have uniform names for trust beneficiary rights, etc.

I-2 Basic structure 1

Structure diagram, outlines of details on transactions and contracts between parties concerned

I-3 Main applicable laws 1 Distinction among Japanese law, U.K. law, New York state law, etc.

When multiple laws are involved, specify the legal jurisdiction governing the principal and interest payments. May be omitted when clearly falling under Japanese law.

I-4 Product type 1 Distinction among bonds, notes, trust beneficiary rights, etc.

Indicate also public offering or not, listed or not

I-5 Credit and liquidity enhancement 1 Outline of the details of credit and liquidity enhancements

Outlines of senior-subordination structure, the scheme providing credit enhancement effects such as surplus income, etc. and the scheme providing liquidity enhancement such as reserves, etc.

I-6 Major structure-related risks 1

Illustrate risks (risk of damage to underlying assets, risk of collection not being performed as scheduled, servicer risk, legal risk, taxation risk, concentration risk of underlying asset, etc.)

I-7 Ratings 1 Ratings by rating agencies Include information on preliminary ratings or planned_{rating date}

I-8 Total issue amount, issue amount of each

tranche 1

Desirable to specify subordination rates along with tranche sizes in clearly understandable terms

When multiple tranches (excluding the subordinated portion) exist, specify subordination rate for each tranche

I-9 _{Issue price} 1 _{Issue price} Normally, the price per ¥100 of face value. Any other

expression, however, is acceptable

I-10 Interest rate and planned dividend rate 1 Interest rate and planned dividend rate for each tranche

Desirable to specify also interest and dividend rate

calculation methods (actual days elasped /365 days, etc.)

Note conditions for deferral of payments or conditions for depreciation process of principal used for dividend calculation, etc., if any

I-11 Interest payment date 1 Include treatment of corresponding payment date falling

on non-business day I-12 Final legal maturity date 1

I-13 Redemption method 1

Planned redemption method, trigger event for changing redemption method, etc., and outline of redemption method after trigger event

I-14 Planned redemption date or schedule, etc. 1 Planned redemption date (in the case of one lump sum redemption upon maturity), etc.

I-15 Forecast redemption schedule, etc. 1 Forecast redemption date, average term to

maturity, etc. State also condition precedent for calculation

I-16 Issue date 1 For trust beneficiary rights, state the date of

sale If undecided, specify planned date

I-17 Arrangers, underwriters, and distributors 1 Names

Arranger name is unnecessary if no contractual agreement is set in place. Desirable to specify the names of planned underwriters and distributors if still undecided

I-18 Structure of trigger 1

Trigger indicators such as accelerated

redemption event, etc., and conditions for such trigger, as well as items subject to change upon such trigger

May be omitted when it has been explained as part of the forecast redemtion schedule and other items

II

II-1 Outline of underlying assets 1 Basic features and relevant laws for underlying assets

II-2 Outline of origin of underlying assets 1 If the originator is the primary buyer, include outline of financing process of the originator

II-3 Atrribute of underlying asset pools 1 Outstanding loans, number of loans, and number of debtors

If features (refinance or non-refinance, self-residing or investment purpose) are different, show in separated categories

II-4 Weighted average coupon (WAC) 1 Intend to provide an indication of yield on

underlying assets

II-5 Weighted average maturity (WAM) 2

II-6 Eligibility requirements 1 Eligibility conditions for underlying assets subject to securitization

II-7 Backup Servicing 1

Outline related to backup servicing. If the backup servicer is originally set up, indicate such conditions

Additionally include information on trigger for setting up backup servicer, if applicable

II-8 Underlying asset cash flow (planned) 1 Collection schedule for underlying assets (loans)

Include planned schedule in the case of CPR, CDR being zero. May be omitted when it has been explained as part of the forecast redemtion schedule and other items

Not necessary to report monthly; typical reporting method is WAL based on specific assumptions (CPR, CDR)

II-9 Waterfall 1 Cashflow waterfall for collection (allocation

rules) With multiple cases, give information on each case

Desirable to state in clearly

understandable terms using graphs, flow charts, etc.

II-10 Attribute distribution of loans or debtors for

underlying assets 1

By loan product, lending interest rate conditions, loan term, region, attributes of debtors, etc.

Provide attribute distributions of loans or debtors from the perspective of risk evaluation and cash flows projection

Standardized Information Reporting Package

Product Information (Disclosure at Issuance)

(2)

Item

Level

Explanation

Comments

Notes

II-11 Delinquency rate 2

Items from II-11 to II-15 may be omitted if there is no reference pool for comparison such as the mother pool, etc., or if it could be determined that such comparison has no valuable meaning. When the delinquency and default rates, etc., are disclosed, their definitions or explanations must be specified. It is desirable to

disclose the movement of underlying balances that form the basis for such calculations.

II-12 Default rate 2 Same as above

II-13 Prepayment 2 Specify by type (partial, full), including a breakdown by

reason, if available.

II-14 Collection rate or loss rate 2 Unnecessary if the structure does not allow or expect to share any collection from loans in default

II-15 Attributes of comparable pools 3 Regional distribution, origination period, etc.

Intend to contribute to judgment on similarities and peculiarities with the underlying assets

III

III-1 Issuer 1

Name, corporate type, governing law, capital amount and details of business, outline of related business operations, capital ties, financial conditions, etc.

Unnecessary for trust beneficiary rights. For foreign companies, indicate whether or not there is a branch or a

representative in Japan

III-2 Originator 1

Name, amount of paid in capital, details of the business, outline of related business

operations, capital ties, outline of financial conditions, etc.

In the case of publicly-held companies (companies that submit securities reports, etc.), information publicly announced such as outline of financial conditions may be omitted. For non-publicly-held companies, it is desirable to periodically provide information that helps investors understand the current management status.

III-3 Servicer 1 Same as above In almost all cases, the originator and the initial servicer are the same company. Specify if such is the case.

III-4 Other major parties involved 1

Trustee, backup servicer (if originally set up), bond administrator, counterparties of derivative transactions

For each related party, a rational decision should be made about the level of information to be collected and reported while taking into consideration the role of such party and its impact on product risk.

If there is dependence on the guarantor's ability to perform, include information enabling evaluation of the credit capacity of the guarantor

III-5 Ongoing retention of risks by originator, etc. 1

Whether risks are retained on an ongoing basis by the originator, etc., name of the party

retaining risks on an ongoing basis, its role in the securitization, specific details of retention and other matters.

Matters concerning the originator and parties other than the originator that are deeply involved in the structuring of the securitized products (including clear descriptions of their attributes and roles). Should the originator retain risks on an ongoing basis, descriptions about other related parties are optional. Clearly state the form of risk retention and amount according to the structure. If the ratio of risks retained is shown, clearly show the calculation method.

IV

IV-1 Outstanding issue amount 1 Outstanding balance of each tranche Include outstanding balances for

mezzanine and subordinated classes

IV-2 Interest rate (dividend rate) 3 Base rate, margin, interest rate May be omitted if fixed interest rate

IV-3 Ratings 3 Ratings by rating agencies

IV-4 Current status of credit and liquidity

enhancements 1

Subordination rate, balances of reserve

accounts, etc. Generally included under other items

IV-5 Trigger indicators 1

Level of trigger indicators to be used as a reason for accelerated redemption, etc., at the time of observation, and whether any trigger was pulled

Disclose calculation method (when not apparent)

IV-6 Occurrence or non-occurrence of events 1

Existence of any events that would trigger accelerated redemption, cancellation of servicer, etc.

IV-7 Status for allocation of collected moneys 2

IV-8 Remaining balance of subordinated portion 2 May be omitted if it can be read from Outstanding issue amount

IV-9 Ongoing retention of risks by originator, etc. 1

Whether risks are retained on an ongoing basis by the originator, etc., name of the party

retaining risks on an ongoing basis, its role in the securitization, specific details of retention and other matters.

V

V-1 Outstanding loans related to underlying

assets 1

V-2 WAC 2 Desirable that information be updated regularly

V-3 WAM 2 Same as above

V-4 Other pool attributes 3 Same as above

V-5 Attribute distribution of loans or debtors for

underlying assets 3 Same as above

V-6 Delinquency amount and rate 1

While it is possible to calculate the rate with only the amount, in terms of

convenience, it is desirable to also include the rate; the same applies to the items below.

V-7 Default amount and rate 1

Information on Issuer and Other Legal Entities Involved (Disclosure at Issuance)

Post-Issuance Surveillance (Ongoing Disclosure)

(3)

Item

Level

Explanation

Comments

Notes

V-8 Cumulative default or incurred loss amount

and rate 1

V-9 Prepayment rate 1 Separately report total and portions

(portion disclosure is Level 2)

V-10 Collection rate or loss rate 2 Unnecessary if the structure does not allow or expect to share any collection from loans in default.

V-11 Buyback rate 1 Desirable to disclose breakdowns for each reason

Notes: 1 2 3

4 5

6

7 8

9 10

11 12 13 14 15

16 17

18

19

20

21 22

It is desirable to disclose, to the greatest extent possible, that information considered necessary for investors to perform in-depth analysis in the case where the originator, etc. does not retain risk on an ongoing basis. (III-5 and IV-9)

State the relationship with the originator and other parties related to the securitization as part of the attribute information on parties that are deeply involved in the structurng of the securitized products. (III-5 and IV-9)

State the form of risk retention, such as direct holding of interest in securitized product or indirect ownership of risk, including by means of guarantees provided. (III-5 and IV-9) Level 2 is applicable to securitized products issued prior to the amendments to the Standardized Information Reporting Package dated June 16, 2015. (III-5 and IV-9)

It is desirable to indicate the reason and basis for determining credit enhancement levels (I-5). It is desiable to indicate the number of loans at the point of observation (V-6).

When substantial deterioration is seen in the performance of loans relating to underlying assets, more detailed updates should be made of the attribute distribution of the underlying assets, etc. (V-3 to V-5, etc.).

It is desirable to disclose the attributes of loans in default and reason thereof (by long-term delinquency, bankruptcy, etc.) (V-8).

For fixed interest rate option loans, it is desirable to disclose information that helps investors understand which interest rate (in the case of fixed interest rate, also the term) was applied after the end of the fixed interest rate period (IV).

It is useful to provide not only distribution by DTI, LTV, and loan interest rate conditions, etc., but also loan-by-loan data to enable matrix analysis. It is desirable to indicate the distribution of borrowing amounts by debtors other than those from the originator (II-10).

When non-offsetting clause does not exist and debtors are thought to have opposing claims towards the originator (bank deposit if the originator is a bank, etc.), then the amounts at risk of being offset should be disclosed (IV).

It is desirable to include the number of debtors, number of loans, outstanding amounts of loans, and weighted average of the outstanding amounts (II-3).

It is desirable to disclose any information necessary for determining the N value under the rating standard method of the internal rating system of first tier of Basel II capital adequacy, such as the maximum debt amount of each debtor, etc. (II-3, V-5).

Performance information for the asset pools being used as a comparative reference should be provided by origination date, collection method, etc. (II-15). It is desirable to make available copies or contents of related agreements, such as trust agreements and servicing agreements (I-2).

Level 1: Information items considered almost indispensable in most cases. Level 2: Useful information items that are desirable to be provided and considered in most cases. Level 3: Useful information items, but with lower priority than Level 2.

When the originator/the initial servicer do not retain the subordinated portion, such fact should be included (I-6).

Along with underlying assets and comparative asset pools used as reference, differences in characteristics of assets that could cause a difference in performance, such as distinguishing self-residing housing loans and apartment/investment-purpose condominium loans, and whether or not the purpose is refinancing, should be categorized separately and reported by attributes and performance (II). It is desirable to explain the conditions for changes in interest rates and payment methods as stipulated in the underlying agreement (II).

Possible methods for attribute distribution include differentiation by LTV; DTI; occupations of debtors; income range of debtors; ages of debtors as of origination, currently, and upon expected final repayment; signing date of agreement or loan origination date; elapsed time; existence of any of bonus repayments; and various types of conditions of the loans (II-10, II-15, etc.).

(4)

Narrowly defined ABS (Securitized Products Backed by Japanese Lease and Credit Receivables, Etc.)

Item

Level

Explanation

Comments

Notes

I

I-3 Main applicable laws 1 Distinction among Japanese law, U.K. law, New York state law, etc.

I-4 Product type 1 Distinction among bonds, notes, trust_{beneficiary rights, etc.} Indicate also public offering or not, listed_{or not}

I-5 Credit and liquidity enhancement 1 Outline of the details of credit and liquidity_enhancements

Outlines of senior-subordination structure, the scheme providing credit enhancement effects, such as surplus income, etc., and the scheme providing liquidity

enhancement such as reserves, etc.

Illustrate risks (risk of damage to underlying assets, risk of collection not performed as scheduled, servicer risk, legal risk, taxation risk, concentration risk of underlying asset, etc.)

I-7 Ratings 1 Ratings by rating agencies Include information on preliminary ratings or planned rating date

I-8 Total issue amount, issue amount of each_tranche 1 Desirable to specify subordination rates along with_{tranche sizes in clearly understandable terms}

I-9 _{Issue price} 1 _{Issue price} Normally, the price per ¥100 of face value. Any other expression, however, is acceptable

Desirable to specify also interest and dividend rate calculation methods (actual days elasped/365 days, etc.)

Note conditions for deferral of payments or conditions for redemption process of principal used for dividend calculation, etc., if any

I-11 Interest payment date 1 Include treatment of corresponding payment date falling on non-business day

I-12 Final legal maturity date 1

I-13 Redemtion method 1

I-14 Planned redemption date or schedule, etc. 1 Planned redemption date (in the case of one lump sum redemption upon maturity), etc.

I-15 Forecast redemption schedule, etc. 3 Forecast redemption date, average term to maturity, etc.

Required to indicate condition precedent for calculation and explanation of model

Targeting at products with a possibility of deviating from redemption schedule

May be omitted when it has been explained as part of the planned redemption schedule and other items

II

Explanations such as whether they are installment purchases receivables and whether the Installment Sales Law applies.

II-3 Attributes of underlying asset pools 1

Outstanding credit claims and receivables, number of credit claims and receivables, and number of debtors

Add information on conditions of distributions by using suitable attribute according to the nature of receivables and special features of schemes

When there are multiple originators, it is desirable to show information for each originator

II-4 Weighted average coupon (WAC) 1 Lease receivables can be substituted with the discount rate on lease payments

Intend to provide an indication of yield on underlying assets

II-8 Underlying asset cash flow (planned) 1 Collection schedule for underlying assets (credit claims and receivables)

Underlying assets with no scheduled cashflow such as revolving loans shall be specified. May be omitted when it has been explained as part of the planned redemption schedule and other items.

rules) With multiple cases, give information on each case.

II-10

Attribute distribution of credit claims and receivables or debtors for underlying assets

1

By balances, contracted interest rates, original number of repayments (excluding revolving loans), region, attributes of debtors, etc.

Provide attribute distributions of credit claims and receivables and debtors from the perspective of risk evaluation and cash flows projection.

When there are multiple originators, it is desirable to show information for each originator

Product Information (Dislosure at Issuance)

(5)

Item

Level

Explanation

Comments

Notes

II-13 Prepayment and cancellation rate 2

II-14 Collection rate or loss rate 2

Unnecessary if the structure does not allow or expect to share any collection from credit claims and receivables in default

II-15 Attibutes of comparable pools 2 Regional distribution, origination period, etc.

Intend to contribute to judgment on similarities and peculiarity with the underlying assets

III

III-１ Issuer 1

Unnecessary for trust beneficiary rights. For foreign companies, indicate whether or not there is a branch or

representative office in Japan

III-2 Originator 1

Name, amount of paid in capital, outline of the business and related business operations, capital ties, outline of financial conditions, etc.

In the case of publicly-held companies (companies that submit securities reports, etc.), information publicly announced such as outline of financial conditions may be omitted.

Trustee, backup servicer (if originally set up), bond administrator, counterparties of derivative transactions

Whether risks are retained on an ongoing basis by the originator, etc., name of the party retaining risks on an ongoing basis, its role in the securitization, specific details of retention and other matters.

IV

IV-1 Outstanding issue amount 1 Outstanding balance of each tranche Include outstanding balances for mezzanine and subordinated classes

enhancements 1

Level of trigger indicators to be used as a reason for accelerated redemption, etc., at the time of observation and whether any trigger was pulled

Existence of any events that would trigger accelerated redemption, cancellation of servicer, etc.

IV-8 Remaining balance of subordinated portion 2 May be omitted if it can be read from outstanding issue amount

IV-9 Ongoing retention of risks by originator,

etc. 1

V

V-1 Outstanding credit claims and receivables

related to underlying assets 1

V-2 WAC 2 Can be omitted if pool composition does not change significantly

V-4 Other pool atributes 2 Same as above

V-5

Attribute distribution of credit claims and receivables or debtors for underlying assets

3

Same as above. However, should the composition of the pool change significantly, it is desirable to

appropriately collect and report information

Information on Issuer and Other Legal Entities Involved (Disclosure at Issuance)

(6)

Item

Level

Explanation

Comments

Notes

and rate 1 Can be omitted for revolving loan receivables

V-9 Prepayment rate 2

V-10 Collection rate or loss rate 2

Unnecessary if the structure does not allow or expect to share any collection from credit claims and receivables in default.

V-11 Buyback rate 1 Desirable to disclose breakdowns for each reason

Notes: 1

2

3 4

5

6

7

8

9

10 11

12

13

14

15

16

17

State the relationship with the originator and other parties related to the securitization as part of the attribute information on parties that are deeply involved in the structuring of the securitized products. (III-5 and IV-9)

State the form of risk retention, such as direct holding of interest in securitized product or indirect ownership of risk, including by means of guarantees provided. (III-5 and IV-9)

Level 2 is applicable to securitized products issued prior to the amendments to the Standardized Information Reporting Package dated June 16, 2015. (III-5 and IV-9)

For car lease receivables, it is desirable to indicate information such as having or not having maintenance contracts and different levels of residual value. If the loan receivables are shopping loans that include car loans, it is desirable to indicate whether or not they have cash advance services attached (II-10).

For claims on consumer loans, an attribute distribution for each of the following items should also be indicated; namely, annual income levels, age brackets, LE numbers, LE amount ranges, whether interest rates exceed the maximum under the Interest Rate Restriction Law, transactions periods, etc. (II-10).

It is desirable to make available copies or contents of related agreements, such as trust agreements and servicing agreements (I-2). It is desirable to indicate the number of credit claims and receivables in the pool at the point of observation (V-6).

When substantial deterioration is seen in the performance of credit claims and receivables relating to the underlying assets, more detailed updates should be made of the atribute distribution of the underlying assets, etc. (V-3 to V-5, etc,).

It is desirable to disclose the attribute of credit claims and receivables in default and reason thereof (by long-term delinquency, bankruptcy, etc.) (V-8). When the originator/the initial servicer do not retain the subordinated portion, such fact should be included (I-6).

It is desirable to indicate the reason and basis for deciding credit enhancement levels (I-5).

Regarding the credit receivables for which a consumer finance company functions as originator/servicer, it is desiable to update the number and amount of LE on a semi-annual basis (V-5).

It is desirable to include the number of debtors, number of credit claims and receivables, outstanding amount of credit claims and receivables and weighted average value of outstanding amount (II-3).

It is desirable to show mother pool performance by category; namely, origination period, collection method, debtor attributes, claim attributes, etc. (II)

(7)

CLO (Securitized Products Backed by Corporate Loans, Etc.)

Item

Level

Explanation

Comments

Notes

I

I-3 Main applicable laws 1 Distinction among Japanese law, U.K. law,_{New York state law, etc.}

I-4 Product type 1 Distinction among bonds, notes, trust beneficiary rights, etc.

Indicate public offering or not, listed or not

I-5 Credit and liquidity enhancement 1 Outline of the details of credit and liquidity enhancements

Outlines of senior-subordination structure, the scheme providing credit enhancement effects such as surplus income, etc., and the scheme providing liquidity enhancement such as reserves, etc.

Illustration of risk (risk of damage to underlying assets, risk of collection not performed as scheduled, servicer risk, legal risk, taxation risk, asset pool concentration risk, model risk (in the case of using PD prediction model, etc., the risk related to using the model, etc.))

If an agreement on offsetting prohibition is not in place, it is probably necessary to explain the existence of offset risk and what method is to be used to mitigate the said risk

I-7 Ratings 1 Ratings by rating agencies Include information on preliminary ratings or planned rating date

I-8 Total issue amount, issue amount of each tranche

1 Desirable to specify subordination rates along with tranche sizes in clearly understandable terms.

I-9 _{Issue price} 1 _{Issue price} Normally, the price per ¥100 of face value. Any other expression, however, is acceptable.

Desirable to specify also interest and dividend rate calculation methods (actual days elasped /365 days, etc.)

I-11 Interest payment date 1 Include treatment of corresponding payment date falling on non-business day

I-12 Final legal maturity date 1

I-13 Redemption method 1

I-14 Planned redemption date or schedule, etc. 1 Planned redemption date (in the case of one_{lump sum redemption upon maturity), etc.}

I-15 Forecast redemption schedule, etc. 3 Forecast redemption date, average term to

maturity, etc. Indicate also condition precedent for calculation

Targeting at products with a possibility of deviating from redemption schedule

II

II-3 Attributes of underlying asset pools 1 Outstanding loans, number of loans, and number of debtors

Add information on conditions of distributions by using suitable attributes according to the nature of receivables and special features of schemes

II-4 Weighted average coupon (WAC) 1 Intend to provide an indication of yield on underlying assets

II-8 Underlying asset cash flow (planned) 1 Collection schedule for underlying assets (loans)

rules) With multiple cases, give information on each case

II-10 Attribute distribution of loans or debtors for

underlying assets 1

By balances, contracted interest rates, original number of repayments (excluding revolving loans), region, attribute of debtors, etc.

Provide attribute distributions of loans and debtors from the perspective of risk evaluation and cash flows

projection

It is probably common to indicate by internal ratings, credit rankings, and predicted default rates

Product Information (Disclosure at Issuance)

(8)

Item

Level

Explanation

Comments

Notes

II-13 Prepayment and cancellation rate 2

II-14 Collection rate or loss rate 2

II-15 Attributes of comparable pools 3 Regional allocation, origination period, etc.

Intend to contribute to judgment on similarities and peculiarities of underlying assets

III

III-1 Issuer 1

Unnecessary for trust beneficiary rights. For foreign companies, indicate whether or not there is a branch or a

representative in Japan

III-2 Originator 1

Name, amount of paid in capital, outline of the business and related business operations, capital ties, outline of financial conditions, etc.

For balance sheet-type CLOs for which the originator is a financial institution, there should be a clear

explanation of the relationship between the departments or sections involved in the origination (loan or purchase) and the departments or sections involved with the

securitization.

In the case of publicly-held companies (companies that submit securities reports, etc.), information publicly announced such as outline of financial conditions may be omitted.

Trustee, backup servicer (if originally set up), bond administrator, counterparties of derivative transactions, collateral manager (asset

manager) in case of managed type products

IV

IV-1 Outstanding issue amount 1 Outstanding balance of each tranche Include outstanding balances for mezzanine and subordinated classes

enhancements 1

Level of trigger indicators to be used as a reason for accelerated redemption, etc., at the time of observation and whether any trigger events was pulled

Existence of any events that would trigger accelerated redemption, or cancellation of servicer, etc.

IV-8 Remaining balance of subordinated portion 2 May be omitted if it can be read from Outstanding issue amount

IV-9 Ongoing retention of risks by originator,

etc. 1

Whether risks are retained on an ongoing basis by the originator, etc., name of the party retaining risks on an ongoing basis, its role in the securitization, specific details of retention, and other matters.

V

V-1 Outstanding loans related to underlying

assets 1

V-2 WAC 2 Can be omitted if pool composition does not change significantly

V-4 Other pool attributes 2 Same as above

V-5 Attribute distribution of loans or debtors for

underlying assets 3

Same as above. However, should the composition of the pool change significantly, it is desirable to

appropriately collect and report information

Issuer and Other Legal Entities Involved (Disclosure at Issuance)

(9)

Item

Level

Explanation

Comments

Notes

and rate 1

V-9 Prepayment rate 1

V-10 Collection rate or loss rate 2 Unnecessary if the structure does not allow or expect to share any collection from loans in default

Notes: 1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

Level 1: Information items considered almost indispensable in most cases. Level 2: Useful information items that are disirable to be provided and considered in most cases. Level 3: Useful information items, but with lower priority than Level 2.

When the originator/the initial servicer do not retain the subordinated portion, such fact should be included (I-6).

For offering type products, it should be indicated that they are offerings, and description should be included on a summary of the said offering (II-2).

It is desirable to include the number of debtors, number of loans, outstanding amount of loans, and weighted average value of the outstanding amount (II-3).

When indicating distributions by predicted default rates determined by a model, it is probably necessary to explain the model (II-10)

It is desirable to show, in a separate category, attribute distributions of mother pool performance and underlying assets for which performance, etc., is judged notably different (II).

State the relationship with the originator and other parties related to the securitization as part of the attribute information on parties that are deeply involved in the structuring of the securitized products. (III-5 and IV-9)

State the form of risk retention, such as direct holding of interest in securitized product and indirect ownership of risk, including by means of guarantees provided. (III-5 and IV-9)

Level 2 is applicable to securitized products issued prior to the amendments to the Standardized Information Reporting Package dated June 16, 2015. (III-5 and IV-9) It is desirable to make available copies or contents of related agreements, such as trust agreements and servicing agreements (I-2).

It is desirable to indicate the reason and basis for determining credit enhancement levels (I-5).

It is desirable to indicate the number of loans in the pool at the point of observation (V-6).

If loans, etc., are outstanding to existing clients, it is desirable to indicate the distributions by categories based on the number of years of business relationship, etc., with originator (II-10).

When substantial deterioration is seen in the performance of loans relating to the underlying assets, more detailed updates should be made of the attribute distoribution of the underlying assets, etc. (V-3 to V-5, etc.,).

(10)

CMBS (Securitized Products Backed by Japanese Commercial Real Estate Loans)

Level

Explanation

Comments

Notes

A-1 Product Information (Disclosure at Issuance)

A-1-1 1 Specific name that identifies the CMBS

A-1-2 1 Structure diagram, outlines of details of transactions and contracts between parties concerned

A-1-3 1 Japanese law, U.K. law, New York State law, etc., that apply to CMBSs

May be omitted when clearly falling under Japanese law

A-1-4 1 Corporate bonds, notes, and trust beneficiary rights, etc., by type of CMBS as defined by law

A-1-5 1

Outline of credit and liquidity enhancement (Items such as

preferred and subordinated structure, reserves, only those which can actually be expressed)

A-1-6 1 Rating agency names and ratings for each tranche

A-1-7 1 Issuance total, issue amount of each tranche upon issuance of CMBS

A-1-8 Issue price 1 CMBS issue price

A-1-9 1 Interest rate and planned dividend rate for each tranche It is desirable to indicate the calculation methods for interest and dividends

A-1-10 1

CMBS interest payment date. On a quarterly basis. For example, indicate as 5th of Jan., Apr., Jul., and Oct. (if it falls on a holiday, the following/preceding business day)

A-1-11 1 Final legal maturity date for CMBS

A-1-12 1 Expected redemption method. For example, indicate such as balloon, or one lump sum payment of principal on due date.

A-1-13 1 Planned redemption date for CMBS

A-1-14 1

Report life as the period from CMBS issue date to planned redemption date (for example, 3.54 years [Annual interest calculations done on a 360-day basis (or a 365-day basis)]

Indication of interest rate calculation base may be omitted if explained in some other item

A-1-15 1 Issue date of CMBS

A-1-16 1 Names of arrangers, underwriters and distributors

A-2 Asset Management Information (Disclosure at Issuance) Note: Information for this item is stated in B-1, B-2, B-5, and C-1.

A-3 Information on Issuer and Other Legal Entities Involved (Disclosure at Issuance)

A-3-1 1 Name of originator of underlying assets

When TMKs or trusts that hold real estate (including trust beneficiary rights backed by real estate as trust assets) issue CMBSs, names are not necessary because the assets do not fall under the concept of "underlying assets"

A-3-2 1 Name of servicer of underlying assets

A-3-3 1 Name of the issuer of CMBS, type of company, laws applying to establishment.

A-3-4 1 Trustee, backup servicer (if originally set up), bond administration company, counterparties of derivative transactions, sponsor

A-3-5 1

Whether risks are retained on an ongoing basis by the originator, etc., name of the party retaining risks on an ongoing basis, its role in the securitization, specific details of retention, and other matters.

A-4 Bond Level Information (Ongoing Disclosure) Note: CMBS level information. Trust beneficiary rights and ABL also reported as "bonds"

A-4-1 1 Specific number for the trust account, such as a trust contract number, if any.

Provide basic information specifying the reported bond

A-4-2 1 Date of the report

A-4-3 1 Distribution date for CMBS

A-4-4 1 Calculation period for the CMBS distribution amount (the period used for the calculation of distribution amount)

A-4-5 1 Actual number of days for the Calculation period (number of days used for calculation of distribution amount)

A-4-6 Details of Issuer's Collection

Principal amount collected during the relevant collection period

2 Principal collection amount (received by issuer) during the relevant collection period in relevant calculation period for CMBS.

Actual number of days in calculation period Issuer

Other major parties involved

Contract ID number

Reporting date

Distribution date

Calculation period

Ongoing retention of risks by originator, etc. Planned redemption date

Planned redemption period (Weighted Average Life)

Issue date

Arrangers, underwriters and distributors

Originator

Servicer Ratings

Total issue amount, issue amount of each tranche

Interest rate and planned dividend rate

Interest payment date

Final legal maturity date

Redemption method

Item

Product name

Basic structure

Main applicable laws

Product type

(11)

Level

Explanation

Comments

Notes

Item

Deferred (accrued) principal amount from preceding calculation period

2

Fractional principal amounts arising from the calculation method on the preceding distribution date that are deferred (accrued) to the relevant calculation period

Interest amount collected during the relevant collection period

2 Interest collection amount (received by issuer) during the relevant collection period in the relevant calculation period for CMBS.

Deferred (accrued) interest, etc. from preceding calculation period

2

Fractional interest amounts arising from calculation method on the preceding distribution date that are deferred (accrued ) to the relevant calculation period.

Derivatives-related

amounts received 2

Amount received (by issuer) during the relevant calculation period for CMBS, regarding derivatives for which CMBS issuer is the counterparty (interest rate swaps and interest rate caps)

Other amounts received 2 Other amounts received (by issuer) during the relevant calculation period for CMBS

Total amount received 2 Total collection amount available (sum of the above amounts)

A-4-7 Details of Issuer's

Expense Paid Taxes and dues 2

Tax and dues amount (paid by issuer) during the relevant payment period in relevant calculation period for CMBS.

Servicer fee and

expenses 2

Servicer (including special servicer and backup servicer) fee and expenses (paid by issuer) during the relevant payment period in relevant calculation period for CMBS.

Trustee fee and

expenses 2

Trustee fee (paid by issuer) and expenses during the relevant payment period in relevant calculation period for CMBS.

Other fees and

expenses 2

Other fees and expenses paid (by issuer) to other service vendors (if any) during the relevant payment period in relevant calculation period for CMBS.

Issuer's expenses for entrustment of

administration

2

Administration fee and expenses such as auditing fees, etc. (paid by issuer) during the relevant payment period in relevant

calculation period for CMBS.

Derivatives-related

amounts paid 2

Amount paid (by issuer) during the relevant calculation period for CMBS, regarding derivatives for which CMBS issuer is the

counterparty (interest rate swaps and interest rate caps)

Account maintenance

fees 2

Account maintenance fees paid (by issuer) during the relevant payment period in relevant calculation period for CMBS.

Other expenses 2 Other expenses paid by the issuer during the said payment calculation period for CMBS

Amounts deferred (accrued) to following calculation period

2

Amount accrued (deferred) of expenses (paid by issuer) during the relevant payment period, but excluded in the relevant calculation period and to be accrued to following calculation period

Total expenses paid

and accrued (deferred) 2

Total expense amounts paid and accrued (deferred) (sum of the above amounts)

A-4-8 Outstanding balance

of bonds at issuance 1 CMBS balances at bond issuance. State in each tranche

A-4-9

Outstanding balance of bonds at the end of preceding

calculation period

1 Outstanding balance of CMBS at the end of preceding calculation period. State in each tranche

A-4-10 Number of bond units 1 Number of bond units, State in each tranche

A-4-11 Bond interest

payment By type of interest rate 1

Types of interest rate (on CMBS). State floating or fixed rate in each tranche

Actual number of days

in calculation period 1

Actual number of days in the relevant calculation period. State in each tranche

Base rate 1 Base rate applied in the relevant calculation period in case the type of interest rate is floating. State in each tranche

Spread 1 Spread applied in the relevant calculation period in case the type of interest rate is floating. State in each tranche

Expected interest rate 2

(12)

Level

Explanation

Comments

Notes

Item

Interest due amounts on Bond (per unit) 2

Interest due per unit on the relevant distribution date. State in each tranche

Interest due amounts on

Bond 1

Interest due per tranche payable on the relevant distribution date. State in each tranche

Interest due and unpaid 1

(13)

Level

Explanation

Comments

Notes

Item

A-4-12 Bond principal redemption

Principal redemption

amount 1

Principal redemption amount allocated to each tranche according to waterfall on the relevant distribution date. State in each tranche.

Principal redemption

amount per unit 2

Principal redemption amount payable to each tranche on the relevant distribution date. State in each tranche

Redemption amount 1 Total redemption amounts payable to each tranche on the relevant distribution date. State in each tranche.

Ending principal balance after redemption

1 Ending principal balance of each tranche after redemption on the relevant distribution date. State in each tranche

Planned redemption

date 2

Planned redemption date of each tranche of CMBS. State in each tranche.

A-4-13 Reserves Status

Ending reserve balance at the preceding

calculation period

2 Ending reserve balance at the preceding calculation period. State in each type of reserve.

Amount Increased during the relevant period

2 Amount increased in reserve a/c during the relevant calculation period. State in each type of reserve.

Amount decreased during the relevant period

2 Amount decreased in reserve a/c during the relevant calculation period. State in each type of reserve.

Withdrawal upon

distribution (reduction) 2

Distribution withdrawal on relevant distribution date. State in each type of reserve.

Cash injection (Deposit) upon distribution

(increase)

2 Cash injection (Deposit) on relevant distribution date. State in each type of reserve

Ending reserve balance 2

Ending reserve balance at the relevant calculation period (including amount increased/decreased on the distribution date). State in each type of reserve

A-4-14 Trigger check Yes/no 1 Indicate if any trigger has been pulled at the CMBS level, and if so, indicate details of the trigger and which event it arises from

A-4-15 1

Whether risks are retained on an ongoing basis by the originator, etc., name of the party retaining risks on an ongoing basis, its role in the securitization, details of retention, and other matters.

B-1

B-1-1 1 The ID number used in the prospectus for the loan. Provide as basic information to identify the loan subject to reporting.

B-1-2 1 Name of borrower of underlying loan

B-1-3 1 Implementation date for underlying loan (In the case of a TMK bond as the underlying asset, issue date of the said TMK bond)

B-1-4 1 Planned maturity or redemption date given in contract for underlying loan

B-1-5 1

Final maturity or redemption date given in contract for underlying loan. If a tail period has been included in the contract for the underlying loan, indicate the final maturity

B-1-6 1 The cutoff date for the underlying loans in CMBS

B-1-7 2

Final date on which contracted repayments of principal or interest were made on the underlying loan during the payment collection period corresponding with the CMBS distribution calculation period for the underlying loan. When reporting the issue of a paid through date, the contracted principal and interest repayment date

immediately before the cutoff date

B-1-8 Outstanding balance of loans

Original balance of

loans 2 Balance upon implementation of underlying loan Balance of loans at

cutoff date 1 Balance of underlying loan at cutoff date

Current balance of

loans 1

Balance of underlying loans on last day of payment collection period corresponding with the CMBS distribution period for the underlying loan (If repayment is being made on the same day, the balance after the repayment)

If there are changes in realization of losses, (prepayments related to next distribution calculation period, etc.) on or after the last day of the payment collection period noted on the left, it is necessary to consider how those changes should be indicated

Balloon payment balance on planned maturity date

1

Balloon payment balance on planned maturity date for underlying loan. If there was partial prepayment, state amount after

recalculation. Final maturity date (final redemption date)

Cutoff date

Preceding payment date

Basic Information on Underlying Loans (Disclosure at Issuance and Ongoing Disclosure)

Note: If there are multiple underlying loans, state for each underlying loans. If underlying loans is a TMK bond, substitute "TMK" for "underlying loans" in the following explanation. Items that have not changed may be omitted in ongoing disclosure. When underlying loans are linked to other loans in cross default or subordinated loans, provide the information necessary to analyze those loans in cross default or subordinated loans.

Loan ID number

Borrower

Implementation date

Planned maturity date (planned redemption date)

(14)

Level

Explanation

Comments

Notes

Item

B-1-9 Interest By type of interest rate 1 By type of interest rate for underlying loan, State by floating and fixed interest rates for each tranche

Payment frequency 1

Interest payment frequency for underlying loan that shall be described as follows: "On a quarterly basis. As 5th of Jan., Apr., Jul., and Oct. (if it falls on a non-business day, the prior/following business day)"

Fixed interest rate 1

For fixed interest rates, state applicable interest rate for the

underlying loan during payment collection period for underlying loan responding to the distribution calculation period

Only for fixed interest rates

Swap involved at borrower level (Y or N)

2 For fixed interest rates, state whether or not there is an interest rate swap for which the borrower of the underlying loan is a party

Interest rate swap

counterparty 2

For fixed interest rates, state the name of the counterparty for the interest rate swap for which the borrower of the underlying loan is a party

By types of base rate for floating interest rates 1

For floating interest rates, state the different types of base rates

(3-month Yen LIBOR, etc.) of the underlying loan. Only for floating interest rates

Spread 1 For floating interest rates, the spread of the underlying loan.

Interest rate cap (Y or

N) 1

For floating interest rates, state whether or not there is a interest rate cap agreement for which the borrower of the underlying loan is the main party

Interest rate cap

provider 2

For floating interest rates, state the name of the provider of the interest rate cap agreement for which the borrower of the underlying loan is the main party

Interest rate cap strike

price 1

For floating interest rates, state the strike price for the interest rate cap agreement for which the borrower of the underlying loan is the main party

B-1-10 1

Whether or not the principal of the underlying loan is amortizing and by which type (average principal repayment, average principal & interest repayment, etc.)

B-1-11 2

Total contracted principal and interest payments during payment collection period for underlying loan coinciding with the distribution calculation period

If principal and interest payments change, relevant distribution calculation period shall be mentioned. (e.g., current distribution

calculation period, following distribution calculation period, etc.)

B-1-12 1 Name of the asset management company relating to borrower of underlying loan

B-1-13 1

State type of the license that the asset manager of underlying loan owns (distinction between investment management business, and investment advisory business)

B-1-14 1 Name of the backup asset management company relating to borrower of underlying loan

B-1-15 1

State type of the license that the backup asset manager of

underlying loan owns (distinction between investment management business, investment advisory business)

B-1-16 LTV (%) As of cutoff date 1

LTV of underlying loan as of cutoff date. Even if the valuation amount has changed, the valuation amount used for the LTV calculation at the time of initial disclosure shall be used.

As of report date 1 LTV at the said report date. If the valuation amount has changed, the valuation amount after change shall be used.

As of planned maturity

date 1

LTV at the said planned maturity date. If the valuation amount has changed, the valuation amount after change shall be used.

B-1-17 Collateral valuation Valuation amount type 1

The types of valuation used at point of reporting or planned maturity date (e.g., appraisal report, valuations by rating agencies, AM valuations, arranger valuations, etc.)

As of valuation date 1

As of reporting, and as of valuation for the valuation amount used at the point of reporting or planned maturity date (e.g., appraisal report, valuations by rating agencies, AM valuations, arranger valuations, etc.)

B-2 Performance of Underlying Loans

(Disclosure at Issuance and Ongoing Disclosure)

B-2-1

1 The ID number used in the prospectus for the loan. Provide as basic information to identify the loan subject to reporting

B-2-2

1 Name of borrower of underlying loan B-2-3 DSCR DSCR based on actual

principal and interest payment

2 DSCR based on actual contracted principal and interest amount

DSCR used in cash trap clauses, etc. 2

If DSCRs are being used as cash trap reserve or fast-pay triggers in the contract of the underlying loan, the DSCRs used in the calculations

Refi. Constant can be substituted for actual principal and interest payments

Period subject to cash

flow calculations 2 Cash flow calculations period used for above DSCR calculations

Because the cash flow report based on the AM precede principal and interest payments, the period used for principal and interest

calculations will not necessarily match that of the cash flow calculation period

Basis for DSCR

calculation 2 Basis for above DSCR calculation B-2-4 Occurrence (or not)

of trigger events Existence of cash trap

trigger (Y or N) 2

Status of trigger event regarding cash trap clauses in underlying loan contract. Make clear explanation on the occurrence of the event, if any.

Borrower

Type of asset manager license

Backup asset manager

Type of backup asset manager license

Basically, information at time of issue; if revised report is obtained, information shall be

updated.

Loan ID number

Principal amortization and type (Y or N) (average principal., average principal & interest, and others)

Total contracted principal and interest payments

(15)

Level

Explanation

Comments

Notes

Item

Existence of fast-pay

trigger (Y or N) 2

Status of trigger event regarding fast-pay clauses in the contract of underlying loan. Make clear explanation on the event that has occured, if any.

Existence of special

item reports (Y or N) 2

State whether or not the said underlying loan is subject to B-3 (1) or (2) reports

B-3(1) Special Items Report (Ongoing Disclosure on Loans subject to Reporting)

B-3(1)-1 Loan ID number 1 The ID number used in the prospectus for the loan Provide as basic information to identify the loan subject to reporting

B-3(1)-2 Borrower 1 Name of borrower of underlying loan

B-3(1)-3 1

Balance of loan on last day of payment collection period corresponding with the said CMBS distribution period for the underlying loan (If repayment is being made on the same day, the balance after the repayment. Including cases where the early repayments is determined for the underlying loan but no early repayments were made during the payment collection period of the underlying loan that corresponds with the distribution period of the said CMBS)

B-3(1)-4 Prepayment amount 1

Prepayments amounts other than those scheduled in the underlying loan contract (voluntary early repayment, early repayment on sale of property, fast-pay, etc.)

Planned prepayment

date 1

Date on which early repayment is made (including cases where the early repayments may be determined for the underlying loan but no early repayments were made during the payment collection period of the underlying loan that corresponds with the distribution period of the said CMBS)

Prepayment details 2 Reason for early repayment (sale of property, refinance, insurance related incident).

B-3(1)-5 Report on property

sales Property ID number 1 The ID number used in the prospectus for the property sold

Property name 1 The name used in the prospectus for the property sold

Property type 2 The type of property sold

Location 2 The location of the property sold

Planned sales date 2 The cash settlement date for the property sold

Gross sales price 2 The property sale amount stated in the sales contract for the said property (indicate whether net of consumption tax or not)

Regarding the disclosure of sales prices for individual properties, only in cases the borrowers approve

Gross sales price/

valuation amount 2

The property sale amount stated in the sales contract for the said property divided by the valuation amount given in B-1.

Net sales price 2

Of the property sale amount indicated in the sales contract for the said property, the amount that can be applied to payment of the underlying loan after the deduction of various expenses, etc.

Regarding the disclosure of sales prices for individual properties, only in cases the borrowers approve.

Net sales price/ release

price 2 The above net sales prices divided by the related release prices.

Planned principal

repayment date 1

The date of repayment of principal using proceeds from the said sale

Principal repayment

amount 1

Amount to be used for repaying principal from proceeds of the said sale

B-3(1)-6 Date of change 1 Date of changes in contract related to underlying loan (Basically, the date of revised contract)

Details of change 1 Details of changes in contract related to underlying loan

B-3(1)-7 Report on other

significant events Date of occurrence 2

Dates of occurrence of changes in parties involved and other events that are considered to have a substantial impact on the cash flow or value of collateralized properties or the collection of underlying loans (When date of occurrence is unknown, the date on which the event was first known to the servicer)

Details of significant

events 2

Other events such as changes in parties involved and those that are considered to have a substantial impact on the cash flow or value of collateralized properties or the collection of underlying loans (excluding events subject to watch list).

B-3(2) Watch List (Ongoing Disclosure on Loans subject to Reporting)

B-3(2)-1 Loan ID number 1 The ID number used in the prospectus for the loan. Provide as basic information to identify the loan subject to reporting.

B-3(2)-2 Borrower 1 Name of borrower of underlying loan

B-3(2)-3 1

Balance of loan on last day of payment collection period corresponding to the said CMBS distribution period for the

underlying loan(If repayment is being made on the same day, the balance after the repayment. Including cases where the early repayments are decided for the underlying loan but no early

repayments were made during the payment collection period of the underlying loan that corresponds with the distribution period of the Current balance of loan

Report on early repayments other than scheduled payments

Report on changes in loan-related

agreements