Japan's most prolific securitizer, Orico Corp., was back in the domestic markets recently with its fifth securitization of so-called shopping loans.

The domestic deal, which ultimately comes via a Cayman Islands special purpose company called Orico Shop Taurus, was worth 30.5 billion ($281 million) and was split into five tranches, all of which were rated triple-A by Standard & Poor's and Moody's Investors Service. DKB Securities acted as arranger.

The notes are backed by an initial eligible pool of consumer loans extended to purchasers of various goods and services and worth 37.5 billion. All the notes have a February 2005 final maturity, but are structured as bullets with staggered expected redemption dates.

The 12 billion A tranche, which has a 0.57% coupon, is expected to be redeemed in August 2002; the 7.5 billion B tranche, has a 0.68% coupon, and a redemption date of February 2003; the 4.5 billion C tranche, pays 0.795% and is due in August 2003; the D tranche is worth 3.5 billion, pays 0.905% and is expected to be repaid in February 2004; and, finally, the E piece is worth 3 billion, pays 1.02% and has an expected redemption date of August 2004.

To make these staggered payments possible, the deal uses an initial revolving period followed by an amortization period. During the revolving period, which is expected to end in the eighteenth month after closing, the principal payments will be used to purchase additional receivables from the issuer.

There are, however, certain trigger events put in place by the rating agencies that will see the deal go into early passthrough amortization if they are breached.

Credit enhancement comes from a retained subordinated piece, plus a fully funded reserve account initially worth 475 million, according to Moody's.

A DKB syndicate official said that the deal was placed with a wide variety of investors. Corporates and banks took up the shorter-dated paper, with life and non-life insurers looking to the longer end. The deal was oversubscribed by launch.

The official added that one reason for investors being so keen on the transaction is Orico's commitment to disclosing information on the performance on the underlying pool on Bloomberg and other sites, something that is still relatively unusual in the Japanese market.

Single-B rated Orico Corp. is the most active securitizer in Japan and has also issued five cross-border transactions in the Oscar Funding series. The sixth Oscar deal is expected to be in the international markets around late August/early September, via DKB International.

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