One of Japan's most frequent visitors to the securitization market, Orico Corp., is preparing yet another deal, this time backed by auto loans.

The 34.4 billion ($310 million) transaction, called Oracle Gamma, will securitize a portfolio of around 31,500 loans originated by the company. Orico will service the loans itself and has brought in Mizuho Bank to structure the transaction.

The principal value of the underlying pool is just over 40 billion. The weighted average life of the loans is 2.2 years, and the loans themselves carry an average coupon of 8%.

The transaction will be split into eight bullet tranches, all rated Aaa by Moody's Investors Service. Although legal maturity for all the tranches is 2005, the deal is structured in such a way that early redemption will be possible for tranches A and B in 2001, C and D in 2002, E and F in 2003 and G and H for 2004.

Credit enhancement of 14% will come from subordination on the notes, excess spread and a cash reserve held by the issuer.

Orico last came to market in August with a 30.5 billion deal backed by consumer loans (ASRI 8/14/2000 p.6). It was arranged by DKB Securities and included 12 billion of triple-A notes that carried a 0.57% coupon.

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