Shinsei Bank Ltd. is tapping the Japanese market once again with Shinsei Funding Four, a collateralized loan obligation, from which the market can expect to see the bank's eighth, ninth, tenth, and eleventh series of CLO transactions funded.

The notes are backed by a pool of loans to large and midsize corporations and municipalities in Japan that have been originated or purchased by Shinsei Bank. This deal features a master trust structure that is said to provide a new dynamic credit structure and bullet-maturity repayments assured via aggregate maturity allocation percentage (AMAP) technology. The legal and capital structures are similar to the bank's previous transactions.

There are currently 1.134 trillion (U.S.$8.85 billion) loans in the master trust and at the moment it has the ability to issue about 645 billion (U.S. $5 billion). Credit enhancement is provided by synthetic credit risk allocation; subordination of the B class notes and the C class notes provides excess spread. Additionally, the strict rules governing the existing and future loans transferred to the Master Trust ensure that investors are protected from portfolio migration.

The CLO also features a reserve account and series-level early-amortization triggers to preserve principal. And, contrary to other CLOs whereby over-concentration limits are based on portfolio characteristics at the time the loans are entrusted, Shinsei Funding Four offers dynamic over concentration limits that are based on portfolio characteristics over various periods of time.

Standard & Poor's assigned preliminary triple-A ratings to the CLO. According to some market sources, last year's Shinsei Fundings deal was helpful in establishing a new securitization landscape for this year. The 1.437 trillion (U.S. $11.215 billion) transaction, led by Nikko Salomon Smith Barney of Tokyo, (see ASR 11/26/01 and ASR 1/2/02) was the first deal to go further than any other in Japan's market history with regard to the level of disclosure. Additionally, it was the first public CLO to employ the recently established idea of a master trust.

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