S&P Assigns Rtgs to Daiwa Bank's Series 2 Japan RMBS.

Business Editors

TOKYO--(BUSINESS WIRE)--Standard & Poor's

Nov. 13, 2002--Standard & Poor's Ratings Services said today that it had assigned its ratings to Trust Maison Two Special Purpose Co.'s JPY30.06 billion floating- and fixed-rate notes, classes A1 through C due November 2032 (see list below).

The notes are ultimately backed by a pool of residential mortgages originated by Daiwa Bank Ltd.

The ratings address the full and timely payment of interest and the ultimate repayment of principal by the legal final maturity date of November 2032 for note classes A1 and A2, and the ultimate payment of interest and principal by the legal final maturity date of November 2032 for classes B and C.

The ratings are based on:

-- Credit support for each class of notes in the form of overcollateralization sufficient to cover credit risk associated with the underlying receivables;

-- A liquidity reserve sufficient to cover four months of interest payments on each class of notes;

-- An expense reserve maintained at the trust level sufficient to cover transaction costs;

-- A negative spread reserve sufficient to cover negative carry risk between the short-term prime lending rate or the fixed rate of interest applied to the loans and the LIBOR-based floating- or fixed-rate of interest paid on the notes;

-- A pass-though structure, in which principal collected on the receivables will be passed through to redeem the rated notes, starting with the class A1 notes;

-- The establishment of rigorous accelerated amortization trigger events related to both the status of Daiwa Bank and the mortgage pool, the occurrence of which will cause all excess yield to be used to redeem principal on the rated notes;

-- Geographic diversification of the assets backing the mortgage pool across the whole of Japan, thus limiting the transaction's exposure to risks related to earthquakes and other natural disasters; and

-- The expectation that it will be possible to find a backup servicer within a reasonable time frame should the need arise, given the awareness among Japanese financial institutions of the merits of providing servicing operations for housing loan portfolios.

Furthermore, additional credit support for the transaction is available through subrogation funds provided by a guarantee company. However, Standard & Poor's did not give credit to this factor as part of its analysis.

The notes are ultimately backed by a pool of residential mortgages worth about JPY36.24 billion originated by Daiwa Bank, which was transferred to Trust Maison Two, a bankruptcy-remote special-purpose company established in Japan under the Asset Securitization Law. Trust Maison Two entrusted the mortgage pool to a trust created with Daiwa Bank in exchange for beneficial interests, and then issued the Euroyen notes using the beneficial interests as collateral. Trust Maison Two financed the purchase of the residential mortgage receivables using the proceeds from the sale of the rated notes.

RATINGS ASSIGNED

Trust Maison Two Special Purpose Co. mortgage-backed floating- and fixed-rate notes due November 2032.

Class                        Amount                     Rating
A1-1                         JPY20 bil.                   AAA
A1-2                         JPY2.0 bil.                  AAA
A2-1                         JPY4.3 bil.                  AAA
A2-2                         JPY1.5 bil.                  AAA
B                            JPY1.5 bil.                  A
C                            JPY0.76 bil.                 BBB