The deal is the latest in a series of Japanese synthetic balance sheet deals in the last few months, as the country's ailing banks looks to shore up dwindling capital levels ahead of the March fiscal year-end. Last September, Mizuho Corporate Bank launched a ¥1.265 trillion synthetic balance sheet CLO, while Sumitomo Mitsui Banking Corporation followed suit in December with a ¥500 billion deal.
As part of the transaction, special purpose vehicle Ruby Capital One will issue four classes of credit-linked notes and a super senior credit default swap maturing in December 2005. The ¥840 billion super senior tranche has received a prospective rating of Aaa from Moody’s Investors Service. The ¥87 billion of Class A notes are rated Aaa, the ¥19 billion of Class B notes are rated Aa2, the ¥11 billion of Class C notes are rated A1, and the ¥20 billion of Class D notes are rated Baa3.