London, 01 July 2015 -- Moody's Investors Service has confirmed the ratings on the following notes
issued by Aquarius + Investments plc:
Issuer: Aquarius + Investments Plc Axiom Series 1
....US$10M Class AU-10 100%
Principal Protection due 2016 Notes, Confirmed at Aa3 (sf);
previously on Mar 20, 2015 Aa3 (sf) Placed Under Review for Possible
Upgrade
....US$25M Tranche 2 Class AU-10k
100% Principal Protection Notes due 2016, Confirmed at Aa3
(sf); previously on Mar 20, 2015 Aa3 (sf) Placed Under Review
for Possible Upgrade
....US$40M Tranche 2 Class AU-10k
100% Principal Protection Notes due 2016, Confirmed at Aa3
(sf); previously on Mar 20, 2015 Aa3 (sf) Placed Under Review
for Possible Upgrade
....EUR123M Class BE-10 100%
Principal Protection due 2016 Notes, Confirmed at Aa3 (sf);
previously on Mar 20, 2015 Aa3 (sf) Placed Under Review for Possible
Upgrade
....EUR7.2M Tranche 2 Class BE-10
100% Principal Protection due 2016 Notes, Confirmed at Aa3
(sf); previously on Mar 20, 2015 Aa3 (sf) Placed Under Review
for Possible Upgrade
Issuer: Aquarius + Investments plc. Azur
....SwFr66.3M Class CC-10 100%
Principal Protection due 2017 Notes, Confirmed at Aa3 (sf);
previously on Mar 20, 2015 Aa3 (sf) Placed Under Review for Possible
Upgrade
....EUR61.2M Class CE-10 100%
Principal Protection due 2017 Notes, Confirmed at Aa3 (sf);
previously on Mar 20, 2015 Aa3 (sf) Placed Under Review for Possible
Upgrade
....EUR18M Class DE-10 100%
Principal Protection due 2017 Notes, Confirmed at Aa3 (sf);
previously on Mar 20, 2015 Aa3 (sf) Placed Under Review for Possible
Upgrade
Issuer: Aquarius + Investments plc Danske Notes
....EUR40M Class E-10 100% Principal
Protection Notes due 2017, Confirmed at Aa3 (sf); previously
on Mar 20, 2015 Aa3 (sf) Placed Under Review for Possible Upgrade
Issuer: Aquarius + Investments Plc - Series Dynamo 1
....EUR245M Class 3C Notes, Confirmed
at Aa3 (sf); previously on Mar 20, 2015 Aa3 (sf) Placed Under
Review for Possible Upgrade
Issuer: Aquarius + Investments Plc - Dynamo Series 2
DPPN
....EUR32.5M Class 3AE Notes,
Confirmed at Aa3 (sf); previously on Mar 20, 2015 Aa3 (sf)
Placed Under Review for Possible Upgrade
....JpnY3000M Class 4CJ Notes, Confirmed
at Aa3 (sf); previously on Mar 20, 2015 Aa3 (sf) Placed Under
Review for Possible Upgrade
Issuer: Aquarius + Investments PLC Credit Strategy Principal
Protected Notes
....EUR5M Series 2 Class E Credit Strategy
Principal Protected Notes due 2015, Confirmed at A1 (sf); previously
on Mar 20, 2015 A1 (sf) Placed Under Review for Possible Upgrade
RATINGS RATIONALE
Moody's explained that the rating actions taken today are the result of
the affirmation of the senior unsecured rating of BNP Paribas on 28 May
2015. For further information on the underlying action see the
press release titled "Moody's concludes reviews on 13 global
investment banks' ratings" on www.moody.com.
Moody's assumes a strong linkage to BNP Paribas (as explained in the rating
action taken on 21 November 2012 "Moody's downgrades notes of Aquarius
+ Investments plc") because the structures rely on BNP Paribas as
a provider of the principal protection at maturity, based on its
role as repo counterparty. The ratings on all notes other than
Series 2 Class E Credit Strategy Principal Protected Notes, reflect
this linkage with a one-notch uplift over the senior unsecured
rating of BNP Paribas due to the presence of a replacement trigger of
the repo counterparty upon the loss of Baa3/P-2.
Aquarius + Investments PLC Series 2 Class E Credit Strategy Principal
Protected Notes represents the repackaging of assets purchased via a 90
day repurchase agreement with BNP Paribas. The repo assets are
selected by BNP Paribas subject to certain eligibility criteria.
Under the repack notes, BNP Paribas repays the principal amount
on the scheduled maturity date and any shortfall in the market value of
the repo assets upon an early termination. Therefore the rating
on the notes reflects the senior unsecured rating of BNP Paribas.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Approach
to Rating Repackaged Securities" published in June 2015.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Given the nature of the structure and the strong linkage to BNP Paribas,
note-holders are mainly exposed to the credit risk of BNP Paribas.
A downgrade or upgrade of BNP Paribas could trigger a downgrade or upgrade
on the Notes.
Moody's notes that these transactions are subject to a high level
of macroeconomic uncertainty, which could negatively impact the
ratings of the notes, as evidenced by 1) uncertainties of credit
conditions in the general economy and 2) more specifically, any
uncertainty associated with the underlying credits in the transaction
could have a direct impact on the repackaged transaction.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
Moody's did not use any models, or loss or cash flow analysis,
in its analysis.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Philippe Joly
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Raja Iyer
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's confirms ratings on Repack notes of Aquarius + Investments plc