London, 21 November 2012 -- Moody's Investors Service announced today that it has downgraded the ratings
of the following notes issued by Aquarius + Investments plc:
Issuer: Aquarius + Investments Plc - Dynamo Series 2
DPPN
....EUR32.5M Class 3AE Notes,
Downgraded to A1 (sf); previously on Aug 24, 2012 Aaa (sf)
Placed Under Review for Possible Downgrade
....EUR60M Class 3CE Notes, Downgraded
to A1 (sf); previously on Aug 24, 2012 Aaa (sf) Placed Under
Review for Possible Downgrade
....JpnY3000M Class 4CJ Notes, Downgraded
to A1 (sf); previously on Aug 24, 2012 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: Aquarius + Investments Plc - Series Dynamo 1
....EUR245M Class 3C Notes, Downgraded
to A1 (sf); previously on Aug 24, 2012 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: Aquarius + Investments Plc Axiom Series 1
....EUR30M Class AE-7 100% Principal
Protection due 2013, Downgraded to A1 (sf); previously on Aug
24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....US$60M Class AU-7 100%
Principal Protection due 2013, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....EUR62.5M Class BE-7 100%
Principal Protection due 2013, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....EUR123M Class BE-10 100%
Principal Protection due 2016, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....US$7M Class AU-7d 100%
Principal Protection due 2013, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....US$10M Class AU-10 100%
Principal Protection due 2016, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....US$40M Tranche 2 Class AU-10k
100% Principal Protection Notes due 2016, Downgraded to A1
(sf); previously on Aug 24, 2012 Aaa (sf) Placed Under Review
for Possible Downgrade
....EUR20.2M Class BE-7b 100%
Principal Protection Notes due 2013, Downgraded to A1 (sf);
previously on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible
Downgrade
....US$25M Tranche 2 Class AU-10k
100% Principal Protection Notes due 2016, Downgraded to A1
(sf); previously on Aug 24, 2012 Aaa (sf) Placed Under Review
for Possible Downgrade
....EUR7.2M Tranche 2 Class BE-10
100% Principal Protection due 2016, Downgraded to A1 (sf);
previously on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible
Downgrade
Issuer: Aquarius + Investments plc Danske Notes
....EUR40M Class E-10 100% Principal
Protection Notes due 2017, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Aquarius + Investments plc. Azur
....EUR121M Class DE-7 100%
Principal Protection due 2014, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....EUR18M Class DE-10 100%
Principal Protection due 2017, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....SwFr66.3M Class CC-10 100%
Principal Protection due 2017, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
....EUR61.2M Class CE-10 100%
Principal Protection due 2017, Downgraded to A1 (sf); previously
on Aug 24, 2012 Aaa (sf) Placed Under Review for Possible Downgrade
These ratings address the repayment of principal only by the legal final
maturity. They do not address coupon payments.
These transactions issued by Aquarius + Investments Plc apply the
CPPI technique which ensures that there is always sufficient cash to purchase
a zero-coupon at any time. Such zero-coupon enables
the payment of the protected principal at maturity. In these transactions,
Moody's analysis focuses on the credit exposure to BNP Paribas due to
the repurchase agreement ('Repo') entered into by the issuer
with BNP Paribas as Repo Counterparty.
RATINGS RATIONALE
On 21 June 2012, Moody's downgraded the long term rating of
BNP Paribas to A2 from Aa3. This downgrade resulted in a requirement
for certain rating downgrade actions under the transactions' documents
between BNP Paribas and the Issuer including overcollateralization of
BNP Paribas's obligation as Repo Counterparty.
Moody's notes that the eligible assets used by BNP Paribas under
each Repo include securities whose liquidity (under market stress) has
been challenged during the 2008-2009 financial crisis, in
particular some ABS securities. In addition, Moody's believes
that the overcollateralization levels currently applied under the Repos
by BNP Paribas following its breach of the A1 trigger do not mitigate
the potential illiquidity of some types of assets currently used by BNP
Paribas under its Repos.
As a result, Moody's believes that there may be an insufficiency
of required collateral to be able to redeem the notes at their par value
upon a default of the Repo Counterparty.
Moody's assumes strong linkage to BNP Paribas 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 the notes
reflect such a linkage with a one-notch uplift over the current
rating of BNP Paribas due to the presence of a replacement trigger of
the Repo Counterparty upon the loss of Baa3/P-2.
Moody's notes that this transaction is 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 2) more specifically, any uncertainty associated
with BNP Paribas could have a direct impact on this transaction,
and 3) additional expected loss associated with hedging agreements in
this transaction may also negatively impact the ratings.
The principal methodology used in these ratings was "Moody's Approach
to Rating Repackaged Securities" published in April 2010.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
No additional cash flow, sensitivity analysis or stress scenarios
have been conducted as the rating was directly derived from the rating
of the Repo counterparty together with the trigger mechanism.
Please note that on 2 July 2012, Moody's released a Request
for Comment, requesting market feedback on potential changes to
its rating implementation guidance for the temporary use of cash in structured
finance transactions. If the revised rating implementation guidance
is adopted as proposed, the rating on the Notes should not be negatively
affected. Please refer to Moody's Request for Comment,
entitled "The Temporary Use of Cash in Structured Finance Transactions:
Eligible Investment and Bank Guidelines: Request for Comment"
for further details regarding the implications of the proposed methodology
changes on Moody's ratings.
REGULATORY DISCLOSURES
The ratings have been disclosed to the rated entities or their designated
agent(s) and issued with no amendment resulting from that disclosure.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings and public information.
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entities or their related third parties within
the two years preceding the credit rating action. Please see the
special report "Ancillary or other permissible services provided
to entities rated by MIS's EU credit rating agencies" on the
ratings disclosure page on our website www.moodys.com for
further information.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
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.
Branimir Jovanovic
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
Jian Hu
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
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 downgrades notes of Aquarius + Investments plc
