London, 11 March 2011 -- Moody's Investors Service announced today that it has downgraded the rating
of the following notes issued by Aurora Credit Funding plc, Equinox
Credit Funding plc and Navigator Credit Funding plc.
Issuer: Aurora Credit Funding plc Series 2007-1/2/4/6/9/10/14
....Series 2007-1 EUR 20,500,000
Aurora Credit Fund EUR Principal Rated Zero Coupon Notes due 2014,
Downgraded to Aa3 (sf); previously on Mar 20, 2007 Assigned
Aaa (sf)
....Series 2007-2 EUR 23,000,000
Aurora Credit Fund EUR Principal Rated Conditional Floating Rate Notes
due 2014, Downgraded to Aa3 (sf); previously on Mar 20,
2007 Assigned Aaa (sf)
....Series 2007-4 EUR 60,000,000
Aurora Credit Fund EUR Principal Rated Conditional Floating Rate Notes
due 2017, Downgraded to Aa3 (sf); previously on Mar 20,
2007 Assigned Aaa (sf)
....Series 2007-6 USD 9,000,000
Aurora Credit Fund USD Principal Rated Conditional Floating Rate Notes
due 2014, Downgraded to Aa3 (sf); previously on Mar 20,
2007 Assigned Aaa (sf)
Issuer: Equinox Credit Funding plc
....Series 2006-1 EUR 26,500,000
Equinox Credit Strategy Principal Rated Notes due 2013, Downgraded
to Aa3 (sf); previously on Sep 25, 2006 Assigned Aaa (sf)
....Series 2006-4 USD 40,000,000
Equinox Credit Strategy Principal Rated Notes due 2013, Downgraded
to Aa3 (sf); previously on Sep 25, 2006 Assigned Aaa (sf)
....Series 2006-6 USD 10,000,000
Equinox Credit Strategy Principal Rated Notes due 2016, Downgraded
to Aa3 (sf); previously on Sep 25, 2006 Assigned Aaa (sf)
....Series 2006-7 JPY 1,000,000,000
Equinox Credit Strategy Principal Rated Notes due 2018, Downgraded
to Aa3 (sf); previously on Sep 25, 2006 Assigned Aaa (sf)
....Series 2006-9 USD 2,000,000
Equinox Credit Strategy Principal Rated Notes due 2016, Downgraded
to Aa3 (sf); previously on Sep 25, 2006 Assigned Aaa (sf)
....Series 2006-10 EUR 19,000,000
Equinox Credit Strategy Principal Rated Notes due 2012, Downgraded
to Aa3 (sf); previously on Sep 25, 2006 Assigned Aaa (sf)
....Series 2006-13 USD 10,000,000
Equinox Credit Strategy Principal Rated Conditional Floating Rate Notes
due 2013, Downgraded to Aa3 (sf); previously on Dec 18,
2006 Assigned Aaa (sf)
....Series 2006-14 USD 20,000,000
Equinox Credit Strategy Principal Rated Conditional Floating Rate Notes
due 2013, Downgraded to Aa3 (sf); previously on Jan 15,
2007 Assigned Aaa (sf)
Issuer: Navigator Credit Funding plc Series 2007-1/2/3/4/5
....Series 2007-2 EUR 6,000,000
Navigator Credit Strategy Principal Rated Notes due 2014, Downgraded
to Aa3 (sf); previously on Jan 16, 2007 Assigned Aaa (sf)
....Series 2007-3 USD 5,000,000
Navigator Credit Strategy Principal Rated Notes due 2017, Downgraded
to Aa3 (sf); previously on Jan 16, 2007 Assigned Aaa (sf)
....Series 2007-4 JPY 1,000,000,000
Navigator Credit Strategy Principal Rated Notes due 2019, Downgraded
to Aa3 (sf); previously on Jan 16, 2007 Assigned Aaa (sf)
....Series 2007-7 EUR 40,000,000
Navigator Credit Strategy Principal Rated Conditional Floating Rate Notes
due 2017, Downgraded to Aa3 (sf); previously on Sep 25,
2009 Downgraded to Aa1 (sf)
RATINGS RATIONALE
These ratings address the repayment of principal on the legal final maturity
and do not address any amounts received above the par amount of the Notes.
The above Notes invest in a credit strategy on a managed portfolio of
credits (cash and synthetic). The Notes offer full principal protection
at maturity, provided by Deutsche Bank under a total return swap,
and provide returns based on the performance of the managed portfolio.
The credit exposure to Deutsche Bank as provider of the principal protection,
is mitigated through rating triggers and collateral posting under a Credit
Support Annex ("CSA").
In a review of the de-linkage mechanisms of these deals Moody's
re-evaluated the eligibility of the collateral that could be posted
under the CSA. When originally rated, Aaa Asset Backed Securities
("ABS" ) with an appropriate haircut was considered eligible
credit support, at the time.
Considering current market conditions Moody's reconsidered the suitability
of posting ABS collateral under the CSA. Moody's main concern
is the value of the collateral available to cover the swap termination
costs. Factors affecting this are the haircuts under the CSA,
liquidity of the assets, time delay in selling the assets and any
rating migration. If posted as eligible collateral the value of
the collateral pool may be significantly affected by any ABS assets.
Taking into account the above concerns 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 swap termination where the swap counterparty
is the defaulting party. Moody's believes the current provisions
for posting under the CSA upon a breach of the rating triggers are no
longer appropriate given the wide definition of eligible credit support.
We therefore assume full linkage to Deutsche Bank as the structure relies
on Deutsche Bank to pay all amounts due to Noteholders under the total
return swap. The rating on the notes therefore reflects the rating
of Deutsche Bank and will migrate with the rating of Deutsche Bank.
The principal methodology used in this rating was "Moody's Approach to
Rating Repackaged Securities" rating methodology published in April 2010.
Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information source used to prepare the credit rating is the following:
public information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating 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.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service 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 the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
London
Mariona Serrat
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Madrid
Henry Charpentier
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
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 repack notes of Aurora, Equinox and Navigator
