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Rating Action:

Moody's downgrades repack notes of Aurora, Equinox and Navigator

11 Mar 2011

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
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. 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 or in preparing the Moody’s publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​​​​
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