Approximately EUR 1,337 million of debt securities affected
London, 24 August 2012 -- Moody's Investors Service announced today that it has placed under review
for downgrade the ratings of the following notes issued by Aquarius +
Investments plc:
Issuer: Aquarius + Investments Plc - Dynamo Series 2
DPPN
....EUR35M Class 2BE Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Dec 16,
2005 Assigned Aaa (sf)
....US$15M Class 2BU Notes, Aaa
(sf) Placed Under Review for Possible Downgrade; previously on Dec
16, 2005 Assigned Aaa (sf)
....EUR32.5M Class 3AE Notes,
Aaa (sf) Placed Under Review for Possible Downgrade; previously on
Dec 16, 2005 Assigned Aaa (sf)
....EUR60M Class 3CE Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Dec 16,
2005 Assigned Aaa (sf)
....JpnY3000M Class 4CJ Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Dec 16,
2005 Assigned Aaa (sf)
Issuer: Aquarius + Investments Plc - Series Dynamo 1
....EUR62.5M Class 2A Notes,
Aaa (sf) Placed Under Review for Possible Downgrade; previously on
Jul 22, 2005 Assigned Aaa (sf)
....EUR95.5M Class 2B Notes,
Aaa (sf) Placed Under Review for Possible Downgrade; previously on
Jul 22, 2005 Assigned Aaa (sf)
....EUR35M Class 3A Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Jul 22,
2005 Assigned Aaa (sf)
....EUR245M Class 3C Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Jul 22,
2005 Assigned Aaa (sf)
Issuer: Aquarius + Investments Plc Axiom Series 1
....EUR30M Class AE-7 100% Principal
Protection due 2013, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on May 24, 2006 Definitive Rating Assigned Aaa (sf)
....US$60M Class AU-7 100%
Principal Protection due 2013, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on May 24, 2006 Definitive Rating
Assigned Aaa (sf)
....EUR62.5M Class BE-7 100%
Principal Protection due 2013, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on May 24, 2006 Definitive Rating
Assigned Aaa (sf)
....EUR123M Class BE-10 100%
Principal Protection due 2016, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on May 24, 2006 Definitive Rating
Assigned Aaa (sf)
....US$50M Class AU-7c 100%
Principal Protection due 2013, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on Jun 1, 2006 Assigned Aaa
(sf)
....US$7M Class AU-7d 100%
Principal Protection due 2013, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on Jul 14, 2006 Assigned Aaa
(sf)
....US$10M Class AU-10 100%
Principal Protection due 2016, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on Jul 14, 2006 Assigned Aaa
(sf)
....US$40M Tranche 2 Class AU-10k
100% Principal Protection Notes due 2016, Aaa (sf) Placed
Under Review for Possible Downgrade; previously on Aug 23,
2006 Assigned Aaa (sf)
....EUR20.2M Class BE-7b 100%
Principal Protection Notes due 2013, Aaa (sf) Placed Under Review
for Possible Downgrade; previously on Oct 24, 2006 Assigned
Aaa (sf)
....US$25M Tranche 2 Class AU-7e
100% Principal Protection Notes due 2013, Aaa (sf) Placed
Under Review for Possible Downgrade; previously on Oct 24,
2006 Assigned Aaa (sf)
....US$25M Tranche 2 Class AU-10k
100% Principal Protection Notes due 2016, Aaa (sf) Placed
Under Review for Possible Downgrade; previously on Oct 24,
2006 Assigned Aaa (sf)
....EUR7.2M Tranche 2 Class BE-10
100% Principal Protection due 2016, Aaa (sf) Placed Under
Review for Possible Downgrade; previously on Oct 24, 2006 Assigned
Aaa (sf)
....US$12M Tranche 3 Class AU-7e
100% Principal Protection Notes due 2013, Aaa (sf) Placed
Under Review for Possible Downgrade; previously on Apr 4, 2007
Assigned Aaa (sf)
Issuer: Aquarius + Investments plc Danske Notes
....EUR40M Class E-10 100% Principal
Protection Notes due 2017, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on Jul 18, 2007 Assigned Aaa (sf)
Issuer: Aquarius + Investments plc. Azur
....EUR121M Class DE-7 100%
Principal Protection due 2014, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on May 17, 2007 Definitive Rating
Assigned Aaa (sf)
....EUR18M Class DE-10 100%
Principal Protection due 2017, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on May 17, 2007 Definitive Rating
Assigned Aaa (sf)
....SwFr66.3M Class CC-10 100%
Principal Protection due 2017, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on May 17, 2007 Definitive Rating
Assigned Aaa (sf)
....EUR42.7M Class CE-7 100%
Principal Protection due 2014, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on May 17, 2007 Definitive Rating
Assigned Aaa (sf)
....EUR61.2M Class CE-10 100%
Principal Protection due 2017, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on May 17, 2007 Definitive Rating
Assigned Aaa (sf)
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 on which
the mechanisms of the transaction rely including the repurchase agreement
entered into by the issuer with BNP Paribas as Repo Counterparty.
RATINGS RATIONALE
On 21 June 2012, Moody's downgraded the long term senior unsecured
rating of BNP Paribas to A2. The downgrade of the long-term
senior unsecured rating to A2 resulted in a requirement for certain rating
downgrade action under the transactions' documents (including the
ISDA Master Agreement) between BNP Paribas and the Issuer including collateral
posting under the respective repurchase agreements.
Moody's is examining mechanisms provided under the repurchase agreements
and is assessing whether the way such mechanisms are being implemented
by the Repo Counterparty continue to allow for a full de-linkage
between the rating of the notes and the long term senior unsecured rating
of BNP Paribas of A2. This assessment will be based among others,
on additional information requested by Moody's from the Repo Counterparty.
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 the underlying credits in the transaction could have a direct impact
on the repackaged 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.
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 reviews.
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.
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.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating
analyst and the Moody's legal entity that has issued each of the
ratings.
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.
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
Ian Perrin
VP - Senior Credit Officer
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 places under review for downgrade notes of Aquarius + Investments plc
