Tokyo, January 26, 2016 -- Moody's Japan K.K. has today placed on review for downgrade
the ratings on Arch Finance Limited's four repackaged deals.
The affected ratings are as follows:
Deal Name: Arch Finance Limited Series 2006-1 Reverse Dual
Currency Loan
.... JPY 2,952,114,750 Series
2006-1 Reverse Dual Currency Loan, A2 (sf) Placed Under Review
for Downgrade; previously on January 23, 2009 downgraded to
A2 (sf)
Deal Name: Arch Finance Limited Series 2006-2 Reverse Dual
Currency Loan
.... JPY 2,952,114,750 Series
2006-2 Reverse Dual Currency Loan, A2 (sf) Placed Under Review
for Downgrade; previously on January 23, 2009 downgraded to
A2 (sf)
Deal Name: Arch Finance Limited Series 2006-3 Reverse Dual
Currency Loan
.... JPY 2,952,114,750 Series
2006-3 Reverse Dual Currency Loan, A2 (sf) Placed Under Review
for Downgrade; previously on January 23, 2009 downgraded to
A2 (sf)
Deal Name: Arch Finance Limited Series 2007-1 Reverse Dual
Currency Loan
.... JPY12,363,538,000 Series
2007-1 Reverse Dual Currency Loan, Ba2 (sf) Placed Under
Review for Downgrade; previously on May 31, 2013 downgraded
to Ba2 (sf)
RATINGS RATIONALE
Today's rating actions follow Moody's rating action on the collateral
assets on January 21, 2016. The ratings on the collateral
assets have been placed on review for downgrade.
The ratings of the transactions mainly reflect the credit quality of the
collateral asset, the credit quality of the swap counterparty,
and the strength of the transaction structure.
If the rating on the collateral assets and swap counterparties change,
the ratings on the loans may also change.
The principal methodology used in these ratings was "Moody's Approach
to Rating Repackaged Securities" (Japanese) 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:
Factors that could lead to a ratings downgrade or upgrade are a deterioration
or improvement in the credit quality of the collateral asset and the swap
counterparty.
Loss and Cash Flow Analysis:
Our quantitative analysis focuses on the risks relating to the credit
quality of the assets backing the repack and of the counterparties.
We generally determine the expected loss posed to securities holders by
adding together the severities for loss scenarios arising from either
collateral asset default, and if applicable, swap counterparty
risk, each weighted according to its respective probability.
We then translate the expected loss to a rating using our idealized loss
rates.
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 describes its loss and cash flow analysis in the section "Ratings
Rationale" of this press release.
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.
Moody's Japan K.K. is a credit rating agency registered
with the Japan Financial Services Agency and its registration number is
FSA Commissioner (Ratings) No. 2. The Financial Services
Agency has not imposed any supervisory measures on Moody's Japan K.K.
in the past year.
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.
Akifumi Fukushi
Vice President - Senior Analyst
Structured Finance Group
Moody's Japan K.K.
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, Minato-ku
Tokyo 105-6220
Japan
JOURNALISTS: 813-5408-4110
SUBSCRIBERS: 813-5408-4100
Marie Lam
Associate Managing Director
Structured Finance Group
JOURNALISTS: (852) 3758 -1350
SUBSCRIBERS: (852) 3551-3077
Releasing Office:
Moody's Japan K.K.
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, Minato-ku
Tokyo 105-6220
Japan
JOURNALISTS: 813-5408-4110
SUBSCRIBERS: 813-5408-4100
Moody's reviews Arch Finance's four repackaged deals for downgrade