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Rating Action:

Moody's takes various rating actions on 5 repack notes of Max Capital Limited

05 Jun 2015

London, 05 June 2015 -- Moody's Investors Service has taken rating actions on the following notes issued by Max Capital Limited:

Issuer: Max Capital Ltd 2007-01

....Series 2007-01 JPY 11,720,000,000 Secured Fixed Rate Loan Notes due 2037, Upgraded to A1 (sf); previously on Mar 20, 2015 A2 (sf) Placed Under Review for Possible Upgrade

Issuer: Max Capital Ltd Series 2007-02

....Series 2007-02 JPY 5,940,000,000 Secured Fixed Rate Loan Notes due 2037, Upgraded to A1 (sf); previously on Mar 20, 2015 A2 (sf) Placed Under Review for Possible Upgrade

Issuer: Max Capital Ltd Series 2007-03

....Series 2007-03 JPY 12,043,000,000 Secured Fixed Rate Loan Notes due 2036, Upgraded to A1 (sf); previously on Mar 20, 2015 A2 (sf) Placed Under Review for Possible Upgrade

Issuer: Max Capital Ltd Series 2007-04

....Series 2007-04 JPY 12,049,213,738 Secured Fixed Rate Loan Notes due 2037, Confirmed at A3 (sf); previously on Mar 20, 2015 A3 (sf) Placed Under Review for Possible Upgrade

Issuer: Max Capital Ltd Series 2008-01

....Series 2008-01 JPY 20,067,274,627 Secured Fixed Rate Loan Notes due 2038, Confirmed at A1 (sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review for Possible Upgrade

RATINGS RATIONALE

Moody's explained that the rating actions taken today take into account (i) the conclusion of rating actions on the senior unsecured rating of Citibank, N.A. which was upgraded to (P)A1 from (P)A2 on review for upgrade and the newly assigned Counterparty Risk (CR) Assessment of A1(cr) to Citibank, N.A. on 28 May 2015, and (ii) the rating actions on Wachovia Bank, N.A. and Wells Fargo Bank, N.A. on 14 May 2015.

Series 2007-01 represents the repackaging of a USD 100m subordinated fixed rate bond issued by Wachovia Bank, N.A. (the "underlying collateral") swapped into Japanese Yen with Citibank, N.A as swap counterparty. The rating of the underlying collateral was upgraded to Aa3 from A1 on 14 May 2015.

Series 2007-02 represents the repackaging of USD 50m subordinated fixed rate bond issued by Wachovia Bank, N.A. (the "underlying collateral") swapped into Japanese Yen with Citibank, N.A as swap counterparty. The rating of the underlying collateral was upgraded to Aa3 from A1 on 14 May 2015.

Series 2007-03 represents the repackaging of USD 175m senior fixed rate bond issued by Wells Fargo Bank, N.A. (the "underlying collateral") swapped into Japanese Yen with Citibank, N.A as swap counterparty. The rating of the underlying collateral was upgraded to Aa3 from A1 on 14 May 2015.

Series 2007-04 represents the repackaging of USD 100m fixed rate bond issued by Anheuser-Busch Companies, LLC. (the "underlying collateral") swapped into Japanese Yen with Citibank, N.A as swap counterparty. The rating of the underlying collateral is unchanged at A2.

Series 2008-01 represents the repackaging of USD 175m fixed rate 6.2% bond issued by United Parcel Service, Inc. (the "underlying collateral") swapped into Japanese Yen with Citibank, N.A as swap counterparty. The rating of the collateral was unchanged at Aa3.

For further information on the underlying actions see the press release titled "Moody's concludes reviews on 13 global investment banks' ratings" published on 28 May 2015 (https://www.moodys.com/viewresearchdoc.aspx?docid=PR_326277) and "Moody's concludes reviews on 63 US banks ratings" published on 14 May 2015 (https://www.moodys.com/viewresearchdoc.aspx?docid=PR_325380) on www.moodys.com.

Methodology Underlying the Rating Actions:

The principal methodology used in these ratings was "Moody's Approach to Rating Repackaged Securities" published in December 2014. 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:

Given the repack nature of the structures, noteholders are mainly exposed to the credit risk of the underlying asset and the Swap Counterparty. A downgrade or upgrade of either the underlying collateral or the swap counterparty could trigger a downgrade or upgrade on the Notes.

Moody's notes that these transactions are 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 and 2) more specifically, any uncertainty associated with the underlying credits in the transaction could have a direct impact on the repackaged transaction.

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 underlying asset default, and if applicable, hedge counterparty risk, each weighted according to its respective probability. We then translate the expected loss to a rating using our idealised 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 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 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.

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.

Lola Aleyideino
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

Stefan Augustin
VP - Sr Credit Officer/Manager
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 takes various rating actions on 5 repack notes of Max Capital Limited
No Related Data.
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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 credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

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

​

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