Fitch Affirms and Revises Outlook for Amber Trust Two

NEW YORK--()--Fitch Ratings affirms the rating and revises the Outlook for Amber Trust Two as follows:

--JPY 6,055,000,000 credit-linked notes at 'BBBsf'; Outlook revised to Stable from Negative.

KEY RATING DRIVERS

Fitch's rating of Amber Trust Two is credit-linked to Fitch's assessment of EnCana Corporation (EnCana). Fitch's assessment of the company is based upon publicly available information including Fitch's CDS implied rating, NRSRO ratings and Fitch's internal credit view. The notes' rating is delinked from the swap counterparty, Morgan Stanley (rated 'A/F1', Outlook Stable by Fitch).

RATING SENSITIVITIES

The rating remains sensitive to Fitch's assessment of EnCana. A change in Fitch's assessment of the qualified investment, EnCana, would likely result in a change in the rating of the notes.

Amber Trust Two is a credit linked structure whereby the note holders obtained credit exposure to EnCana via a cross-currency interest rate swap. The note holders have provided a loan of JPY 6,055,000,000 at a fixed rate of 4.28% to the issuer, the proceeds of which were used to purchase $50,000,000 of EnCana Corporation (CUSIP 292505AD6) 6.50% bond due Aug. 15, 2034. At each interest payment date or at maturity, the issuer will pass the corresponding interest or principal amount of the EnCana bond in full to the swap counterparty, who will then pay the issuer the JPY equivalent of that amount, using a fixed exchange rate.

EnCana is permitted to exercise an early make-whole call on its bond. This exercise would cause an early termination event and could expose the Amber Trust Two notes to potential termination payments and currency exchange risk. However, use of this make-whole call provision remains highly unlikely, since such a call would cost EnCana a premium of approximately 151% over current par value. Additionally, the exercise of the make-whole call provision on the qualified investment at the current premium would not result in a loss to the notes at current exchange rates. Fitch views the current probability of loss on the notes from the exercise of a make-whole call as sufficiently remote at the current rating level.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria & Related Research:

--'Global Structured Finance Rating Criteria' (August 4, 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);

--'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (February 2014).

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=933296

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Shashi Srikantan
Director
+1-212-908-0393
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Alina Pak
Senior Director
+1-312-368-3184

or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Surveillance Analyst
Shashi Srikantan
Director
+1-212-908-0393
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Alina Pak
Senior Director
+1-312-368-3184

or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com