OREANDA-NEWS. March 22, 2016. Fitch Ratings has affirmed the rating for Amber Trust Two and revised the Rating Outlook as follows:

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

KEY RATING DRIVERS

Fitch's rating of Amber Trust Two is credit-linked to the Issuer Default Rating (IDR) of Encana Corporation (Encana), the transaction's qualified investment, which is rated
'BBB-'/Negative Outlook by Fitch.

The notes' rating is delinked from the transaction's swap counterparty, Morgan Stanley (rated 'A/F1'/Stable Outlook).

RATING SENSITIVITIES

The rating remains sensitive to Fitch's rating of EnCana. A change in Fitch's rating of Encana would 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's (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, which then pays 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.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.