June 19, 2014 / 8:22 AM / 3 years ago

RPT-Fitch Rates Argentum Capital's Series 2014-20 Secured Repackaged Notes 'BBBsf'

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June 19 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has assigned Argentum Capital S.A.'s EUR10m Series 2014-20 secured repackaged notes, due September 2034 (ISIN XS1056161471) a 'BBBsf' rating with Stable Outlook.

Key Rating Drivers

The rating addresses the timely payment of interest on the notes according to the terms and conditions of the documentation, as well as the repayment of principal by legal final maturity in August 2034. The rating reflects the credit quality of two risk-presenting entities, as well as the legal and financial structure of the issuer. The two risk-presenting entities are Credit Suisse International (A/Stable/F1) and Italy (BBB+/Stable/F2).

At closing on 4 May 2014, the proceeds from the note issuance were used to purchase an Italian government inflation linked bond (ISIN IT0003535157) and to enter into an asset swap with Credit Suisse International. The swap counterparty claims will rank senior to noteholders in all circumstances except where Credit Suisse International (as swap counterparty) is the defaulting party. The asset swap pays annually a variable rate coupon based on four times the difference between 10-year EUR-ISDA-EURIBOR and two-year EUR-ISDA-EURIBOR, capped at 8.0%, and floored at 0.0% in return for the interest receipts on the Italian government bonds the coupon of which is 5.0% and paid semi-annually. The notes are secured by the Italian government bonds.

The notes are issued by Argentum Capital S.A., a programme arranged by Credit Suisse International with limited liability and incorporated under Luxembourg law. Non-petition language included in the master programme agreements warrant that no party to any series will be able to petition for the winding-up of the issuer as a consequence of the default of any particular series. In addition, limited recourse clauses in the programme restrict the noteholder of any other series to only have recourse to the collateral assigned to this series.

Rating Sensitivities

Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating of the transaction accordingly. Fitch tested the impact of a category downgrade for the weakest entity (Italy) and this would lead to a downgrade of one category.

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