(Repeat for additional subscribers)
June 19 (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.
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.