July 11 (The following statement was released by the rating agency)
Fitch Ratings has assigned Corsair Finance (Ireland) No.6 Limited's notes final ratings as
Series 24 EUR40m Notes Linked to Italian Inflation-Linked Government Bonds due
2023 (ISIN XS0868104414): 'BBB-sf', Outlook Negative
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 September 2023. The rating reflects the
credit quality of three risk-presenting entities, as well as the legal and
financial structure of the issuer. The three risk presenting entities are Italy
('BBB+'/Negative/'F2'), JPMorgan Chase Bank, N.A. ('A+'/Stable/'F1') and The
Bank of New York Mellon SA/NV ('AA-'/Stable/'F1+').
The notes' Negative Outlook reflects that on Italy's ratings.
At closing, which occurred on 21 December 2012, the proceeds from the note
issuance were used to purchase an Italian government inflation linked bond (ISIN
IT0004243512) and to enter into an asset swap with J.P. Morgan Securities plc
(unrated by Fitch). Then on 4 July 2013 JPMorgan Chase Bank, N.A.
('A+'/Stable/'F1') replaced its affiliate J.P. Morgan Securities plc as
counterparty under the asset swap. The Italian government bond is held in
custody by The Bank of New York Mellon SA/NV ('AA-'/Stable/'F1+'). The swap
counterparty claims rank senior to noteholders in all circumstances. The asset
swap pays an annual fixed 3.93% coupon in return for the interest receipts on
the inflation linked bonds, the coupon of which is 2.6% multiplied by eurozone
CPI and paid semi-annually. The noteholders have exercised the option to
decrease the fixed coupon rate (from an initial 5.60%) in return for an
additional lump-sum payment of EUR6m that was made on 16 May 2013. The notes are
secured by the inflation linked bonds and any collateral posting by the issuer
under the swap takes the form of the inflation linked bonds and is capped at
Fitch notes that Italy's government cannot prepay its bonds via a call option
which would trigger a mandatory redemption event. The only way the government
can prepay its bonds is through buying the bonds back in the open market.
The notes are issued by Corsair Finance (Ireland) No.6 Limited (the issuer), a
company which was incorporated under Irish law and with limited liability with
the purpose of establishing a programme arranged by J.P. Morgan Securities plc
for the issuance of notes. Non-petition language included in the master
programme 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 a given series to only have recourse to the collateral assigned to
Fitch considered the downgrade of each of the three risk presenting entities.
The transaction is most sensitive to a downgrade of the Republic of Italy, being
the lowest rated of the three risk presenting entities. A one notch downgrade is
likely to cause a downgrade of the note. In addition, an up to three notch
downgrade of JPMorgan Chase Bank, N.A. is unlikely to cause a downgrade of the
note. Finally a one notch downgrade of The Bank of New York Mellon SA/NV is
likely to result in a downgrade of the notes.