April 2 (The following statement was released by the rating agency)
Fitch Ratings has assigned MARC Finance Ltd's JPY1.5bn Series M578 repackaged notes due 2017 an 'A-sf' rating. The Outlook is Stable. This transaction is repackaged notes issued outside Japan, with the underlying collateral consisting of assets also outside Japan.
Key Rating Drivers
The rating reflects the first-to-default risk of the two risk-presenting entities in this transaction - the collateral issuer, a financial institution ('A'/Stable), and the swap counterparty, BNP Paribas (BNP; 'A+'/Stable), London branch. The rating also reflects the sound legal structure of the transaction. The Stable Outlook is primarily driven by that of the Long-Term Issuer Default Ratings on the above two entities.
The rating is sensitive to ratings migration of the two risk-presenting entities. A downgrade of the lower rated risk-presenting entity would likely result in a downgrade to the notes.
At closing, the issuer pays the note proceeds in JPY to the swap counterparty, BNP Paribas, London branch and invests the received amount in EUR in collateral securities. The payment of the notes' principal and interest will be backed by payments from the swap counterparty in exchange for the cash flow from the collateral securities.