March 10 (The following statement was released by the rating agency)
Fitch Ratings has assigned MARC Finance Ltd's JPY5bn Series M629 repackaged notes due 2021 a 'BBB+sf' rating. The Outlook is Stable. This transaction is of 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 referenced risks are related to the collateral, subordinated bond (rated 'A') issued by a financial institution, and the swap counterparty, BNP Paribas (A+/Stable), London branch. The rating also reflects the sound legal structure of the transaction.
The Stable Outlook is based on Fitch's expectations about the creditworthiness of the risk-presenting entities.
The rating is sensitive to rating 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 Japanese yen to the swap counterparty and invests the received amount in euros in collateral securities. The payment of the notes' principal and interest is backed by payments from the swap counterparty in exchange for the cash flow from the collateral securities.