(Repeat for additional subscribers)
May 6 (The following statement was released by the rating agency)
Fitch Ratings has assigned Signum Finance II Series 2012-03 final ratings, as follows:
EUR50m Signum Finance II Series 2012-03: 'A-sf'; Outlook Stable
The transaction is a credit-link note whose rating is directly linked to one or
more risk-presenting entities as the transaction's underlying reference entity,
swap counterparty and eligible investment.
KEY RATING DRIVERS
The rating addresses the repayment of the accreted principal on the notes
according to the terms and conditions of the documentation. The rating reflects
the credit quality of two risk-presenting entities as well as the issuer's legal
and financial structure. The two risk presenting entities are Goldman Sachs
International (A/Stable/F1) and France (AA+/Stable/F1+).
When the transaction closed, the proceeds from the notes' issue were used to
purchase a 4.5% coupon French government bond (ISIN FR0010773192) traded in the
secondary market (assets) and also to enter into an asset swap with Goldman
Sachs International. The swap counterparty ranks senior to the noteholders in
all circumstances, except when the issuer call option is being exercised. The
issued notes carry no interest. However, their principal notional accretes at an
annual rate of 4.35%. The issuer pays the swap counterparty all interest and
principal received on the French government bonds and the swap counterparty pays
the accreted principal amount due to the noteholders at redemption.
The issuer has the option to call all the notes on 25 April each year until the
notes' maturity date in April 2041. Upon exercising the call, the issuer will
redeem the notes by paying the scheduled accreted principal amount of the notes.
The noteholders also have a put option that can be exercised in respect of all
of the notes at any point until the notes' maturity date. If the put option is
exercised, the noteholders will receive the proceeds from the sale of the assets
less all expenses plus swap termination payments payable to the issuer (less
swap termination payments if payable by the issuer).
Fitch notes that the French government cannot prepay its bonds via call option
which would trigger a mandatory redemption event. The only way the government
can prepay its bonds is through buying back the bonds in the open market.
The notes are issued by Signum Finance II Plc, a repackaging note programme
arranged by Goldman Sachs International with limited liability and incorporated
under Irish law. Non-petition language included in the master programme
stipulates 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
A downgrade by one notch of Goldman Sachs International would result in a
downgrade of the notes by a similar notch.
A downgrade of France by one notch, however, would not impact the rating of the