May 16 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has assigned MARC Finance Ltd’s JPY5bn Series M584 repackaged notes due 2018 a ‘BBB+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 referenced risks are related to the collateral, subordinated bond issued by a financial institution (A-), 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 expectation on 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 JPY to the swap counterparty and invests the received amount in EUR in collateral securities. The payment of the notes’ principal and interest are backed by payments from the swap counterparty in exchange for the cash flow from the collateral securities.