March 18 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed MARC Finance Ltd.’s Series M584 repackaged notes as below. The Rating Outlook is Stable. The notes are backed by single-name collateral securities with a currency swap.JPY5bn* Series M584 repackaged notes due 2018 affirmed at ‘BBB+sf’; Outlook Stable *as of 17 March 2014
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 notes have been affirmed as there have been no changes to the ratings of the Long-Term Issuer Default Ratings of the swap counterparty or the ratings of the collateral securities since the transaction closed in May 2013.
The ratings of the notes are sensitive to changes in the ratings of two risk-presenting entities. In particular, Fitch’s Two-Risk Credit-Linked Note Matrix in the criteria suggests that a downgrade of the ratings of the collateral securities would result in a similar downgrade of the notes, absent any change to the rating of the swap counterparty.