OREANDA-NEWS. Fitch Ratings has assigned ratings to two series of the notes issued by Eirles Two Limited (the notes issuer), as follows:

- Series 369 USD50m zero coupon collateralised credit-linked notes due 2046 (S369): 'A+sf'; Outlook Stable

- Series 371 USD50m zero coupon collateralised credit-linked notes due 2046 (S371): 'A+sf'; Outlook Stable

These transactions are credit linked notes issued outside Japan, referencing the obligations issued by two Australian banks. The reference entities for S369 and S371 are Commonwealth Bank of Australia (CBA, AA-/Stable) and National Australia Bank Limited (NAB, AA-/Stable), respectively.


The ratings for each series of notes reflect the first-to-default risk of the two risk-presenting entities in the transactions: the reference entities and the United States of America (AAA/Stable) as the collateral issuer.

The risk of the swap counterparty, Deutsche Bank AG (A-/Stable), London Branch, is not considered by Fitch as a risk-presenting entity. The transaction documents obligate the swap counterparty to take remedial action upon the loss of its eligibility, which is in line with Fitch's counterparty criteria. The expenses of the note issuer over the life of the transactions are also initially reserved. The ratings also reflect the sound legal structure of the transactions.

The Stable Outlook reflects the same status of the two risk-presenting entities in each series.


The ratings are sensitive to rating migration of the two risk-presenting entities. Based on the applicable criteria, a one-notch downgrade of the reference entity would result in a one-notch downgrade of the notes, while a one-notch downgrade of the collateral issuer would not affect the ratings on the notes. A one-notch upgrade of the reference entity would lead to a one-notch upgrade of the notes. This sensitivity only describes the matrix-implied rating impact, and it should not be used as an indicator of possible future performance.


Form ABS Due Diligence-15E was not provided to or reviewed by Fitch in relation to this rating action.


A description of the transactions' representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction. Offering documents for CLN transactions do not typically include RW&Es that are available to investors and that relate to the asset pool underlying the security. Therefore, Fitch credit reports for CLN transactions will not typically include descriptions of RW&Es. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016.


The risk presenting entities have ratings from Fitch. Fitch has relied on the practices of the relevant Fitch groups to assess the entities.