S&P: ELM's Series 228 Repack Notes Backed By Swiss Life's Guaranteed Subordinated Perpetual Loan Notes Assigned 'BBB+' Rating
The issuer, ELM (Netherlands) is a multi-issuance special-purpose entity that, among other things, issues asset-backed bonds and other debt instruments or enters into loan agreements, financial derivatives, or other agreements. ELM uses the note issuance proceeds from series 228 to purchase the subordinated notes issued by Swiss Life. The issuer pays interest and principal on the notes from interest and principal payments on the underlying collateral. As our credit analysis of the notes is based on the credit analysis of the underlying collateral, i. e., Swiss Life's subordinated notes, our 'BBB+' rating on the repackaged notes is weak-linked to the rating on the underlying collateral.
The transaction documents allow the subordinated notes to defer interest payments in certain circumstances. On redemption, Swiss Life will pay all of the deferred interest payments that were deferred previously and remain unpaid. Our rating on the repackaged notes also reflects this feature.
The issuer will pay or procure payment of its costs and expenses in connection with series 228 for the first 10 years from closing upfront. If the notes remain outstanding following the 10-year period, Swiss Life will pay these costs and expenses.
The Bank of New York Mellon (BNY Mellon; AA-/Stable) is the custodian. Under our current counterparty criteria, BNY Mellon is eligible to act as a custodian for this series of repack notes (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013).
In accordance with our "Global Methodology For Rating Repackaged Securities" criteria, published on Oct. 16, 2012, we have weak-linked our rating on the repack notes to the lower of:
Our long-term issuer credit rating (ICR) on Swiss Life Holding; Our issue rating on the perpetual subordinated bonds issued by Swiss Life Holding; andOur long-term ICR on BNY Mellon acting as the custodian.