Fitch Rates Avenir B. V. Series 2016-3 Secured Guaranteed Notes 'BBB+sf', Outlook Stable
The transaction is a repackaging of the loans granted to GENERALE DE SANTE and arranged by Mediobanca - Banca di Credito Finanziario S. p.A. (Mediobanca Spa; BBB+/Stable/F2) with limited liability and incorporated under Dutch law. .
KEY RATING DRIVERS
The rating addresses the timely payment of interest on the notes according to the terms and conditions of the documentation, as well as the repayment of principal by legal final maturity in January 2021.
The rating reflects the weaker of the two risk-presenting entities in the transaction as well as the issuer's legal and financial structure. The two risk-presenting entities are the swap counterparty, Mediobanca Spa, and the custodian, the Bank of New York Mellon, S. A./N. V., London Branch (Bank of New York Mellon Corporation (The); AA-/Stable/F1+).
At closing, the proceeds from the notes' issuance were used to purchase EUR12.5m loans granted to GENERALE DE SANTE and the issuer has entered into a total return swap with Mediobanca - Banca di Credito Finanziario S. p.A.. The issuer pays the swap counterparty all interest and principal received on the loans and the swap counterparty pays a floating-rate of three-month Euribor plus 3.5% interest payment (with floor at zero) to the issuer who in turn pays the investors from the issue date to the swap termination date in December 2020.
The swap counterparty pays the actual received loan amount to the issuer to redeem the notes. Any positive interest rates (if applicable) applied by the custodian to the account will be paid to the swap counterparty but will not be passed to the note holders and the arranger pays any negative interest accruing to the balance of the account. The legal maturity of the notes is 13 January 2021.
The issuer is not exposed to the credit risk of the loans which is instead borne by the swap counterparty. If the loans default the swap will pay to the issuer who in turn will pay the notes' holders the outstanding notional of the notes plus accrued interest.
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 this series.
Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating of the transaction accordingly. Fitch tested the impact of a one-notch downgrade of the weakest entity Mediobanca Spa, which would lead to a downgrade of the notes by one notch.