Fitch Downgrades Credit Suisse Bond with Japan - Credit Linked Notes 2 Series 287
OREANDA-NEWS. Fitch Ratings has downgraded Credit Suisse International's (CSI) USD150m Credit Suisse Bond with Japan - Credit Linked Notes 2 Series 287 to 'BBBsf' from 'BBB+sf'. The Outlook is Stable.
The transaction is a credit-linked note that references a Japanese local currency bond. At closing, the net proceeds received from the noteholders were paid to the issuer, and then invested in eligible collateral assets. The rating addresses the credit risk of both CSI and the Japanese local currency bond.
KEY RATING DRIVERS
The downgrade reflects the downgrade of CSI to 'A-' from 'A' on 24 May 2016. We affirmed Japan's Long-Term Local Currency Issuer Default Rating (IDR) at 'A' on 7 April 2016.
RATING SENSITIVITIES
A one-notch downgrade of CSI would result in the transaction being downgraded by one notch. A one-notch downgrade of Japan's IDR would not have an impact on the notes' rating.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
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