Fitch Ratings has assigned Avenir B. V.'s EUR32m Series 2016-2 secured guaranteed notes due 2020 a 'BBB+sf' rating with a Stable Outlook.

The transaction is a repackaging of a loan granted to Fresenius Finance II B. V..

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 July 2020.

The rating reflects the credit quality of two risk-presenting entities as well as the issuer's legal and financial structure. The two risk-presenting entities are the swap counterparty, Mediobanca - Banca di Credito Finanziario S. p.A. (Mediobanca Spa; BBB+/Stable/F2), 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 EUR32m loans granted to Fresenius Finance II B. V. 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 (with floor at zero) plus 1% interest payment to the issuer who in turn pays the investors from the issue date to the swap termination date in June 2020.

The swap payment to the issuer is increased by any positive interest rates or decreased by any negative interest rates or charges applied by the custodian to the account. The loan amortises in instalments on a predefined schedule, with a final redemption amount in June 2020, and the swap counterparty pays the actually received loan amount to the issuer to redeem the notes. The legal maturity of the notes is 15 July 2020.

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 noteholders the outstanding notional of the notes plus accrued interest.

The notes are issued by Avenir B. V., a repackaging note programme arranged by Mediobanca - Banca di Credito Finanziario S. p.A. with limited liability and incorporated under Dutch law. 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.

RATING SENSITIVITIES

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 - Banca di Credito Finanziario S. p.A., which would lead to a downgrade of the notes by one notch.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

The source of information used to assess this rating was the transaction documents provided by the arranger.