Fitch Rates Credit Suisse's EUR20m CLNs 'BBB-sf', Outlook Stable
OREANDA-NEWS. Fitch Ratings has assigned Credit Suisse's EUR20m Credit-Linked Notes linked to the Republic of Italy, due December 2030 (ISIN XS1289135649) a 'BBB-sf' rating with Stable Outlook.
KEY RATING DRIVERS
The rating addresses the repayment of principal on the notes according to the terms and conditions of the documentation. The rating reflects the credit quality of the two risk-presenting entities, Credit Suisse (A/Positive/F1) and Italy (BBB+/Stable/F2).
The notes are issued by Credit Suisse AG, acting through its London Branch. The credit-linked notes (CLN) notes pay a 2.35% fixed annual coupon for the first two years and a floating rate for the rest of the life of the notes. The floating coupon is referenced to the 10 years Eur-ISDA-Euribor swap rate, floored at 2.35% per annum and capped at 5.5% per annum.
Payments on the notes will be determined by reference to a hypothetical credit default swap (CDS) referencing Italy. The hypothetical reference CDS is assumed to exist only for the purpose of making calculations and determinations affecting the CLN notes. The terms of the CDS are based on the definitions and provisions published by the International Swap and Derivatives Association, Inc. (ISDA).
Restructuring is a credit event under the terms of the CDS. In determining the rating, Fitch applied the Two-Risk CLN Matrix with Restructuring as per its Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes.
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 (Italy), 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.
SOURCES OF INFORMATION
The information used to assess this rating was sourced from the arranger.
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