OVERVIEW
— Signum Vanguard’s series 2013-2 is a floating-rate
transaction that collateral assets, a total return swap signed
between the issuer and a counterparty, and any cash remaining
after asset purchases initially secure.
— We have assigned our ‘AAA’ rating to the transaction,
reflecting our view of the credit quality of the transaction’s
parties, the transaction’s structure, and other factors.
TOKYO (Standard & Poor’s) Jan. 15, 2013–Nippon Standard &
Poor’s (NSP) has assigned its ‘AAA’ rating to Signum Vanguard
Ltd.’s series 2013-2 transaction, due 2018.
Signum Vanguard is a special-purpose company that was
established in the Cayman Islands. A total return swap (TRS)
executed between Goldman Sachs Mitsui Marine Derivative Products
L.P. (the “TRS Counterparty”) and Signum Vanguard, collateral
assets purchased under the terms of the TRS, and any cash assets
remaining after the purchase initially secure the note issued
under this transaction.
The credit quality of the note is linked to the credit
quality of the TRS Counterparty. If a bankruptcy event occurred
at either Goldman Sachs Group Inc. or Goldman Sachs Bank USA,
the TRS would terminate and Signum Vanguard would enter into a
repo agreement with Mitsui Sumitomo Insurance Co. Ltd. as the
counterparty, with the repo agreement replacing the TRS.
Under the terms of the transaction, the investor has several
rights and options, including, but not limited to, cancelling
the TRS, or instructing the issuer to object to the asset
purchase instruction that the TRS Counterparty provides. The
execution of such rights or options may result in the
transaction’s exposure, in whole or in part, to the default risk
and market risk of the collateral assets that the issuer holds.
The rating does not address the transaction’s risk following the
exercise of such investor options.
The rating reflects our views primarily on the following:
— The credit quality of the TRS Counterparty, rated ‘AAA’;
— The cash flows from the TRS or repo agreement, which the
issuer will use to make interest and principal payments on the
note; and
— The status of Signum Vanguard as a special-purpose,
bankruptcy-remote entity.
RELATED CRITERIA AND RESEARCH
“Global Methodology For Rating Repackaged Securities,” Oct.
16, 2012
“Japanese Structured Finance Scenario And Sensitivity
Analysis: The Effects Of Major Macroeconomic Factors,” April 6,
2012
“Principles Of Credit Ratings,” Feb. 16, 2011
“European Legal Criteria For Structured Finance
Transactions,” Aug. 28, 2008
RATING ASSIGNED
Signum Vanguard Ltd.
Series 2013-2 JPY28 billion secured floating rate note due
2018
Rating Amount Coupon type O/C ratio Legal
final maturity
AAA JPY28 bil. Floating rate 0.0% Jan. 15,
2018
The transaction closed on Jan. 15, 2013.
NOTES
The basic approach to calculating the overcollateralization
(O/C) ratio is as follows:
1-(A+B)/(C-D-E)
A: the rated obligations and equally ranked obligations
B: prior obligations to the rated obligations
C: underlying assets (including cash)
D: liquidity reserves
E: obligations, except for senior, mezzanine, or subordinate
obligations (seller’s interest, etc.)
In the case of a master trust structure, the series base
value should be applied.
