Fitch Rates Ascent Finance Limited's EUR15m CLNs 'A-sf'; Outlook Stable

(The following statement was released by the rating agency) Fitch Ratings-Tokyo-04 November 2020: Fitch Ratings has assigned Ascent Finance Limited's Series 2019-1032 EUR15 million credit-linked notes due 2047 (ISIN: XS2069961618) an 'A-sf' rating. The Outlook is Stable. Ascent Finance Limited SERIES 2019-1032 EUR15,000,000 1.19 PER CENT. NOTES DUE 2047 ----SERIES 2019-1032 EUR15,000,000 1.19 PER CENT. NOTES DUE 2047 XS2069961618; Long Term Rating; New Rating; A-sf; Rating Outlook Stable Transaction Summary The notes are backed by single-name collateral securities with a currency swap. KEY RATING DRIVERS Credit Quality/Number of Risk Contributors: The rating reflects the first-to-default risk of two risk entities, the collateral issuer, Commonwealth Bank of Australia (A+/Negative/F1), and the swap counterparty, Credit Suisse (SIX:CSGN) AG (A/Stable/F1), Singapore branch. The Stable Outlook on the notes reflects that the same status of the weakest link, as a one-notch downgrade of the collateral issuer would not affect the notes' rating. Uncertain Pandemic Impact: Fitch acknowledges the uncertainty and rapidly evolving events related to the coronavirus pandemic and its impact on global markets. This disruption may affect the ratings of the risk presenting entities. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: The rating on the notes is sensitive to changes in the ratings of the two risk contributors. Based on the applicable criteria, a one-notch upgrade of either party would lead to a one-notch upgrade of the notes. This sensitivity only describes the matrix-implied rating impact and it should not be used as an indicator of possible future performance. Factors that could, individually or collectively, lead to negative rating action/downgrade: The rating on the notes is sensitive to changes in the ratings of the two risk contributors. Based on the applicable criteria, a one-notch downgrade of the swap counterparty would result in a one-notch downgrade of the notes, while a one-notch downgrade of the collateral issuer would not affect the rating on the notes. This sensitivity only describes the matrix-implied rating impact and it should not be used as an indicator of possible future performance. Best/Worst Case Rating Scenario International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The collateral issuer and the swap counterparty have ratings from Fitch. Fitch has relied on the practices of the relevant Fitch groups to assess the entity. Overall, Fitch's assessment of the underlying security and entity information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SOURCES OF INFORMATION The information below was used in the analysis: Transaction documentation provided by Credit Suisse International. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING The principal sources of information used in the analysis are described in the Applicable Criteria. REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction. Offering Documents for this market sector typically do not include RW&Es that are available to investors and that relate to the asset pool underlying the trust. Therefore, Fitch credit reports for this market sector will not typically include descriptions of RW&Es. For further information, please see Fitch's Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'. Contacts: Primary Rating Analyst Hitoshi Hibino, Director +81 3 3288 2631 Fitch Ratings Japan Limited Kojimachi Crystal City East Wing 3rd Floor 4-8 Kojimachi, Chiyoda-ku Tokyo 102-0083 Secondary Rating Analyst Jason Chiu, Senior Analyst +852 2263 9959 Surveillance Rating Analyst Hitoshi Hibino, Director +81 3 3288 2631 Fitch Ratings Japan Limited Kojimachi Crystal City East Wing 3rd Floor 4-8 Kojimachi, Chiyoda-ku Tokyo 102-0083 Committee Chairperson Atsushi Kuroda, Senior Director +81 3 3288 2692 Media Relations: Wai Lun Wan, Hong Kong, Tel: +852 2263 9935, Email: wailun.wan@thefitchgroup.com Additional information is available on www.fitchratings.com Applicable Criteria Global Structured Finance Rating Criteria (pub. 17 Jun 2020) (including rating assumption sensitivity) (https://www.fitchratings.com/site/re/10126475) Single- and Multi-Name Credit-Linked Notes Rating Criteria (pub. 12 Feb 2020) (including rating assumption sensitivity) (https://www.fitchratings.com/site/re/10108819) Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 29 Jan 2020) (https://www.fitchratings.com/site/re/10108544) Structured Finance and Covered Bonds Country Risk Rating Criteria (pub. 23 Sep 2020) (https://www.fitchratings.com/site/re/10133529) Additional Disclosures Dodd-Frank Rating Information Disclosure Form (https://www.fitchratings.com/site/dodd-frank-disclosure/10141898) Solicitation Status (https://www.fitchratings.com/site/pr/10141898#solicitation) Endorsement Status (https://www.fitchratings.com/site/pr/10141898#endorsement_status) Endorsement Policy (https://www.fitchratings.com/site/pr/10141898#endorsement-policy) ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. 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