Fitch Ratings has downgraded Argentum Capital S.A. 2019-133 notes to 'BBBsf' from 'BBB+sf'.

The Outlook is Negative.

The downgrade of the notes, which are exposed to Credit Suisse International, follows the recent downgrade of the latter's Long-Term Issuer Default Rating (IDR) to 'BBB+'/Outlook Negative from 'A-'/Outlook Stable (see ' Fitch Downgrades Credit Suisse Group to 'BBB'; Outlook Negative' dated 4th August 2022 at www.fitchratings.com).

RATING ACTIONS

Entity / Debt

Rating

Prior

Argentum Capital S.A. 2019-133

2019-133 XS2022019389

LT

BBBsf

Downgrade

BBB+sf

Page

of 1

VIEW ADDITIONAL RATING DETAILS

Transaction Summary

The transaction repackages a fixed-rate US dollar-denominated Barclays plc bond into a floating-rate EURIBOR-linked euro note. Under the swap agreement, the funds received from Barclays are paid to the swap counterparty - Credit Suisse International - and all amounts necessary to pay the notes are paid by the swap counterparty to the issuer.

KEY RATING DRIVERS

Two Risk-Presenting Entities (Neutral): The transaction is a repackaging of a Barclays plc (A/Stable) fixed-rate US dollar bond into a floating-rate euro-paying note. The incorporated swap also exposes the transaction to the swap counterparty, Credit Suisse International (BBB+/Negative). The notes' rating is determined by using our two-risk presenting entity credit-linked note (CLN) matrix - comprising Credit Suisse International and Barclays plc - with no downward notching applied to the matrix, as restructuring is not deemed an event of default in this CLN transaction.

Credit Suisse International, the weakest link in the transaction, has a rating that depends on the Credit Suisse Group rating. In response to the downgrade on Credit Suisse Group, Fitch has also downgraded Credit Suisse International 's rating to 'BBB+' with Negative Outlook. We have applied Credit Suisse International 's lower rating (versus Barclays plc) in Fitch's two-risk CLN matrix to determine the note's ratings.

Credit Suisse International Drives Outlook: The Negative Outlook of the transaction is in line with the Outlook of Credit Suisse International, the weakest risk-presenting entity.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

If the weakest link entity Credit Suisse International is downgraded by one notch then the notes' rating would be downgraded by one notch. If the additional risk Barclays plc is downgraded by one notch then the notes' rating remains unchanged. If both are downgraded by one notch then the notes' rating would be downgraded by one notch.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

If the weakest-link entity Credit Suisse International is upgraded by one notch then the notes' rating would be upgraded by one notch. If the additional risk Barclays plc is upgraded by one notch then notes' rating would remain unchanged. If both are upgraded by one notch then the notes' rating would be upgraded by one notch.

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

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. 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.

The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above, 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.

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.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

Argentum Capital S.A. 2019-133 rating is dependent on Credit Suisse International and Barclays Plc

Additional information is available on www.fitchratings.com

PARTICIPATION STATUS

The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer's available public disclosure.

APPLICABLE CRITERIA

Single- and Multi-Name Credit-Linked Notes Rating Criteria (pub. 12 Feb 2021) (including rating assumption sensitivity)

Global Structured Finance Rating Criteria (pub. 26 Oct 2021) (including rating assumption sensitivity)

Structured Finance and Covered Bonds Counterparty Rating Criteria (pub. 30 Jul 2022)

Structured Finance and Covered Bonds Counterparty Rating Criteria: Derivative Addendum (pub. 01 Aug 2022)

ADDITIONAL DISCLOSURES

Dodd-Frank Rating Information Disclosure Form

Solicitation Status

Endorsement Policy

ENDORSEMENT STATUS

Argentum Capital S.A. 2019-133 	UK Issued, EU Endorsed

(C) 2022 Electronic News Publishing, source ENP Newswire