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Silver Arrow Capital XVI
Issuer and Key Parties
Issuer Information
- Name: Silver Arrow S.A.
- Country: Luxembourg
- Type: Public limited liability company (société anonyme)
Underwriter, Arranger, and Manager Information
| Role | Name | Country | Address |
|---|---|---|---|
| Underwriter | Landesbank Baden-Württemberg | Germany | Am Hauptbahnhof 2, 70173 Stuttgart, Germany |
| Société Générale S.A. | France | 29 Boulevard Haussmann, 75009 Paris, France | |
| Arranger | Société Générale S.A. | France | 29 Boulevard Haussmann, 75009 Paris, France |
| Manager | ING Bank N.V. | Netherlands | Bijlmerdreef 106, 1102 CT Amsterdam, Netherlands |
| Skandinaviska Enskilda Banken AB (publ) | Sweden | Kungsträdgårdsgatan 8, SE 106 40 Stockholm, Sweden |
Trustee and Collateral Administrator Information
| Role | Name | Parent Company | Country | Additional Information |
|---|---|---|---|---|
| Trustee | Wilmington Trust SP Services (Frankfurt) GmbH | M&T Bank Corp. | USA | Acts as corporate administrator and security trustee in capital market transactions. |
| Collateral Administrator | Data Custody Agent Services B.V. | Intertrust (Netherlands) B.V. | Netherlands | Acts as Data Trustee, responsible for receiving the Decryption Key related to encrypted Portfolio Information. |
Principal Parties Involved
| Role | Name | Country |
|---|---|---|
| Seller | Mercedes Benz Bank AG | Germany |
| Secured Parties | Compartment 16 Noteholders | |
| Corporate Services Provider | ||
| Calculation Agent | ||
| Account Bank | ||
| Swap Counterparty | ||
| Paying Agent | ||
| Custodian | ||
| Interest Determination Agent | ||
| Joint Lead Managers and Joint Bookrunners | ||
| Landesbank Baden-Württemberg | Germany | |
| Société Générale S.A. | France | |
| Managers | ||
| ING Bank N.V. | Netherlands | |
| Skandinaviska Enskilda Banken AB (publ) | Sweden | |
| Subordinated Lender | ||
| Data Trustee | ||
| Trustee | ||
| Servicer (if different) |
Note Class Details and Payment Information
Detailed Information for Each Note Class
| Attribute | Class A Compartment 16 Notes | Class B Compartment 16 Notes |
|---|---|---|
| Initial Aggregate Outstanding Note Principal Amount | EUR 700,000,000 | EUR 45,500,000 |
| Notional Value | EUR 100,000 | EUR 100,000 |
| Issue Price | 100 per cent. | 100 per cent. |
| Interest Rate | EURIBOR plus 0.48% per annum, subject to a floor of zero | 1.00% per annum |
| Expected Ratings | DBRS / S&P Global Ratings AAA(sf) | n/a |
| First Payment Date | 15 December 2023 | 15 December 2023 |
| Legal Maturity Date | 15 September 2030, subject to the Business Day Convention | 15 September 2030, subject to the Business Day Convention |
| ISIN code | XS2697679442 | XS2697682669 |
| Common code | 269767944 | 269768266 |
Amortization Profile of Class Notes
Key Assumptions:
- Issue Date: 17 November 2023
- First Payment Date: 15 December 2023
- Payment Frequency: Monthly on the 15th of each month
- Cut Off Date: 30 September 2023
- Amortization Profile: Based on scheduled amortization of Purchased Loan Receivables
Amortization Schedule (Projected Payments):
| Payment Date | Principal Payment | Interest Payment | Total Payment |
|---|---|---|---|
| Nov 2023 | - | - | - |
| Dec 2023 | TBD | TBD | TBD |
| Jan 2024 | TBD | TBD | TBD |
| Feb 2024 | TBD | TBD | TBD |
| Mar 2024 | TBD | TBD | TBD |
| Apr 2024 | TBD | TBD | TBD |
| May 2024 | TBD | TBD | TBD |
| Jun 2024 | TBD | TBD | TBD |
| Jul 2024 | TBD | TBD | TBD |
| Aug 2024 | TBD | TBD | TBD |
| Sep 2024 | TBD | TBD | TBD |
| Oct 2024 | TBD | TBD | TBD |
| Nov 2024 | TBD | TBD | TBD |
| Dec 2024 | TBD | TBD | TBD |
| Jan 2025 | TBD | TBD | TBD |
| Feb 2025 | TBD | TBD | TBD |
| Mar 2025 | TBD | TBD | TBD |
| Apr 2025 | TBD | TBD | TBD |
| May 2025 | TBD | TBD | TBD |
| Jun 2025 | TBD | TBD | TBD |
| Jul 2025 | TBD | TBD | TBD |
| Aug 2025 | TBD | TBD | TBD |
| Sep 2025 | TBD | TBD | TBD |
| Oct 2025 | TBD | TBD | TBD |
| Nov 2025 | TBD | TBD | TBD |
| Dec 2025 | TBD | TBD | TBD |
| Jan 2026 | TBD | TBD | TBD |
| Feb 2026 | TBD | TBD | TBD |
| Mar 2026 | TBD | TBD | TBD |
| Apr 2026 | TBD | TBD | TBD |
| May 2026 | TBD | TBD | TBD |
| Jun 2026 | TBD | TBD | TBD |
| Jul 2026 | TBD | TBD | TBD |
| Aug 2026 | TBD | TBD | TBD |
| Sep 2026 | TBD | TBD | TBD |
| Oct 2026 | TBD | TBD | TBD |
| Nov 2026 | TBD | TBD | TBD |
| Dec 2026 | TBD | TBD | TBD |
| Jan 2027 | TBD | TBD | TBD |
| Feb 2027 | TBD | TBD | TBD |
| Mar 2027 | TBD | TBD | TBD |
| Apr 2027 | TBD | TBD | TBD |
Payment Cadence for Interest and Principal
- Payment Frequency: Monthly
- Payment Date: 15th day of each calendar month, subject to the Business Day Convention
- First Payment Date: 15 December 2023
Specific Payment Schedule:
- December 2023: 15 December 2023
- January 2024: 15 January 2024
- February 2024: 15 February 2024
- March 2024: 15 March 2024
- April 2024: 15 April 2024
- May 2024: 15 May 2024
- June 2024: 15 June 2024
- July 2024: 15 July 2024
- August 2024: 15 August 2024
- September 2024: 15 September 2024
- October 2024: 15 October 2024
- November 2024: 15 November 2024
- December 2024: 15 December 2024
- January 2025: 15 January 2025
- February 2025: 15 February 2025
- March 2025: 15 March 2025
- April 2025: 15 April 2025
- May 2025: 15 May 2025
- June 2025: 15 June 2025
- July 2025: 15 July 2025
- August 2025: 15 August 2025
- September 2025: 15 September 2025
- October 2025: 15 October 2025
- November 2025: 15 November 2025
- December 2025: 15 December 2025
- January 2026: 15 January 2026
- February 2026: 15 February 2026
- March 2026: 15 March 2026
- April 2026: 15 April 2026
- May 2026: 15 May 2026
- June 2026: 15 June 2026
- July 2026: 15 July 2026
- August 2026: 15 August 2026
- September 2026: 15 September 2026
- October 2026: 15 October 2026
- November 2026: 15 November 2026
- December 2026: 15 December 2026
- January 2027: 15 January 2027
- February 2027: 15 February 2027
- March 2027: 15 March 2027
- April 2027: 15 April 2027
Notes:
- Payments will continue on the 15th of each month until the Legal Maturity Date, which is set for 15 September 2030, unless the notes are redeemed earlier.
Dates and Timelines
Important Dates and Timelines
| Event | Date |
|---|---|
| Signing of Transaction 16 Documents | 15 November 2023 |
| Subsequent Date | 17 November 2023 |
| First Payment Date | 15 December 2023 |
| Monthly Payment Dates | 15th day of each calendar month thereafter, subject to the Business Day Convention |
| Last Payment Date (Legal Maturity Date) | 15 September 2030, subject to the Business Day Convention |
Cash Flow Waterfall and Payment Model
Principal Priority of Payments Model (Payment Waterfall Model)
- Pre-enforcement Phase: Distribution order before Enforcement Notice:
- Taxes
- Trustee Payments
- Administration Expenses and Servicing Fee
- Net Swap Payments
- Class A Interest
- General Reserve
- Class A Principal Redemption
- Class B Interest
- Class B Principal Redemption
- Subordinated Loan Interest
- Subordinated Loan Redemption
- Indemnity Payments
- Other Swap Payments
-
Final Success Fee
-
Post-enforcement Phase: Distribution order after Enforcement Notice:
- Taxes
- Trustee Payments
- Administration Expenses and Servicing Fee
- Net Swap Payments
- Class A Interest
- Class A Principal Redemption
- Class B Interest
- Class B Principal Redemption
- Subordinated Loan Interest
- Subordinated Loan Principal
- Indemnity Payments
- Other Swap Payments
- Final Success Fee
Interest Priority of Payments Model (Interest Payment Waterfall Model)
- Pre-enforcement Phase: Distribution order before Enforcement Notice:
- Taxes
- Trustee Payments
- Administration Expenses and Servicing Fee
- Net Swap Payments
- Class A Interest
- Class B Interest
-
Subordinated Loan Interest
-
Post-enforcement Phase: Distribution order after Enforcement Notice:
- Taxes
- Trustee Payments
- Administration Expenses and Servicing Fee
- Net Swap Payments
- Class A Interest
- Class B Interest
- Subordinated Loan Interest
Other Priority of Payment Phases
| Model Type | Description |
|---|---|
| Ramp-Up Waterfall Model | Initial phase for building reserves or paying down obligations before main distributions begin. |
| Wind-Down Waterfall Model | Distribution during final stages of securitization, ensuring all obligations are settled systematically. |
| Acceleration Waterfall Model | Payment order after enforcement actions initiated by the Trustee. |
Events or Triggers for Changes in Priority of Payments
- Issuance of an Enforcement Notice
- Default Events
- Termination Events
- Downgrade of the Swap Counterparty
- Changes in Regulatory or Legal Requirements
- Amendments to Transaction Documents
Triggers for Events of Default or Enforcement
| Trigger Type | Description |
|---|---|
| Issuer Event of Default | Failure to make payments or breach of covenants. |
| Insolvency of the Issuer | Triggers immediate enforcement actions. |
| Failure to Comply with Financial Covenants | Non-compliance with specified financial ratios. |
| Cross-Default Provisions | Default on other financial obligations triggering enforcement. |
| Material Adverse Change | Significant negative change in financial condition. |
| Issuance of an Enforcement Notice | Marks transition from pre-enforcement to post-enforcement priority. |
Breakdown of Fees and Expenses
| Fee/Expense Type | Description |
|---|---|
| Trustee Fees | Standard fee and additional remuneration for extra services during enforcement. |
| Indemnification | Issuer indemnifies Trustee against costs and damages. |
| Value Added Tax (VAT) | Issuer pays VAT on fees and indemnities. |
| Taxes and Duties | Issuer bears stamp duties and transfer taxes related to Compartment 16 Security. |
| Servicing Fees | Servicer entitled to fees for servicing Performing Loan Receivables. |
| Administration Expenses | Distributed on a pro rata and pari passu basis. |
Impact of Fees and Expenses on Cash Flow
- Reduction in Available Cash Flow: Fees and expenses reduce cash available for noteholders.
- Increased Financial Burden: Obligations can strain liquidity.
- Impact on Servicing and Administration: Essential for operations but represent significant outflows.
- Priority of Payments: Fees are prioritized, potentially delaying or reducing payments to investors.
Underlying Assets, Security, and Redemption Provisions
Underlying Assets
- Payment Condition: The payment of interest and principal on the Compartment 16 Notes is conditional upon the performance of the Purchased Loan Receivables.
Security for the Notes
- Security Structure: The Compartment 16 Notes benefit from security granted over the assets by the Issuer to the Trustee pursuant to the Trust Agreement and the Security Deed.
- Obligation Type: The Compartment 16 Notes constitute direct, unconditional, and unsubordinated obligations of the Issuer, ranking pari passu among themselves, subject to the applicable Priority of Payments.
- Recourse Classification: They are classified as limited recourse obligations of the Issuer.
Redemption Provisions
- Early Redemption: The Compartment 16 Notes are subject to redemption provisions that allow for the early redemption of the Notes under certain conditions.
- Conditions for Redemption: The Issuer may redeem the Compartment 16 Notes in whole, but not in part, at their principal amount together with accrued interest, if certain conditions are met, including the occurrence of a Clean-Up Call Event.
Table of Key Details
| Category | Details |
|---|---|
| Underlying Asset Type | Loan-to-Value (LTV) |
| Security Structure | Security granted over assets by Issuer to Trustee |
| Obligation Type | Direct, unconditional, and unsubordinated obligations |
| Recourse Classification | Limited recourse obligations |
| Early Redemption Conditions | Clean-Up Call Event required for early redemption |
| Redemption Amount | Principal amount plus accrued interest |
Fund Reserve
Fund Reserve Details
- item: No content available regarding the fund reserve details.
Table of Fund Reserve Information
| Col 1 | Col 2 |
|---|---|
| value | No data available |
| value | No data available |
| value | No data available |
Risk Retention and Credit Enhancements
Risk Retention in the UK, US, and EU
| Region | Legal Requirement | Contractual Undertaking | Risk Retention Modality |
|---|---|---|---|
| UK | Article 6 of the UK Securitisation Regulation mandates risk retention. | Seller commits to retaining a material net economic interest. | Material net economic interest as per Article 6(3)(d). |
| US | U.S. Risk Retention Rules mandate a minimum retention of 5% of credit risk. | Seller commits to retaining a material net economic interest as specified in the transaction documents. | Material net economic interest, typically structured as a 5% retention of credit risk. |
| EU | Article 6 of the Securitisation Regulation mandates a minimum retention of 5% of the material net economic interest. | Seller commits to retaining a material net economic interest as specified in the transaction documents. | Material net economic interest, typically structured as a 5% retention of the securitised assets. |
Types of Credit Enhancements
| Type of Credit Enhancement | Description | Details |
|---|---|---|
| Overcollateralization | Value of collateral exceeds the value of securities issued. | Specific percentage not detailed, but common practice to enhance credit quality. |
| Reserve Accounts | Various reserves to cover potential shortfalls. | - Set Off Reserve: Collateral if Set Off Exposure exceeds 0.5% of Aggregate Outstanding Loan Principal Amount. |
| - Commingling Reserve: Required during Commingling Reserve Trigger Event, can be in cash or Eligible Securities. | ||
| - Servicing Fee Reserve: Covers replacement costs and servicing fees during Servicer Termination Event. | ||
| Subordination | Payment hierarchy structure. | Specific details not provided, but enhances credit quality of senior tranches. |
Impact of Credit Enhancements on Cash Flow
| Credit Enhancement Type | Impact on Cash Flow | Example |
|---|---|---|
| Overcollateralization | Provides a buffer against defaults, enhancing cash flow stability. | 10% overcollateralization means $110 collateral for every $100 of securities issued. |
| Reserve Accounts | Ensures availability of funds to cover potential shortfalls, protecting cash flow. | Set Off Reserve, Commingling Reserve, and Servicing Fee Reserve all contribute to cash flow stability. |
| Subordination | Prioritizes payments to senior tranches, enhancing their cash flow security. | Senior tranche continues to receive payments even if junior tranche experiences losses. |
Legal, Regulatory and Tax Implications
Key Legal and Regulatory Factors Affecting Cash Flows
| Factor | Description |
|---|---|
| Liquidity Coverage Ratio (LCR) Regulation | Regulation (EU) No 2015/61 and Delegated Regulation (EU) 2018/1620 (effective 30 April 2020) affecting liquidity inflows/outflows. |
| Capital Requirements Directive V (CRD V) | May negatively impact regulatory capital costs for investors. |
| U.S. Risk Retention Rules | Exemption for non-U.S. transactions; compliance is crucial to avoid regulatory actions. |
| Financial Transaction Tax (FTT) | Proposed tax could apply to dealings in Notes; scope uncertain. |
| Foreign Account Tax Compliance Act (FATCA) | Non-compliance may lead to 30% withholding tax on income. |
| Anti-Tax Avoidance Directive (ATAD) | New measures may limit payment deductions, affecting cash flows. |
Compliance Requirements and Their Impact on the Cash Flow Model
| Compliance Requirement | Impact |
|---|---|
| UK Securitisation Regulation | Due diligence failure may lead to additional risk weight and regulatory capital charges. |
| U.S. Risk Retention Rules | Non-compliance could affect market value and liquidity of Notes. |
| FATCA | Non-compliance may result in 30% withholding tax on income. |
| ATAD Laws | New measures may limit payment deductions, impacting cash flows. |
| CRS and DAC II Compliance | Non-compliance may result in penalties affecting cash flows. |
Tax Considerations Impacting Cash Flows
| Tax Consideration | Description |
|---|---|
| Luxembourg Corporate Income Tax | Issuer liable for tax on worldwide net profits; ATAD may limit payment deductions. |
| Exceeding Borrowing Costs | Limitations under ATAD may affect deductions; exemptions exist. |
| Hybrid Mismatch Rules | Could impact tax treatment of payments to investors. |
| German Tax Implications | Permanent establishment could lead to German taxation, reducing cash flows. |
| Capital Gains Tax for German Noteholders | Subject to personal/corporate income tax plus surcharges. |
| Withholding Tax on Capital Gains | 25% withholding tax on capital gains if held in custodial accounts. |
| Loss Compensation Rules | New rules allow offsetting losses against gains, complicating cash flow expectations. |
Jurisdictional Tax Differences and Implications
| Jurisdiction | Tax Implication |
|---|---|
| Germany | Gift/inheritance tax on transfers; capital gains tax plus surcharges; withholding tax on custodial accounts. |
| Luxembourg | No withholding tax on payments to non-residents; corporate income tax on worldwide profits. |
| U.S. | FATCA compliance required; non-compliance leads to 30% withholding tax. |
| Common Reporting Standard (CRS) | Compliance may require tax status information from Noteholders; penalties for non-compliance. |
Secondary Market Information
Liquidity and Trading in the Secondary Market
- Current Status: There is currently no secondary market for the Class A Compartment 16 Notes, despite an application for listing on the Luxembourg Stock Exchange.
- Market Development: There is no assurance that bids and offers will develop, nor that a liquid secondary market will emerge for these notes. If a market does develop, it may not provide sufficient liquidity to absorb bids, and there is no guarantee that this market will persist throughout the life of the notes.
- Impact of Limited Liquidity: The limited liquidity in the secondary market for asset-backed securities has adversely affected their market value. This situation is particularly severe for securities sensitive to prepayment, credit, or interest rate risks, and those tailored for specific investor categories.
- Potential Sale Outcomes: Any sale of the Class A Compartment 16 Notes by noteholders in a secondary market transaction may occur at a discount to the original purchase price. Investors should be prepared to hold these notes until the Legal Maturity Date.
Expected Trading Volumes and Bid-Ask Spreads
| Aspect | Details |
|---|---|
| Trading Volumes | No specific information available; currently no secondary market implies negligible volumes. |
| Bid-Ask Spreads | No information available; likely wide if any trading occurs due to illiquidity. |
| Market Conditions | Absence of a liquid secondary market may lead to unfavorable trading conditions for investors. |
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