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I AGREE
04 Feb 2011
USD 102.5m of debt securities rated
Hong Kong, February 04, 2011 -- Moody's Investors Service has assigned a definitive rating to the following
trust certificates:
Issuer: TIERS® Funding Trust, Series 2011-01
........ USD 102,500,000
TIERS® Funding Trust Certificates, Series 2011-01,
Definitive Rating Assigned A3
The rating addresses the expected loss posed to investors by the legal
final maturity of the certificates.
Moody's ratings address only the credit risks associated with the transaction.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
TRANSACTION OVERVIEW
At closing, the issuer has entered into a total return swap agreement
(TRS) with Citigroup Financial Products Inc., the TRS counterparty.
The issuer pays the issuance proceeds of the certificates to the TRS counterparty
in exchange for a portfolio of assets.
Under the TRS, the issuer will pass through the collections received
from the underlying assets pool to the TRS counterparty.
The TRS counterparty will, in return, pay the issuer (i) the
monthly interest on the certificates; and (ii) the certificates'
outstanding principal amount on the accelerated final exchange date or
the final maturity date.
If the TRS counterparty fails to pay the certificates' outstanding
principal amount -- upon the termination of the TRS -- then
the underlying assets pool will be liquidated.
The TRS counterparty will be required to pay the issuer an amount equal
to the then-current certificates' outstanding principal plus the
accrued interests plus any reasonable fees and, expenses and other
costs incurred by the trustee in connection with the final price determination,
sale of the assets pool, minus the final price of the assets pool.
The issuer will use the payments from the TRS counterparty and the liquidation
proceeds of the assets pool to repay the certificate holders.
RATINGS RATIONALE
The rating is linked directly to the senior unsecured rating of Citigroup
Inc. (A3, with negative outlook). Citigroup Inc.,
as the TRS guarantor, is providing an absolute and unconditional
guarantee on the due and punctual payments of all amounts payable by the
TRS counterparty.
As long as the TRS counterparty and/or the TRS guarantor is fulfilling
its obligations under the TRS, the issuer will be able to meet its
payment obligations under the certificates, regardless of whether
the underlying assets pool is performing or not.
The transaction allows the TRS counterparty to replace the underlying
assets from time to time. However, this asset replacement arrangement
has no rating impact as the rating of the certificates is relying primarily
on the ability of Citigroup Inc. to fulfil its payment obligation
under the TRS.
The principal methodology used in this rating was Moody's Approach to
Rating Repackaged Securities published in April 2010.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service did not receive or take into account any third-party
due diligence reports on the underlying assets or financial instruments
in this transaction.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings and public information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Hong Kong
Jerome Cheng
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Hong Kong Ltd.
JOURNALISTS: (852) 3758 -1350
SUBSCRIBERS: (852) 3551-3077
Sydney
Andrew Zanchetta
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Pty. Ltd.
JOURNALISTS: (612) 9270-8102
SUBSCRIBERS: (612) 9270-8100
Moody's Investors Service Hong Kong Ltd.
24/F One Pacific Place
88 Queensway
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China (Hong Kong S.A.R.)
JOURNALISTS: (852) 3758 -1350
SUBSCRIBERS: (852) 3551-3077
Moody's assigns A3 to rating to TIERS Trust Certificates
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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