Please Note
We brought you to this page based on your search query. If this isn't what you are looking for, you can continue to Search Results for ""
The maximum number of items you can export is 3,000. Please reduce your list by using the filtering tool to the left.
Close
Close
Email Research
Recipient email addresses will not be used in mailing lists or redistributed.
Recipient's
Email

Use semicolon to separate each address, limit to 20 addresses.
Enter the
characters you see
Close
Email Research
Thank you for your interest in sharing Moody's Research. You have reached the daily limit of Research email sharings.
Close
Thank you!
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
Already a customer?
LOG IN
Don't want to see this again?
REGISTER
OR
Accept our Terms of Use to continue to Moodys.com:

PLEASE READ AND SCROLL DOWN!

By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

Terms of One-Time Website Use

1.            Unless you have entered into an express written contract with Moody’s to the contrary, you agree that you have no right to use the Information in a commercial or public setting and no right to copy it, save it, print it, sell it, or publish or distribute any portion of it in any form.               

2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

3.            To the extent permitted by law, Moody’s and its directors, officers, employees, representatives, licensors and suppliers disclaim liability for: (i) any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with use of the Information; and (ii) any direct or compensatory damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud or any other type of liability that by law cannot be excluded) on the part of Moody’s or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with use of the Information.

4.            You agree to read [and be bound by] the more detailed disclosures regarding Moody’s ratings and the limitations of Moody’s liability included in the Information.     

5.            You agree that any disputes relating to this agreement or your use of the Information, whether sounding in contract, tort, statute or otherwise, shall be governed by the laws of the State of New York and shall be subject to the exclusive jurisdiction of the courts of the State of New York located in the City and County of New York, Borough of Manhattan.​​​​

I AGREE
Rating Action:

Moody's rates EUR 292.5m Citibank unfunded mezzanine CDS tranches

Global Credit Research - 14 Aug 2010

Hong Kong, August 14, 2010 -- Moody's Investors Service has assigned the following definitive ratings to the three unfunded credit default swaps ("CDS") between Citibank N.A., acting through its London Branch ("Citibank"), and Terra II Mezzanine CLO LLC (the SPV), a limited liability company organized under the laws of the State of Delaware:

- Aa3 (sf) to a EUR 136,500,000 Credit Derivative Transaction (Reference No. 1680) (Class B1), in which the SPV provides credit protection to Citibank on a 18% to 25% tranche of the reference portfolio

- A3 (sf) to a EUR 68,250,000 Credit Derivative Transaction (Reference No. 1681) (Class B2), in which the SPV provides credit protection to Citibank on a 14.5% to 18% tranche of the reference portfolio

- Ba3 (sf) to a EUR 87,750,000 Credit Derivative Transaction (Reference No. 1682) (Class B3), in which the SPV provides credit protection to Citibank on a 10% to 14.5% tranche of the reference portfolio

The Moody's ratings measure the risk on an expected loss basis that the credit protection provider will be required to make payments in respect of credit events under the terms of the transaction. The ratings also address any premiums due but not paid by the protection buyer, up until an early termination date, if any. The ratings do not address potential losses resulting from an early termination of the transaction, nor any market risk associated with the transaction.

Class B1, B2, and B3 are CDS referencing the same replenishable portfolio of corporate loans. The portfolio is currently, and is expected to remain, the same as the portfolio referenced by Class A notes issued by Terra II Senior CLO Ltd. in April 2010.

The reference portfolio consists of senior secured and unsecured obligations of corporate borrowers in mostly Asian and other emerging countries. These obligations arise out of bilateral and agented or syndicated credit agreements originated by Citibank and its affiliates.

As of the closing date, the credit risk transferred by Citibank amounts to a portfolio of EUR 3 billion in total, scheduled to terminate in March 2015. The Class B1, B2, and B3 CDS transfer the mezzanine risk, with an attachment point and detachment point at 18% and 25%, 14.5% and 18%, and 10% and 14.5% respectively, of the portfolio to the SPV. The SPV will be responsible for making good 65% of the credit losses exceeding the attachment point, and will make credit protection payments amounting to no more than a total of EUR 292.5 million under the respective CDS.

Moody's notes that the three CDS are structured to have some buffer for future replenishments or portfolio deterioration. The model outputs for Class B1, B2, and B3 CDS correspond to Aa1, A2, and Ba1 respectively, higher than the respective assigned ratings, based on the reference portfolio at the end of May 2010.

Credit events according to the CDS are defined as bankruptcy, failure to pay, and restructuring.

Losses on each defaulted obligation will be based on the actual recovery amount received for the principal for the defaulted obligation. Any workouts will be conducted by Citibank in a manner applicable to any credit exposures similar to the relevant reference obligation, irrespective of its inclusion in the portfolio. The workout will continue until it is formally concluded or the reference obligation is sold.

The occurrence of a credit event and the compliance of a defaulted obligation with the eligibility criteria, as well as the computation of any losses, will be verified by the verification agent.

ANALYSIS

Moody's initially analyzed and now monitors this transaction using primarily the methodology and its supplements for corporate synthetic CDOs as described in Moody's Rating Methodology Report below:

--Moody's Approach to Rating Corporate Collateralized Synthetic Obligations (September 2009)

This report can be found at www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Rating Methodologies sub-directory. 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.

The main drivers of Moody's analysis of this transaction are:

1. The credit quality of the entities in the portfolio: The average modeled default probability of the portfolio of 9.32% for the 4.6-year time to scheduled termination date, based mostly on a mapping between Citibank's internal rating scale and Moody's rating scale

2. The average assumed mean for Moody's recovery rate for the portfolio: 28.63% (based on the end of May 2010 portfolio)

3. Correlation in the portfolio: The simulated default distribution corresponds to an assumed weighted-average pair-wise asset correlation of 4.74% (based on the end of May 2010 portfolio)

4. An attachment point and a detachment point for each of the three CDS as well as the SPV's responsibility to cover 65% of the loss between their respective attachment points and detachment points

5. A low rating linkage to the credit quality of Citibank being the credit protection buyer who is obligated to pay periodic premiums to the SPV until the transaction terminates

At the end of May 2010, the portfolio comprised 854 reference obligations by 713 corporate reference entities. The major asset types were senior unsecured loans (more than 90%). The top three industries in the initial reference portfolio were Beverage, Food & Tobacco (7.93%); Chemicals, Plastics, & Rubber (7.85%); and Energy: Oil & Gas (6.78%).

In terms of geographical diversification, 40.76% of the portfolio is concentrated in Asia Pacific, 15.05% in South America, 13.61% in Central America, and the rest in Europe, Middle East, Africa, India, and Russia. The top five countries are Australia (9.46%), India (8.00%), Brazil (7.62%), Mexico (7.56%), and South Korea (7.45%).

Only a small portion of the reference portfolio has public ratings. For the remaining portfolio, the credit quality of each reference entities is assessed based on a credit mapping between Citibank's internal rating scale and Moody's public rating scale, last updated in early 2010. The end of May 2010 reference portfolio has a weighted-average rating factor of around 1056, which corresponds to a Ba1/Ba2 rating.

Moody's CDOROM™ was used to measure the potential loss incurred by noteholders. Moody's CDOROM™ is a Monte Carlo simulation that takes Moody's default probabilities as input. Each obligor is modelled individually, with a standard multi-factor model incorporating intra- and inter-industry correlations. The correlation structure is based on a Gaussian copula. In each Monte Carlo scenario, defaults are simulated.

V SCORE

The V Score for this transaction indicates Medium/High uncertainty about critical assumptions. This is in line with the Medium/High score for both the Corporate Synthetic CDO Sector. The V Score for this transaction is driven by a high level uncertainty of sector performance variability; medium/high level uncertainty in assessing the portfolio credit quality (which is estimated based on credit mapping without knowing the exact credit quality of any individual name); and a medium level uncertainty of the alignment of interests since the rationale for transaction is for balance sheet management; as well as other factors.

PARAMETER SENSITIVITIES

Moody's also ran sensitivities for key parameters for the three CDS. For instance:

- if the assumed weighted average default rate of 9.32% used in determining the initial rating were changed to 11.05%, the model output for the Class B1 CDS would remains at Aa3, but the Class B2 CDS would change from A3 to Baa2, and Class B3 CDS would change from Ba3 to B1.

- if the assumed weighted average default rate of 9.32% used in determining the initial rating were changed to 12.91%, the model output for the Class B1 CDS would change from Aa3 toA2, the Class B2 CDS would change from A3 to Ba1, and Class B3 CDS would change from Ba3 to B3.

- if the assumed weighted average recovery rate of 28.63% were changed to 20%, the model output for all the Class B1, B2, and B3 CDS would sustain a Aa3, A3, and Ba3.

- if the assumed weighted average recovery rate of 28.63% were changed to 10%, the model output for the Class B1 CDS would change from Aa3 toA1, the Class B2 CDS would change from A3 to Baa3, and Class B3 CDS would change from Ba3 to B1.

Moody's will monitor these ratings. Any change in these ratings will be publicly disseminated by Moody's through normal print and electronic media in accordance with Moody's standard practice at the time.

Frankfurt am Main
Thorsten Klotz
MD - Structured Finance
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Hong Kong
Elaine Ng
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Hong Kong Ltd.
JOURNALISTS: (852) 3758 -1350
SUBSCRIBERS: (852) 3551-3077

Moody's Investors Service Hong Kong Ltd.
24/F One Pacific Place
88 Queensway
Hong Kong
China (Hong Kong S.A.R.)

Moody's rates EUR 292.5m Citibank unfunded mezzanine CDS tranches
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

MOODY’S CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. 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 or in preparing the Moody’s publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors. It would be reckless and inappropriate for retail investors to use MOODY’S credit ratings or publications when making an investment decision. If in doubt you should contact your financial or other professional adviser.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.