[SPSF] Citigroup Credit Link Loan 2017-03 Assigned #A+# Rating

Stocks and Financial Services Press Releases Thursday March 8, 2018 11:46
TOKYO--8 Mar--S&P Global Ratings

TOKYO (S&P Global Ratings) March 8, 2018--S&P Global SF Japan Inc. (SPSF) today said it has assigned its 'A+' rating to Citigroup Credit Link Loan 2017-03's $20 million asset-backed loan (ABL), which is due 2027 and was extended to Sumitomo Mitsui Trust Bank Ltd. (the ABL borrower or trustee; see list below).

The ABL borrower (trustee) entered an agreement with the lender for a U.S. dollar-denominated loan. The trustee simultaneously conducted a currency swap and a single-name credit default swap (CDS) with Citigroup Global Markets Japan Inc. (the swap counterparty), with whom the borrower also entered into a trust agreement. The swap counterparty converted the U.S. dollar-denominated loan into yen, and the trustee purchased the collateral asset. During the transaction term, the trustee transfers the interest and principal payments from the collateral asset to the swap counterparty; the trustee pays the ABL interest and principal with the amount received from the swap counterparty after deducting the trustee fee.

We link the rating on the ABL to the ratings on the swap counterparty, the CDS reference entity, and the collateral asset. It should be noted that the lender has an option to prematurely terminate the transaction.

The 'A+' rating reflects our views primarily on: