The IDRs for CGML and Citi are equalized, which reflects Fitch's view that CGML is core and integral to Citi's business strategy and operations.
Fitch believes there is a high level of management/operational integration between CGML and other core Citi operations.
Given Fitch's view that CGML is a core subsidiary of Citi, CGML's IDRs would change in conjunction with any changes to Citi's IDRs.
The interest rate swap with CGML was designed to convert the USD-denominated interest and principal payments of the reference entity into MXN-denominated and UDI-adjusted interest and principal payments.
In addition, a swap termination payment could be due from the issuer to CGML upon early termination.
rated 'AA-'; Rating Watch Negative by Fitch) as guarantor to CGML
, as well as the transaction's legal structure.
Additionally, an early termination could occur due to a counterparty default by the swap provider, CGML
, or its guarantor, Citigroup Inc.
The final redemption amount paid by CGML
to the issuer will be made in a USD amount adjusted based on the then-prevailing values of both the Unidad de Fomento (UF) and the exchange rate between the USD and the CLP, as specified in the transaction's governing documents.
The ratings are based upon the credit quality of the reference portfolio, the financial strength of CGML
, as the swap counterparty, the credit quality of the collateral assets and the legal structure of the transaction.
The loaned shares were used by CGML
to promote the sale of the Preferred Stock by facilitating hedging transactions that may be undertaken by purchasers of the Preferred Stock.