NEW YORK--(BUSINESS WIRE)--Fitch Ratings has upgraded the notes of Jupiter Finance Limited Series No 2008-003 (Jupiter 2008-003):
-- CLP13,972,500,000 notes to 'BBB+sf' from 'BBBsf', Outlook Stable.
KEY RATING DRIVERS
The rating is based on the Issuer Default Ratings (IDRs) of the reference entity, Corporacion Nacional del Cobre de Chile (Codelco) and the rating of the qualified investment, Citigroup Inc. Subordinated Notes (Citigroup Sub Notes; ISIN US172967DR95) rated 'A-', the two risk-presenting entities, as described in the criteria 'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (CLN Criteria). Since the swap counterparty, Citigroup Global Markets Limited (CGML; parent Citigroup Inc. rated 'A/F1' Outlook Stable), is also the issuer of the qualified investment, counterparty is not considered to be an additional risk presenting entity under Fitch's CLN criteria.
The rating remains sensitive to Fitch's rating of the reference entity, Codelco, and the qualified investment. A change in Fitch's rating of either risk-presenting entity, would likely result in a revision in the rating of the notes.
At closing, the issuer purchased, at a discount, USD 30 million of Citigroup Inc. subordinated bonds (the qualified investment) and entered into an interest rate and credit default swap with CGML. Pursuant to the interest rate swap, the issuer will forward all interest payments and the final principal payment from the qualified investments to CGML. Through the credit default swap, CGML will buy protection from the issuer on the reference entity, Codelco. In exchange, CGML will make one lump-sum principal payment to the issuer at the transaction's scheduled maturity date in 2036.
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 Chilean Peso (CLP), as specified in the transaction's governing documents. UF is an inflation-linked unit of account having an equivalent in CLP.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria & Related Research:
--'Global Structured Finance Rating Criteria' (August 4, 2014);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);
--'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (February 2014).
Applicable Criteria and Related Research:
Counterparty Criteria for Structured Finance and Covered Bonds
Global Structured Finance Rating Criteria