CHICAGO--(BUSINESS WIRE)--Fitch Ratings has affirmed the notes issued by Latam Trust series 2007-105 (Latam 2007-105), removed the Negative Watch status and assigned a Stable Outlook as follows:
--CLP5,136,000 credit-linked notes 'BB+sf'; Outlook Stable.
The rating action is based on the rating of the reference entity, Endesa, S.A. (rated 'BBB+'; Outlook Negative by Fitch). Fitch affirmed the rating of Endesa and resolved its Negative Watch status on Jan. 16, 2013. Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating accordingly through application of its current credit-linked note (CLN) criteria, 'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' dated Feb. 22, 2012.
Fitch's rating of Latam 2007-105 is credit-linked to the rating of the qualified investment, Merrill Lynch & Co., Inc. subordinated notes (ISIN XS0267827169, rated 'BBB' by Fitch), and the reference entity. Since the subordinated notes are considered the highest risk-presenting entity, the Rating Outlook assigned to Latam 2007-105 reflects the Outlook on the issuer of the subordinated notes, Merrill Lynch & Co., Inc. (rated 'A'; Outlook Stable by Fitch).
Latam 2007-105 (the issuer) is a single-name CLN structure referencing Endesa, S.A. via a Credit Default Swap (CDS) between the issuer and the swap counterparty, Merrill Lynch Capital Services (MLCS), which is guaranteed by Merrill Lynch & Co., Inc. The CDS is funded by subordinated notes (the qualified investment) issued by Merrill Lynch & Co., Inc. The rating of the notes addresses the likelihood that investors will receive full and timely payments of interest and repayment of principal by the legal final maturity date according to the terms of the notes. Payments of interest and principal will be made in U.S. dollar (USD) amounts adjusted according to both the prevailing value of the Unidad de Fomento (UF) and the CLP/USD exchange rate.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
The information used to assess this rating was sourced from the swap counterparty and the public domain.
Applicable Criteria & Related Research:
--'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (Feb. 22, 2012);
--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012).
Applicable Criteria and Related Research:
Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes
Counterparty Criteria for Structured Finance Transactions