Fitch Downgrades Signum Verde Limited 2007-04, Cayman Islands

NEW YORK--()--Fitch Ratings has downgraded the following rating of Signum Verde Limited 2007-04, Cayman Islands (Signum 2007-04):

--CLP4,950,000,000 credit-linked notes (CLNs) to 'Bsf' from 'B+sf'; Outlook remains Negative.

KEY RATING DRIVERS

The downgrade follows Fitch's rating action of the reference entity, Petroleo Brasileiro S.A. (Petrobras). Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating accordingly through application of its current CLN criteria, 'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' dated March 8, 2016.

The rating considers the credit quality of Petrobras' current Issuer Default Rating (IDR) of 'BB', Negative Outlook by Fitch; Goldman Sachs Group, Inc. as swap counterparty (rated 'A', Stable Outlook), and Citigroup Inc. subordinated notes (CUSIP 172967BL4, rated 'A-'). The Rating Outlook reflects the Outlook on the main risk driver, Petrobras, which is the lowest-rated risk-presenting entity.

RATING SENSITIVITIES

The rating remains sensitive to rating migration of each risk-presenting entity. A downgrade of Petrobras would likely result in a downgrade to the notes.

Signum Verde Limited 2007-4, Cayman Islands, (the Issuer) is a single-name CLN transaction designed to provide credit protection on Petrobras with a reference amount of USD10 million. This protection is arranged through a credit default swap (CDS) between the Issuer and the swap counterparty, Goldman Sachs International (GSI), guaranteed by Goldman Sachs Group, Inc.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes (pub. 08 Mar 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878513

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1005202

Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1005202

Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst:
Shashi Srikantan, +1-212-908-0393
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson:
Kevin Corrigan, +1-212-908-0156
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
New York
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst:
Shashi Srikantan, +1-212-908-0393
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson:
Kevin Corrigan, +1-212-908-0156
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
New York
sandro.scenga@fitchratings.com