NEW YORK--(BUSINESS WIRE)--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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