Fitch Downgrades Signum Verde Limited 2006-02; Remains on Rating Watch Negative

NEW YORK--()--Fitch Ratings has downgraded the following Signum Verde Limited 2006-02 (Signum 2006-02) rating. The rating remains on Rating Watch Negative.

--CLP5,300,000,000 credit-linked notes 'BB+' from 'BBB-'.

KEY RATING DRIVERS

The rating action follows Fitch's downgrade of the reference entity, Vale S.A. Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating accordingly through application of its credit-linked note (CLN) criteria, 'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' dated March 9, 2015.

The rating considers the credit quality of Vale S.A.'s current Issuer Default Rating (IDR) of 'BBB', Rating Watch Negative as the reference entity and Goldman Sachs Group, Inc.'s Issuer Default Rating (IDR) of 'A' with a Stable Outlook as the swap counterparty and issuer of the qualified investment. The Rating Watch reflects the Watch on the main risk driver, Vale S.A., 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 Vale S.A. would likely result in a downgrade to the notes.

Signum Verde 2006-02 is a single name credit-linked note structure linked to the credit risk of Vale, S.A. as the underlying reference entity and to the Goldman Sachs Group, Inc. as issuer of the collateral and as guarantor to the swap counterparty. At closing, the issuer entered into an interest rate and credit default swap with the swap counterparty, and used the CLP5.3 billion proceeds from the sale of the notes to purchase approximately USD10 million of collateral to fund the swaps. The collateral is senior unsecured floating-rate notes issued by the Goldman Sachs Group, Inc., and due is in 2034.

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. 09 Mar 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863276

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=996986

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=996986

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

Contacts

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