Fitch Affirms Signum Finance Cayman Limited Series 2010-09

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the following notes issued by Signum Finance Cayman Limited Series 2010-09 (Signum Finance 2010-09):

--$200,000,000 secured variable-rate notes at 'A sf'; Outlook Stable.

KEY RATING DRIVERS

The rating affirmation is based on the credit rating of Goldman Sachs Group Inc. and the performance of the insurance pool referenced under the swap agreement. Fitch applied the two-risk CLN matrix under its criteria for single- and multi-name credit-linked notes (referenced at the end of this press release) to determine the rating of the notes.

Goldman Sachs Group Inc. (IDR 'A') is currently the highest risk-presenting entity. Goldman Sachs Group Inc. is the guarantor to Goldman Sachs International (GSI), the swap counterparty, the backup collateral assets settlement provider (backup CASP) and the collateral asset issuer and is treated as one risk-presenting entity.

The note is exposed to an event trigger that is based on the cumulative actual-to-expected mortality ratio of a defined pool of policyholders. This ratio showed favourable improvement over the past 12 months and continues to be significantly below specified trigger levels. As of the surveillance report dated April 30, 2015, the cumulative actual-to-expected mortality ratio was around 90%. Thus, it remains within range of the modeling expectations of an implied rating of 'AA'.

Signum 2010-09 (the issuer) is a bankruptcy-remote, special purpose vehicle (SPV) established to issue the notes with the proceeds being used to purchase collateral assets in the form of 15-year senior unsecured bonds issued by Goldman Sachs Group Inc. The issuer also entered into a 15-year swap with GSI as the swap counterparty.

Under the mortality swap, the SPV provides mortality protection on a defined block of U.S. level-term life insurance policies. The SPV makes payments to GSI in the event actual mortality experience of the defined block exceeds specified trigger levels. The fixed payments to the SPV from GSI will be paid to investors in the notes along with any interest received on the collateral assets.

An agreement with the CASP provides for a return of par value to the issuer in exchange for a principal amount of the collateral assets equivalent to the payment due from the issuer to the noteholder in the event of an early redemption due to a cancellation event under the mortality swap, or from the issuer to the swap counterparty following a loss. GSI serves as the Backup CASP, providing for the full payment of par value should the CASP default in its obligations under the agreement.

RATING SENSITIVITIES

The rating of the note is sensitive to the rating migration of the underlying risk-presenting entities.

An upgrade or downgrade of Goldman Sachs Group Inc. would have a corresponding impact on the note.

A significant increase in actual-to-expected mortality experience of the defined insurance block would likely result in a downgrade to the notes. However, a rating upgrade would not occur if the mortality experience continues to improve, as the credit rating of Goldman Sachs Group Inc. acts as a limiting factor.

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. 31 Mar 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Insurance-Linked Securities Methodology (pub. 08 Aug 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=752532

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=987011

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=987011

Endorsement Policy

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

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20150625006403/en/

Fitch Ratings, New York
Media Relations
Sandro Scenga, +1-212-908-0278
[email protected]
or
Primary Analyst (Structured Credit)
Director
Shashi Srikantan, +1-212-908-0393
or
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Secondary Analyst
Senior Director
Jeff Mohrenweiser, +1-312-368-3182
or
Committee Chairperson
Senior Director
Kevin Corrigan, +1-212-908-0156

Source: Fitch Ratings

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