Fitch Affirms Signum Verde Limited 2006-02; Revises Outlook to Negative

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the rating and revised the Rating Outlook for Signum Verde Limited 2006-02 (Signum 2006-02) as follows:

--CLP5,300,000,000 credit-linked notes at 'BBB-'; Outlook revised to Negative from Stable.

KEY RATING DRIVERS

The rating action follows Fitch's revision of the Outlook for 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+' with a Negative Outlook as the reference entity and Goldman Sachs Group, Inc.'s IDR of 'A' with a Stable Outlook as the swap counterparty and issuer of the qualified investment. The Rating Outlook reflects the Outlook 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

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=992872

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=992872

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/20151026006472/en/

Fitch Ratings
Media Relations
Sandro Scenga, New York
Tel: +1 212-908-0278
Email: [email protected]
or
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

Source: Fitch Ratings

---

Serious News for Serious Traders! Try StreetInsider.com Premium Free!

---

You May Also Be Interested In

• Better Founder Vishal Garg Files Court Response, Citing Board Contradictions and Shareholder Value Losses
• Dogecoin Price Prediction Flips Bullish as ETF Money Returns and Pepeto Presale Wallets Move Fast
• NAVER D2SF Invests in F4GE, a Defense and Manufacturing Infrastructure Startup