Fitch Downgrades Signum Verde Ltd 2007-04, Cayman Islands; Outlook Remains Negative

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 downgraded to 'B+sf' from 'BB-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 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 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. 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=997745

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=997745

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/20160112006057/en/

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, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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