Fitch Affirms 4 U.S. Credit Linked Notes

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed four U.S. credit linked notes. The Rating Outlook for two of the notes has been revised to Positive from Stable, and two of the notes have been removed from Rating Watch Negative and assigned Negative Outlooks.

KEY RATING DRIVERS

The actions are the result of recent Fitch actions taken on the corporate entities, Empresa Nacional de Electricidad S.A. (Endesa-Chile) and Vale, S.A., which each act as the reference entity in two of the four transactions. Fitch affirmed Endesa-Chile at 'BBB+' and revised its Outlook to Positive from Stable. Fitch affirmed Vale, S.A. at 'BBB', removed it from Negative Watch, and assigned a Negative Outlook.

The rating action on Cloverie PLC 2007-52 credit-linked notes reflects the 'BBB' Issuer Default Rating (IDR) of Vale S.A. as the reference entity and Citigroup Inc. ('A'/Outlook Stable), 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.

The rating action on Cloverie PLC 2007-53 credit-linked notes reflects the 'BBB+' IDR of Endesa-Chile as the reference entity and Citigroup Inc. ('A'/Outlook Stable), as the swap counterparty and issuer of the qualified investment. The Rating Outlook reflects the Outlook on the main risk driver, Endesa-Chile, which is the lowest-rated risk presenting entity.

The rating action on Latam Walkers Cayman Trust 2006-100 CLP UF-Adjusted notes reflects IDR of Endesa-Chile as the reference entity and Merrill Lynch & Co., Inc. ('A'/Outlook Stable), as the swap counterparty and issuer of the qualified investment. The Rating Outlook reflects the Outlook on the main risk driver, Endesa-Chile, which is the lowest-rated risk presenting entity.

The rating action on Signum Verde Limited 2006-02 credit-linked notes reflects the IDR of Vale S.A. as the reference entity and Goldman Sachs Group, Inc. ('A'/Outlook Stable), 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

All credit linked note (CLN) ratings remain sensitive to ratings migration of the underlying risk-presenting entities. A downgrade of the weakest link would likely result in a downgrade to the CLN. 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.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch has taken the following rating actions:

Cloverie PLC 2007-52

--$10,000,000 credit-linked notes affirmed at 'BB+'; removed from Watch Negative and assigned a Negative Outlook.

Cloverie PLC 2007-53

--CLP 7,597,500,000 credit-linked notes affirmed at 'BBB-'; Outlook to Positive from Stable.

Latam Walkers Cayman Trust 2006-100

--CLP 5,348,000,000 CLP UF-Adjusted notes affirmed at 'BBB-'; Outlook to Positive from Stable.

Signum Verde Limited 2006-02

--CLP 5,300,000,000 credit-linked notes affirmed at 'BB+'; removed from Watch Negative and assigned a Negative Outlook.

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=1001240

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1001240

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/20160321005897/en/

Fitch Ratings
Primary Surveillance Analyst
Shashi Srikantan
Director
+1-212-908-0393
Fitch Ratings, Inc.
33 Whitehall St.
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: [email protected]

Source: Fitch Ratings

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