OREANDA-NEWS. Fitch Ratings has affirmed the following rating of Signum Verde Limited 2007-04, Cayman Islands (Signum 2007-04), removed it from Rating Watch Negative and assigned a Negative Outlook:

--CLP 4,950,000,000 credit-linked notes at 'BB-sf'; Outlook to Negative.

KEY RATING DRIVERS

The rating action follows Fitch's revision of the Outlook for 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
'BBB-', 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.