OREANDA-NEWS. June 04, 2015. Fitch Ratings has affirmed the ratings of four Signum Finance II Plc credit-linked notes (CLNs). At the same time, it revised the Outlook to Positive from Stable on the Signum Finance II Series 2012-03 notes. A full list of rating actions is below.

KEY RATING DRIVERS
All the notes have two risk-presenting entities, of which one is Goldman Sachs International Bank (A/F1/Positive). On 19 May 2015, Fitch revised the Outlook on Goldman Sachs International Bank to Positive from Stable. All the other risk-presenting entities were affirmed since Fitch's last review.

The Positive Outlook on the Signum Finance II Series 2012-03 notes reflects the potential upgrade to 'Asf' if Goldman Sachs International Bank were upgraded to 'A+'. All the other notes were affirmed at their current ratings, in line with the Long-term Issuer Default Ratings of the risk-presenting entities associated with each note.

RATING SENSITIVITIES
Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating of each transaction accordingly.

Fitch tested the impact of a category downgrade for the weakest entity in the CLNs, and this would lead to a downgrade of up to one category.

An upgrade of Goldman Sachs International to 'A+'/Stable from 'A'/Positive would lead to an upgrade by one category for Signum Finance II Series 2012-03, while the other CLNs would be affirmed at their current ratings.

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

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis:
-- Public ratings from Fitch on the risk-presenting entities.

Fitch has affirmed the following ratings:
EUR150m Signum Finance II Plc BTPei GSI Inflation Linked CLN 2041, affirmed at 'BBB-sf'; Outlook Stable
EUR50m Signum Finance II Plc BTPei GSI Inflation Linked CLN 2019, affirmed at 'BBB-sf'; Outlook Stable
EUR50m Signum Finance II Plc BTPei GSI Inflation Linked CLN 2023, affirmed at 'BBB-sf'; Outlook Stable
USD50m Signum Finance II Series 2012-03 Notes, affirmed at 'A-sf'; Outlook revised to Positive from Stable

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