OREANDA-NEWS. 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.