OREANDA-NEWS. Fitch Ratings has affirmed the rating and revised the Rating Outlook for Emblem Finance Company No. 2 (Emblem Finance) as follows:

--CLP5,082,000,000 credit-linked notes at 'BBsf'; Outlook revised to Negative from Stable.

KEY RATING DRIVERS
The rating action follows Fitch's revision of the Outlook for the reference entity, Votorantim Participacoes S.A. (VPAR). 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 VPAR's current Issuer Default Rating (IDR) of 'BBB' with a Negative Outlook as the reference entity, JPMorgan Chase & Co.'s IDR of 'A+' with a Stable Outlook as the swap counterparty, and HSBC Holdings Plc's subordinated notes rating of 'A+' with a Stable Outlook as the qualified investment. The Rating Outlook reflects the Outlook on the main risk driver, VPAR, 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 VPAR would likely result in a downgrade to the notes.

Emblem No. 2 is a single-name CLN transaction designed to provide credit protection on VPAR with a reference amount of CLP5,082,000,000 (USD10 million). This protection is arranged through a credit default swap (CDS) between the issuer and the swap counterparty, JPMorgan Chase & Co. Proceeds from the issuance of the notes were used to purchase USD10 million HSBC Holdings Plc subordinated notes as a collateral asset for the CDS. The notes are rated to the payment of interest and principal per the transaction documents. All payments are made in USD amounts adjusted according to both the value of the Undidad de Fomento (UF) and the CLP/USD exchange rate as outlined in the transaction documents.

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