OREANDA-NEWS. Fitch Ratings has placed the following Cloverie PLC Series 2007-52 rating on Rating Watch Negative:

--USD10,000,000 credit-linked notes 'BBB-'.

KEY RATING DRIVERS
The rating action follows Fitch's placing of the reference entity, Vale S.A., on Ratings Watch Negative. 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 Vale S.A.'s current 'BBB+' Issuer Default Rating (IDR), Rating Watch Negative, as the reference entity and Citigroup Inc.'s 'A' IDR with a Stable Outlook as the swap counterparty and issuer of the qualified investment. The Rating Outlook reflects the Watch 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.

Cloverie 2007-52 is designed to provide credit protection on the reference entity, Vale, with a reference amount of USD10 million. The credit protection is arranged through a credit default swap (CDS) between the issuer and the swap counterparty, Citigroup Global Markets Limited. The CDS is collateralized by the Citigroup Funding Inc. senior unsecured notes as the eligible investments issued by Citigroup Inc.

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