OREANDA-NEWS. Fitch Ratings has downgraded the following rating of Signum Verde Limited 2007-04, Cayman Islands (Signum 2007-04):

--CLP4,950,000,000 credit-linked notes downgraded to 'B+sf' from 'BB-sf'; Outlook remains Negative.

KEY RATING DRIVERS
The downgrade follows Fitch's rating action of 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 'BB+', 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.

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