Fitch Affirms Cloverie PLC Series 2007-52; Revises Outlook to Negative from Stable
--10,000,000 credit-linked notes at 'BBB-'; Outlook 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 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) with a Negative Outlook 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 Outlook on the main risk driver, Vale S.A., which is the lowest-rated risk-presenting entity.
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.