OREANDA-NEWS. Fitch Ratings has affirmed four U.S. credit linked notes. The Rating Outlook for two of the notes has been revised to Positive from Stable, and two of the notes have been removed from Rating Watch Negative and assigned Negative Outlooks.

KEY RATING DRIVERS
The actions are the result of recent Fitch actions taken on the corporate entities, Empresa Nacional de Electricidad S.A. (Endesa-Chile) and Vale, S.A., which each act as the reference entity in two of the four transactions. Fitch affirmed Endesa-Chile at 'BBB+' and revised its Outlook to Positive from Stable. Fitch affirmed Vale, S.A. at 'BBB', removed it from Negative Watch, and assigned a Negative Outlook.

The rating action on Cloverie PLC 2007-52 credit-linked notes reflects the 'BBB' Issuer Default Rating (IDR) of Vale S.A. as the reference entity and Citigroup Inc. ('A'/Outlook Stable), 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 action on Cloverie PLC 2007-53 credit-linked notes reflects the 'BBB+' IDR of Endesa-Chile as the reference entity and Citigroup Inc. ('A'/Outlook Stable), as the swap counterparty and issuer of the qualified investment. The Rating Outlook reflects the Outlook on the main risk driver, Endesa-Chile, which is the lowest-rated risk presenting entity.

The rating action on Latam Walkers Cayman Trust 2006-100 CLP UF-Adjusted notes reflects IDR of Endesa-Chile as the reference entity and Merrill Lynch & Co., Inc. ('A'/Outlook Stable), as the swap counterparty and issuer of the qualified investment. The Rating Outlook reflects the Outlook on the main risk driver, Endesa-Chile, which is the lowest-rated risk presenting entity.

The rating action on Signum Verde Limited 2006-02 credit-linked notes reflects the IDR of Vale S.A. as the reference entity and Goldman Sachs Group, Inc. ('A'/Outlook Stable), 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
All credit linked note (CLN) ratings remain sensitive to ratings migration of the underlying risk-presenting entities. A downgrade of the weakest link would likely result in a downgrade to the CLN. Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating accordingly through application of its current CLN criteria, 'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes', dated March 8, 2016.

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

Fitch has taken the following rating actions:

Cloverie PLC 2007-52
--$10,000,000 credit-linked notes affirmed at 'BB+'; removed from Watch Negative and assigned a Negative Outlook.

Cloverie PLC 2007-53
--CLP 7,597,500,000 credit-linked notes affirmed at 'BBB-'; Outlook to Positive from Stable.

Latam Walkers Cayman Trust 2006-100
--CLP 5,348,000,000 CLP UF-Adjusted notes affirmed at 'BBB-'; Outlook to Positive from Stable.

Signum Verde Limited 2006-02
--CLP 5,300,000,000 credit-linked notes affirmed at 'BB+'; removed from Watch Negative and assigned a Negative Outlook.