Fitch Ratings has affirmed the notes issued by Signum Finance Cayman
Limited series 2010-09 (Signum 2010-09):
--$200,000,000 secured variable-rate notes at 'Asf'; Outlook Stable.
The affirmation is based on the performance of the insurance pool
referenced under the swap agreement and the rating of Goldman Sachs
Group Inc. (rated 'A' with a Stable Outlook by Fitch) as the highest
risk-presenting factor in Signum 2010-09. Fitch's credit analysis of the
notes is credit-linked to the ratings of Goldman Sachs Group Inc., as
guarantor to Goldman Sachs International (GSI), the swap counterparty
and backup collateral assets settlement provider (CASP), as well as the
excess-mortality experience of the defined insurance block. The swap
counterparty guarantor and the collateral assets issuer are the same,
and are therefore treated as one risk-presenting factor. Using the
ratings of these risk-contributing factors in the transaction, Fitch
applied the two-risk CLN matrix under its criteria for single- and
multi-name credit-linked notes (referenced below at the end of this
press release) to quantify the effect on the rating of the notes.
Goldman Sachs Group Inc., as guarantor of GSI, is considered the highest
risk-presenting factor in this transaction. The highest risk-presenting
factor is considered the 'weakest link', as it contributes the most risk
to the transaction in terms of probability of default. The 'additional
risk' from the second risk-presenting factor comes from the mortality
experience of a defined block of level-term life insurance policies
under the excess mortality swap agreement. The cumulative
actual-to-expected mortality experience has slightly exceeded 100% but
is significantly below specified trigger levels and remains within range
of the modeling expectations of 'AA' as of the surveillance report dated
May 31, 2012.
The issuer is a bankruptcy-remote, special purpose vehicle (SPV)
established to issue the notes, the proceeds of which are used to
purchase collateral assets in the form of 15-year senior unsecured bonds
issued by Goldman Sachs Group Inc. The issuer also entered into a
15-year swap with GSI as the swap counterparty. Under the mortality
swap, the SPV will provide mortality protection on a defined block of
U.S. level-term life insurance policies. The SPV will make payments to
GSI in the event actual mortality experience of the defined block
exceeds specified trigger levels, while the fixed payments from GSI to
the SPV will be paid to investors in the notes. An agreement with the
CASP provides for a return of par value to the issuer in exchange for a
principal amount of the collateral assets equivalent to the payment due
from the issuer to the noteholder in the event of an early redemption
due to a cancellation event under the mortality swap, or from the issuer
to the swap counterparty following a loss. GSI serves as the Backup
CASP, providing for the full payment of par value should the CASP
default in its obligations under the agreement.
Additional information is available at 'www.fitchratings.com'.
The ratings above were solicited by, or on behalf of, the issuer, and
therefore, Fitch has been compensated for the provision of the ratings.
The information used to assess this rating was sourced from the
reinsurer reports and the public domain.
Applicable Criteria & Related Research:
--'Global Rating Criteria for Single- and Multi-Name Credit-Linked
Notes' (Feb. 22, 2012);
--'Insurance-Linked Securities' (Aug. 11, 2011);
--'Counterparty Criteria for Structured Finance Transactions' (May 30,
Applicable Criteria and Related Research:
Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes
Insurance-Linked Securities 2009: Year in Review
Counterparty Criteria for Structured Finance Transactions
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