TEXT-Fitch cuts Emblem Finance Co No. 2 Limited

Thu Jun 21, 2012 4:29pm EDT

June 21 - Fitch Ratings has downgraded the notes issued by Emblem Finance
Company No. 2 Limited (Emblem No. 2) as follows:

--CLP5,082,000,000 credit-linked notes to 'BB+sf' from 'BBB-sf'; Outlook Stable.

The downgrade follows Fitch's downgrade of the swap counterparty to the
transaction, JPMorgan Chase & Co. (rated 'A+'; Rating Watch Negative by Fitch).

Fitch applied the three-risk matrix under Fitch's current credit-linked note
(CLN) criteria, 'Global Rating Criteria for Single- and Multi-Name Credit-Linked
Notes', dated Feb. 22, 2012. The rating considers the credit quality of JPMorgan
Chase & Co. as swap counterparty, Votorantim Participacoes S.A.'s (VPAR) current
Issuer Default Rating (IDR) of 'BBB' with a Stable Outlook, and HSBC Holdings
Plc subordinated notes as the eligible investments (rated 'AA-' by Fitch). The
Rating Outlook reflects the Outlook on the main risk driver, VPAR, which is the
lowest rated risk-presenting entity.

The rating addresses the likelihood that investors will receive full and timely
payments of interest as well as the stated balance of principal by the legal
final maturity date, as per the transaction's governing documents. Payments of
interest and principal will be made in U.S. dollar (USD) amounts adjusted
according to both the prevailing value of the Unidad de Fomento (UF) and the
CLP/USD exchange rate.

Emblem No. 2 is a credit-linked structure designed to provide credit protection
on the reference entity, VPAR, 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, JPMorgan Chase & Co. The CDS is collateralized
by HSBC Holdings Plc subordinated notes as the eligible investments issued by
HSBC Holdings Plc.


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 these ratings was sourced from the swap
counterparty and the public domain.

Applicable Criteria & Related Research:
--'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (Feb.
22, 2012);
--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012).

Applicable Criteria and Related Research:
Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes
Counterparty Criteria for Structured Finance Transactions
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