November 26, 2012 / 5:36 PM / 5 years ago

TEXT-Fitch rates BTPei 2023 Inflation Linked Bonds 'BBB'

Nov 26 - Fitch Ratings has assigned EUR 50,000,000 Notes Linked to BTPei
2023 Inflation Linked Bonds due 2023 the following rating:

--EUR 50 million Credit Linked Notes (ISIN XS0854395539) 'BBB'; Outlook Negative

The rating addresses the timely payment of interest on the notes according to
the terms and conditions of the documentation, as well as the repayment of
principal by legal final maturity in 2023. The rating reflects the credit
quality of two risk-presenting entities, as well as the legal and financial
structure of the issuer. The two risk presenting entities are Goldman Sachs
International (through guaranty from Goldman Sachs Group, Inc, (rated 'A'/'F1';
Stable Outlook by Fitch ) and Italy (rated 'A-'/'F2'; Negative Outlook).

The Negative Outlook on the notes reflects Italy's Negative rating Outlook, as
any negative rating action on Italy would result in a negative rating action on
the notes.

On close the proceeds from the note issuance were used to purchase an Italian
government inflation linked bond (ISIN IT0004243512) and to enter into an
interest rate swap with Goldman Sachs International. The swap counterparty
claims will rank senior to noteholders in all circumstances. The asset swap pays
5.7% in return for the interest receipts on the inflation linked bonds. The
notes are secured by the inflation linked bonds and any collateral posting under
the swap takes the form of the inflation linked bonds and is capped at their

Fitch notes that government of Italy cannot prepay its bonds via call option
which would trigger a mandatory redemption event. The only way the government
can prepay its bonds is through buying the bonds back in the open market.

The notes are issued by Signum Finance II plc, a repackaging note programme
arranged by Goldman Sachs International with limited liability and incorporated
under Irish law. Non-petition language included in the master programme warrant
that no party to any series will be able to petition for the winding-up of the
issuer as a consequence of the default of any particular series. In addition,
limited recourse clauses in the programme restricts the noteholder of a given
series to only have recourse to the collateral assigned to this series.

Additional information is available at ''. 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: i) Signum Finance II master
programme documentation (ie set of master agreements between the relevant
parties); ii) Drawdown deed (ie series Memorandum and constituting agreement);
iii) English and Irish law legal opinions; and iv) Irish tax opinion; all as
provided by the arranger. Fitch also relied on its own public ratings on the
risk-presenting entities.

Applicable criteria 'Global Rating Criteria for Single- and Multi-Name
Credit-Linked Notes', dated 22 February 2012, 'Counterparty Criteria for
Structured Finance Transactions', dated 30 May 2012, and 'Global Structured
Finance Rating Criteria', dated 6 June 2012 are available at

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

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