NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed the following notes issued by Signum Finance Cayman Limited series 2010-09 (Signum 2010-09):
--$200,000,000 secured variable-rate notes at 'Asf'; Outlook Stable.
KEY RATING DRIVERS
The rating affirmation is based on the performance of the insurance pool referenced under the swap agreement and the rating of Goldman Sachs Group Inc. 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 at the end of this press release) to determine the rating of the notes.
Goldman Sachs Group Inc. (IDR 'A') is currently the highest risk-presenting factor. Goldman Sachs Group Inc., is the guarantor to Goldman Sachs International (GSI), the swap counterparty, the backup collateral assets settlement provider (CASP) and the collateral asset issuer and is treated as one risk-presenting factor.
The cumulative actual-to-expected mortality ratio continues to be steady around 100% which is significantly below specified trigger levels and remains within range of the modeling expectations of an implied rating of 'AA'. As of the surveillance report dated April 30, 2014, the cumulative actual-to-expected mortality ratio was 94%.
RATING SENSITIVITIES
The rating remains sensitive to rating migration of the underlying risk-presenting entities. A downgrade of Goldman Sachs Group Inc. or significant increase in actual-to-expected mortality experience of the defined insurance block would likely result in a downgrade to the notes.
Signum 2010-09 (the issuer) is a bankruptcy-remote, special purpose vehicle (SPV) established to issue the notes, the proceeds of which were 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 provides mortality protection on a defined block of U.S. level-term life insurance policies. The SPV makes 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 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. 19, 2014);
--'Insurance-Linked Securities' (Aug. 8, 2012);
--'Criteria for Rating Caps in Global Structured Finance Transactions' (May 28, 2014).
Applicable Criteria and Related Research:
Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=729785
Insurance-Linked Securities
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=684430
Criteria for Rating Caps in Global Structured Finance Transactions - Effective 9 Aug 2011 to 2 Aug 2012
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=648672
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=838600
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