Fitch Ratings has downgraded Cloverie PLC 2007-53 CLP7,597,500,000 credit linked notes (CLNs) to 'BB+f' from 'BBB-sf'.

The Rating Outlook is Stable.

The downgrade to the CLN follows Fitch's downgrade of Enel Generacion Chile S.A.'s Long-Term Rating to 'BBB+sf' on Jan. 13, 2023. Enel Generacion is a risk-presenting entity to this transaction. The Outlook remains Stable and reflects the assessment of the transaction's main risk driver, Enel Generacion Chile S.A. (Enel; IDR: 'BBB+'/Stable), which is the lowest-rated risk-presenting entity.

RATING ACTIONS

Entity / Debt

Rating

Prior

Cloverie PLC 2007-53

CLN-Empresa Nacional de Elect

LT

BB+sf

Downgrade

BBB-sf

Page

of 1

VIEW ADDITIONAL RATING DETAILS

Transaction Summary

The transaction is designed to provide credit protection on the reference entity Enel Generacion Chile S.A. The credit protection is arranged through a credit default swap between the issuer and Citigroup Global Markets, Inc., the swap counterparty.

KEY RATING DRIVERS

The rating considers the credit quality of Citigroup Inc., (Issuer Default Rating [IDR]; A/Stable), as the swap counterparty, Citigroup Inc.'s subordinate notes (CUSIP: 172967CC3, BBB+) as the qualified investment and the IDR of the reference entity, Enel Generacion Chile S.A.

The swap is subject to restructuring as a credit event. Therefore, Fitch applied a one-notch downward adjustment to Enel's rating to 'BBBsf' from 'BBB+sf' prior to applying 'Fitch's Two-risk Matrix' from the 'Single-and Multi-Name Credit-Linked Notes Rating Criteria,' dated Jan. 11, 2023. The Stable Outlook reflects the Outlook on the main risk driver, Enel, which is the lowest-rated risk-presenting entity.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

Rating Scenarios Regarding Enel Generacion Chile S.A. (assuming no change to the current rating assigned to Citigroup Inc. Subordinated Notes[CUSIP: US172967CC3]):

A downgrade of one notch would result in a rating downgrade of the notes to 'BBsf';

A downgrade of two notches would result in a rating downgrade of the notes to 'BB-sf'.

Rating Scenarios Regarding Citigroup Inc. Subordinated Notes (CUSIP: US172967CC3, assuming no change to the current rating assigned Enel Generacion Chile S.A.):

A downgrade of one notch would result in no change to the rating of the notes at 'BB+sf';

A downgrade of two notches would result in a rating downgrade of the notes to 'BBsf'.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Rating Scenarios Regarding Enel Generacion Chile S.A. (assuming no change to the current rating assigned to Citigroup Inc. Subordinated Notes [CUSIP: US172967CC3]):

An upgrade of one notch would result in a rating upgrade of the notes to 'BBB-sf';

An upgrade of two notches would result in a rating upgrade of the notes to 'BBBsf'.

Rating Scenarios Regarding Citigroup Inc. Subordinated Notes (CUSIP: US172967CC3, assuming no change to the current rating assigned Enel Generacion Chile S.A.):

An upgrade of one notch would result in a rating upgrade of the notes to 'BBB-sf';

An upgrade of two notches would result in a rating upgrade of the notes to 'BBB-sf'.

Best/Worst Case Rating Scenario

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS

The rating of the CLN is directly linked to the credit quality of the risk presenting entities. A change in Fitch's assessment of the credit quality of lowest rated risk presenting entities would automatically result in a change in the rating on the CLN.

Additional information is available on www.fitchratings.com

(C) 2023 Electronic News Publishing, source ENP Newswire