Fitch Rates Cloverie Plc Series No: 2007-52

Business Wire, Jan 17, 2008

NEW YORK -- Fitch has assigned the following rating to the notes issued by Cloverie Plc Series No: 2007-52:

-- $10,000,000 Inflation and currency-linked credit linked notes due 2029, 'BBB-'.

Cloverie Plc Series No: 2007-52 (the issuer) has issued a class of inflation and currency adjusted credit linked, fixed rate notes with a principal amount of USD 10 million. The effective date of the rating is 14 December, 2007. Fitch is now publicly rating the notes.

The rating addresses the likelihood that investors will receive full and timely payments of interest, as per the transaction's governing documents, as well as the stated balance of principal by the legal final maturity date. Payments of interest and principal will be made in US dollars (USD) adjusted according to the prevailing value of the Unidad de Fomento (UF) and the Chilean Peso (CLP)/USD exchange rate. UF is an inflation unit having an equivalent in Chilean pesos.

The rating is based upon the credit quality of the reference entity, Companhia Vale do Rio Doce (CVRD; rated 'BBB-' by Fitch), and Citigroup, Inc. (rated 'AA/F1 '), as guarantor of the collateral assets and as guarantor of the obligations of Citigroup Global Markets Limited (CGML), the swap counterparty.

The transaction is designed to provide credit protection on the reference entity, Companhia Vale do Rio Doce, with a reference amount of USD 10 million. The credit protection is arranged through a credit default swap (CDS) between the issuer and CGML, the swap counterparty.

The CDS is collateralized by $10 million of Euro medium term notes issued by Citigroup Funding Inc. (rated 'AA' by Fitch). In addition, the issuer has entered into an interest rate swap with CGML to convert floating payments on the collateral into fixed rate, semi-annual interest amounts payable in USD and adjusted according to the prevailing value of the UF and CLP/USD exchange rate.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.