Fitch Rates Downgrades Rating for Pisces Finance Limited 2006-2

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings downgrades the rating of Pisces Finance Limited 2006-2 as follows:

--CLP2,700,000,000 credit-linked notes at 'BBsf' from 'BB+sf'; revises Outlook to Stable from Negative.

KEY RATING DRIVERS

The rating action follows Fitch's downgrade of the reference entity, CAP S.A. on Sept. 22, 2015. Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating accordingly through application of its current credit-linked note (CLN) criteria, 'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' dated March 9, 2015.

The rating considers the credit quality of CAP S.A.'s current Issuer Default Rating (IDR) of 'BBB-' with a Stable Outlook as the reference entity and Goldman Sachs Group, Inc.'s IDR of 'A' with a Stable Outlook as the swap counterparty and issuer of the qualified investment. The Rating Outlook reflects the Outlook on the main risk driver, CAP S.A., which is the lowest-rated risk-presenting entity.

RATING SENSITIVITIES

The rating remains sensitive to rating migration of each risk-presenting entity. A downgrade of CAP S.A. would likely result in a downgrade to the notes.

Pisces 2006-2 is a static structured credit transaction designed to provide credit protection on a portfolio referencing USD5,018,120.99 of Cap S.A. senior unsecured bonds. This protection is arranged through a Credit Default Swap between the issuer and the swap counterparty, Goldman Sachs Capital Markets, L.P.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes (pub. 09 Mar 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863276

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Formhttps://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=991887

Solicitation Statushttps://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=991887

Endorsement Policyhttps://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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View source version on businesswire.com: http://www.businesswire.com/news/home/20151006006876/en/

Fitch Ratings
Primary Analyst:
Shashi Srikantan, +1-212-908-0393
Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson:
Kevin Corrigan, +1-212-908-0156
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
New York
[email protected]

Source: Fitch Ratings

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