Fitch Revises Outlook for Pisces Finance Limited 2006-2; Affirms Rating

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings affirms its rating and revises the Rating Outlook for Pisces Finance Limited 2006-2 (Pisces 2006-2) as follows:

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

KEY RATING DRIVERS

The rating action follows Fitch's revision of the Outlook for the reference entity, CAP S.A. 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 Negative Outlook and Goldman Sachs Group, Inc. (rated 'A', Outlook Stable) 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 CDO 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.

Additional information is available at 'www.fitchratings.com'.

The information used to assess this rating was sourced from the swap counterparty and the public domain.

Applicable Criteria & Related Research:

--'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (March 9, 2015);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 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=863276

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=983096

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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
Sandro Scenga, +1-212-908-0278
Media Relations, New York
[email protected]

Source: Fitch Ratings

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