Fitch Downgrades Pisces Finance Limited 2006-2 Rating
--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.
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.