OREANDA-NEWS. 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.

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.