Link to Fitch Ratings' Report: Fitch Takes Various Rating Actions on 27 Credit-Linked Notes
Fitch Ratings has affirmed the ratings on 27 credit-linked notes (CLN) and revised one Rating Outlook following a periodic review. A spreadsheet detailing Fitch's rating actions for the 21 publicly rated tranches is available at 'www.fitchratings.com' or by clicking on the link above.
KEY RATING DRIVERS
Credit Quality: The transactions are credit-linked to one or more risk-presenting entities as the transaction's underlying reference entity, swap counterparty and qualified investment.
Number of Risk Contributors: A higher number of risk-presenting entities may present additional risk of default to the transactions.
Restructuring as Credit Event: Transactions that have designated restructuring as a credit event under the terms of the Credit Default Swap are generally considered to have an additional risk of default.
All CLN ratings remain sensitive to ratings migration of the underlying risk-presenting entities. A downgrade of the weakest link would likely result in a downgrade to the CLN. Fitch monitors the performance of the underlying risk-presenting entities and adjusts the rating accordingly through application of its current CLN criteria, 'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' dated Feb. 21, 2013.
The four transactions listed below contain terms which allow the qualified investment issuer to exercise an early make-whole call on the qualified investment of the CLN. This exercise would cause an early termination event for the related CLN and could expose holders of the CLN to potential termination payments and currency exchange risk. However, use of this make-whole call provision remains highly unlikely since such a call would cost the qualified investment issuer a premium approximately 50-60% over current par value. Additionally, an exercise of the make-whole call provisions in any of the four CLNs would not result in a loss to the notes at current exchange rates. Fitch views the current probability of loss from the make-whole call on the following four credit-linked notes as sufficiently remote at the current rating levels.
SPICES Finance Limited Series 2005-1
SPICES Finance Limited Series 2005-2
Amber Trust One
Amber Trust Two
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
The information used to assess these ratings was sourced from swap counterparties and the public domain.
Applicable Criteria & Related Research:
--'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (Feb. 21, 2013);
--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012).
Applicable Criteria and Related Research
Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes
Counterparty Criteria for Structured Finance Transactions