Fitch Takes Various Rating Actions on 19 U.S. Credit-Linked Note Ratings

Fitch Ratings has taken various rating actions on 19 U.S. credit-linked note (CLN) transactions. Fitch affirmed 16 transactions, and downgraded two transactions, one of which was placed on Rating Watch Negative.

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.

RATING SENSITIVITIES

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. 19, 2014.

The four transactions listed below contain terms that 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 of 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.

--Amber Trust One

--Amber Trust Two

--SPICES Finance Limited Series 2005-1

--SPICES Finance Limited Series 2005-2

Fitch does not currently maintain ratings for the risk presenting entity in Amber Trust Two. As a result, Fitch's assessment of the risk presenting entity was based upon publicly available information including NRSRO ratings and Fitch's internal credit view.

A spreadsheet detailing Fitch's rating actions for the public tranches is available at 'www.fitchratings.com'.

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

The information used to assess these ratings was sourced from transaction trustee reports, swap counterparties and the public domain.

Applicable Criteria & Related Research:

--'Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes' (Feb. 19, 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014).

Applicable Criteria and Related Research: Fitch Takes Various Rating Actions on 19 U.S. Credit-Linked Note Ratings

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863288

Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=729785

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=980674

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