TEXT-Fitch upgrades Fresco 2 Ltd Class A to C notes

Fri Feb 15, 2013 12:53pm EST

Feb 15 - Fitch Ratings has upgraded Fresco 2 Ltd 's notes class A to C as
follows:

Class A1: upgraded to 'A(zaf)' from 'BBB(zaf)'; Outlook Stable
Class A2: upgraded to 'A(zaf)' from 'BBB(zaf)'; Outlook Stable
Class B1: upgraded to 'BBB(zaf)' from 'BB(zaf)'; Outlook Stable
Class B2: upgraded to 'BBB(zaf)' from 'BB(zaf)'; Outlook Stable
Class C: upgraded to 'BB(zaf)' from 'B+(zaf)'; Outlook Stable
Class D: affirmed at 'B(zaf)'; Outlook Stable
Class E: affirmed at 'B(zaf)'; Outlook Stable
Class F: affirmed at 'B(zaf)'; Outlook Stable
Class G: affirmed at 'B-(zaf)'; Outlook Stable

The upgrades reflect the deleveraging of the reference portfolio to ZAR10bn from
ZAR20bn. This led to a corresponding increase in credit enhancement to the rated
notes. In addition, the reference assets have had a stable performance since the
last review with no new credit events. Since closing, the transaction has only
suffered two credit events. The settlement of the credit events did not incur a
writedown of any notes as excess spread captured by the structure was sufficient
to absorb the losses.

Fresco 2, which is incorporated under South Africa law, is a partially funded
synthetic securitisation of a portfolio of South African and international
credit exposures held on FirstRand Bank's balance sheet. At closing on 17 July
2007, Fresco 2 entered into a credit default swap with FirstRand Bank whereby
Fresco 2, as the protection seller, purchased the portfolio's credit risk from
FirstRand Bank. The transaction is a managed transaction with synthetic excess
spread trapped once actual losses are recorded.

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.

Source of information: Issuer report prepared by Rand Merchant Bank and
communications with Rand Merchant Bank.

Applicable criteria, 'Global Structured Finance Rating Criteria', dated 6 June
2012, ' Global Rating Criteria for Corporate CDOs', dated 8 August 2012,
'Counterparty Criteria for Structured Finance Transactions', dated 30 May 2012
are available on www.fitchratings.com.

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Global Rating Criteria for Corporate CDOs
Counterparty Criteria for Structured Finance Transactions
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