As the dust settles from the initial shocks of the Argentine default and devaluation, it is becoming clear that the current crisis will stress structured finance transactions greater than any previous emerging market meltdown. Fitch Ratings has rated approximately 175 emerging market structured finance transactions within the past 12 years and, prior to 2002, no Fitch rated transaction had defaulted. These transactions endured incredible stress including devaluations in Mexico and Indonesia, a sovereign default and coup d'etat in Pakistan, and banking crises in Venezuela, Turkey and Mexico. The current Argentine crisis has caused the first ever defaults in this asset class and Fitch anticipates defaults will increase over the course of the year. Fitch has rated 19 Argentine cross-border securitizations and 118 local securitizations within Argentina. While certain transactions have proven their ability to protect against sovereign risk others have folded under the pressure as they were more susceptible to Argentina's legal and regulatory regime.
The clear survivors during this meltdown have been the export receivable future flow securitizations that include Molinos Secured Export Notes (SEN's), YPF SEN I and YPF SEN II. Transactions which were not as fortunate include preferred creditor B loan transactions for TGN and Aquas Argentinas and residential mortgage deals (BHN III, IV and BACS I). Other transactions with a high probability of default include the provincial co-participation transactions.