相關產業分類
Fitch Ratings-Taipei/Singapore-12 September 2007: Fitch Ratings has today affirmed the ratings of the following securities issued by Ta Chong Bank 2006-1 and 2006-2 Collateralised Bond Obligation (CBO) Securitisation Special Purpose Trusts (SPT):
Ta Chong Bank 2006-1 CBO SPT:
- TWD2450 million class A-1 commercial paper (CP)*: 'F1(twn)';
- TWD2150m class A-2 CP*: 'F1(twn)';
- TWD320m class B CP*: ‘F2(twn)’; and
- TWD80m subordinated term note due February 2013: ‘BBB+(twn)’.
*The CP program matures in February 2013.
Ta Chong Bank 2006-2 CBO SPT:
- TWD1765.5m class A-1 CP*: 'F1(twn)';
- TWD1636.6m class A-2 CP*: 'F1(twn)';
- TWD100.1m class B CP*: ‘F2(twn)’; and
- TWD100.7m subordinated term note due February 2013: ‘BBB+(twn)’.
* The CP program matures in February 2013.
The affirmations reflect the adequate credit quality of the underlying assets, the appropriate ratings of the transaction counterparties and the continuation of the liquidity support in the form of the 100% purchase commitment (on each CP issued throughout the CP programme) provided by a sufficiently credit-worthy underwriter. The affirmations also reflect the continuation of appropriate liquidity arrangement that mitigates any cash flow timing mismatch, as well as the appropriate hedging agreements that mitigate interest rate risks and foreign exchange rate risks, and the transaction’s sound legal and financial structure.
The ratings address the timely payment of interest and the ultimate payment of principal by the CP’s legal final maturity, in accordance with the terms of the transaction documents. The rating on the subordinated term note addresses the ultimate payment of principal in accordance with the terms of the transaction documents. However, the ratings do not address the possibility of any changes in law or regulatory approvals, or early termination caused by investors.
Each SPT issues Taiwanese dollar CP and a subordinated term note to fund the purchase of one USD denominated bespoke synthetic collateralised debt obligation (SCDO) and a pool of Taiwan Dollar denominated structured notes. The asset pool is static for the life of each transaction. For SPT1, the underlying portfolio’s weighted average rating remains unchanged at ‘A’/‘A-’ (A minus), and the rating of Castle Finance III Series 1 SCDO was recently affirmed at ‘A+’ (Fitch RAC on 10 July 2007: Fitch Affirms Castle Finance III Series 1 & 2 Notes Ratings). For SPT2, the underlying portfolio’s weighted average rating slightly improved to ‘A+/A’ (‘A’/‘A-’ (A minus) at closing), while Castle Finance III Series 2 SCDO was also recently affirmed at ‘A+’ (Fitch RAC on 10 July 2007: Fitch Affirms Castle Finance III Series 1 & 2 Notes Ratings).
Both transactions are originated by Ta Chong Bank, arranged by ABN AMRO and International Bills Finance Corporation (IBFC) is the underwriter. Each transaction benefits from liquidity support in the form of a 100% purchase commitment provided by the underwriter, IBFC (‘BBB’/‘F3’, ‘A+(twn)’/‘F1(twn)’), which will remain valid for the life of the transaction irrespective of any negative rating migration that may occur in the reference portfolio. In addition, each transaction has cash reserves which cover all potential and foreseeable cash shortfalls arising from an asset-liability mismatch, during the programme life. Fitch notes that due to the absence of protection mechanisms in the transaction structure (notably the replacement of the underwriter upon a downgrade below a certain rating threshold), the ratings of the CP will become credit linked to the rating of the underwriter, should the rating of the underwriter fall below ‘F1(twn)’.
Contacts: Kate Lin, Hong Kong, +852 2263 9912/
kate.lin@derivativefitch.com; Jackie Lee, Taipei, +886 2 25147290/
jackie.lee@derivativefitch.com; April Chen, Taipei, +886 2 2514 7164 ext. 7300/
april.chen@derivativefitch.com.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
