相關產業分類
Fitch Ratings-Taipei/Hong Kong -3 April 2008: Fitch Ratings has today downgraded the rating of the TWD873.8 million Class C bond issued by E. Sun Bank 2007-2 CBO Securitisation Special Purpose Trust (SPT) to ‘C(twn)’, from ‘B-(twn)’ (B minus(twn)) and removed it from Rating Watch Negative on which it was placed on 4 September 2007.
The action on the Class C note follows Fitch’s rating downgrade of the income notes of Westways Funding XI, Ltd (a US mortgage market value CDO) to ‘C/DR6’ on 1 April 2008 (see Fitch Rating Action Commentary titled “Fitch Ratings Downgrades Westways Funding XI”). The RAC also highlights that Westway XI has liquidated and is currently awaiting the settlement of remaining cash flows. The rating of the E Sun’s Class C bond is linked to the rating of Westways XI income notes, as the ultimate principal and interest repayment on the Class C bond is reliant on the principal repayment of the Westway income notes. ‘DR6’ represents poor recovery prospects in the event of default, with an historical recovery rate of 0%-10%.
As per the latest trustee report dated 31 January 2008, the principal amount of the Class C bond was TWD873.8m, reduced from TWD990m at the transaction closing date in June 2007. The interest income of TWD116m from the income notes of Westways Funding XI, Ltd before its liquidation was used to pay down the Class C bond.
The rating on the Class C notes addresses the likelihood that investors will receive full interest payments and the ultimate receipt of principal by the legal maturity date, as per the transaction’s governing documents.
As outlined in Fitch's Criteria Report titled, “Proposed Rating Methodology for Corporate CDOs”, published on 5 February 2008, Fitch proposes to make a number of key changes to its rating methodology for CDOs of corporate bonds and loans. These changes, if adopted as proposed, will have an important impact on the universe of Fitch’s corporate CDO ratings outstanding.
Contacts: April Chen, Taipei, +886 2 2514 7164 ext. 7300/
april.chen@fitchratings.com; Jackie Lee, Taipei, +886 2 25147290 /
jackie.lee@fitchratings.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.
