相關產業分類
Fitch Ratings-Taipei/Hong Kong/Singapore-23 May 2008: Fitch Ratings has today placed Taishin CBO Special Purpose Trust 2 (Taishin CBO SPT2) on Rating Watch Negative (RWN), as follows:
- NTD3.77 billion Taishin CBO SPT2 short-term commercial paper: 'F2(twn)', placed on RWN.
Taishin CBO SPT 2 is a bankruptcy-remote special purpose trust, established in 2005 to issue New Taiwan Dollar (NTD) denominated CP via an asset-backed CP programme. At closing, the assets comprised 15 NTD structured notes, representing 50% of the asset pool, and a USD single tranche synthetic CDO, Beryl Finance Limited 2005-11 (Beryl Series 2005-11), which represented the other 50% of the asset pool. The RWN action follows Fitch's placement of Beryl Series 2005-11 'A+' rating on RWN ("Fitch Places Beryl Finance Series 2005-11 on RWN", 22 May 2008).
Since closing, NTD250 million structured bonds were repaid in full and thus the portfolio notional has reduced to NTD3.75bn per the May 2008 Trustee Report. The remaining 10 NTD bonds have a weighted average rating of 'BBB+'. Given the concentration risk in this portfolio, the credit risk of the CP is strongly linked to the credit risk of the lowest rated asset in the remaining asset pool. Fitch notes that 32% of the remaining asset pool will mature within one year, and hence the concentration risk in the portfolio will increase further with Beryl Series 2005-11 representing 78% of the portfolio after one year.
The resolution of the RWN of Taishin CBO SPT2 will incorporate any changes made to the portfolio or the transaction, along with any additional portfolio migration or any changes to the ratings of the various transaction counterparties. If there are no significant changes prior to the resolution of the RWN, the resolution of the RWN status of Beryl Series 2005-11 is likely to be a significant factor in determining the resolution of the RWN status of Taishin CBO SPT2. Whilst it is possible that the rating may be affirmed at 'F2(twn)', the agency highlights that the rating may be downgraded to 'F3(twn)' should Beryl Series 2005-11 be downgraded to 'B+' or below.
Liquidity during the entire programme life is supported by an unconditional purchase agreement, which was committed by Taishin Bills Finance Corporation ('A(twn)'/'F1(twn)') at closing. Whilst this mechanism can mitigate some of the re-financing risks of the programme, the CP as a result is credit-linked to the underwriters. The programme matures in November 2012.
Fitch released updated criteria on April 30, 2008 for Corporate CDOs and, at that time, noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on RWN or Outlook Negative, reducing such ratings for default analysis purposes by two and one notch, respectively. Fitch has noted its review will be focused first on ratings most exposed to risks it has highlighted in its updated criteria. Committees are also reviewing transactions that are least impacted by the new criteria and/or portfolio migration. The resolution of these Rating Watches will depend on the plans the managers/arrangers may choose to execute and communicate to address these concerns.
Contacts: April Chen, Taiwan, +8862 8175 7614
/april.chen@fitchratings.com; Rachel Hardee, Hong Kong, 852 2263 9918
/rachel.hardee@fitchratings.com.
Media Relations: Lisa Lim, Singapore, Tel: +65 6796 7214.
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.
