相關產業分類
Fitch Ratings-Taipei/Hong Kong/Singapore-28 May 2008: Fitch Ratings has placed Taishin CBO Special Purpose Trust 3 (Taishin CBO SPT 3) on Rating Watch Negative (RWN), as follows:
- NTD2.6 billion Taishin CBO SPT 3 short-term CP: 'F2(twn)', placed on RWN.
Taishin CBO SPT 3 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 three NTD structured bonds, representing 50% of the asset pool, and a USD single tranche synthetic CDO, Beryl Finance Limited Series 2005-12 (Beryl Series 2005-12), which represented the other 50% of the asset pool. The RWN action follows Fitch's placement of Beryl Series 2005-12 'A+' rating on RWN (for more information, please refer to the press release titled "Fitch Places Beryl Finance Series 2005-12 on RWN", published on 28 May 2008).
Since closing, there has been no principal repayment and thus the portfolio notional remains at NTD2.6bn per the May 2008 trustee report. One NTD bond, representing 23.1% of the outstanding portfolio, is issued by Taiwan Cooperative Bank (rated at 'BBB+'/'AA-(twn)' (AA minus(twn)) and two NTD bonds, representing 26.9% in total, are issued by Taiwan's First Commercial Bank (rated at 'BBB+'/'AA-(twn)' (AA minus(twn)). The Taiwan Cooperative Bank Bond NTD bond will mature in November 2008, and hence the concentration risk in the portfolio will increase further with Beryl Series 2005-12 then representing 65% of the portfolio. 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.
The resolution of the RWN of Taishin CBO SPT 3 will incorporate any changes made to the portfolio or the transaction, along with any 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 2005-12 is likely to be a significant factor in determining the resolution of the RWN status of Taishin CBO SPT3. 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 2005-12 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)') and Grand 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 is, as a result, 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: Jackie Lee, Taiwan, +8862 8175 7600/
jackie.lee@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.
