相關產業分類
Fitch Ratings-Taipei/Hongkong/Singapore-03 June 2008: Fitch Ratings has placed Taishin CBO Special Purpose Trust 5 (Taishin CBO SPT 5) on Rating Watch Negative (RWN), as follows:
- NTD2.6 billion Taishin CBO SPT 5 short-term commercial paper: 'F2(twn)', placed on RWN.
Taishin CBO SPT 5 is a bankruptcy-remote special purpose trust, established in 2005 to issue New Taiwan Dollar (NTD) denominated commercial paper (CP) via an asset-backed CP programme. At closing, the assets comprised four NTD structured notes, representing 50% of the asset pool, and a USD single tranche synthetic CDO, Beryl Finance Limited Series 2005-15 (Beryl Series 2005-15), which represented the other 50% of the asset pool. The RWN action follows Fitch's placement of Beryl Series 2005-15's 'A+' rating on RWN (for more information, please refer to the press release, "Fitch Places Beryl Finance Series 2005-15 on RWN", published on 3 June 2008).
Since closing, one NTD400m structured bond was repaid in full and thus the portfolio notional has been reduced to NTD2.6bn as per the March 2008 latest trustee report. Consequently, the concentration risk in the portfolio has increased further with Beryl Series 2005-15 now accounting for 58% of the portfolio. Of the three remaining NTD bonds, two NTD bonds are issued by United Microelectronics Corporation ('BBB') and the other NTD bond issued by Pou Chen Industrial - guaranteed by a bank consortium with the lowest rated bank in this consortium at 'BBB+'. The Pou Chen Industrial NTD bond will mature shortly in June 2008, and hence the concentration risk in the portfolio will increase further with Beryl Series 2005-15 representing 65% of the portfolio by the next CP issue on 24 June 2008. 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 5 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 this status of Beryl Series 2005-15 is likely to be a significant factor in determining the resolution of the RWN status of Taishin CBO SPT5. The rating may be affirmed at 'F2(twn)' or may be downgraded to 'F3(twn)', depending partly on the ultimate resolution of Beryl Series 2005-15's rating.
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 Mega International Commercial Bank Company Limited ('AA(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 December 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 Negative Outlook, 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; Kate Lin, Hong Kong, +852 2263 9912/
kate.lin@fitchratings.com; Dipesh Patel, Hong Kong, 852 2263 9919/
dipesh.patel@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.
