相關產業分類
Fitch Ratings-Taipei/Hongkong/Singapore-04 June 2008: Fitch Ratings has today affirmed the Class A-1 notes of Ta Chong Bank 2006-1 CBO Special Purpose Trust (Ta Chong Bank 2006-1 SPT) and placed 3 Classes on Rating Watch Negative (RWN), as listed below:
- NTD1,895 million class A-1 asset backed commercial paper (CP): affirmed at 'F1(twn)';
- NTD2,146m class A-2 CP: 'F1(twn)', on RWN;
- NTD319m class B CP: 'F2(twn)', on RWN; and
- NTD80m subordinated term note due February 2013: 'BBB+(twn)', on RWN;
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The CP program matures in February 2013.
Ta Chong Bank 2006-1 SPT is a bankruptcy-remote special purpose trust, established in 2006 to issue three classes of New Taiwan Dollar (NTD) denominated CP and a subordinated term note via an asset-backed CP programme. The rating actions reflect Fitch's view on the credit risk of the rated tranches following the release of its new Corporate CDO rating criteria.
At closing, the static portfolio comprised 12 NTD structured notes, representing 50% of the asset pool, and a USD single tranche synthetic CDO, Castle Finance III Limited's Series 1 (Castle Finance), which represented the other 50% of the asset pool. The affirmation and RWN actions follow the agency's placement of Castle Finance's 'A+' rating on RWN ("Fitch Places Castle Finance III Ltd's Series 1 and 2 Notes on Rating Watch Negative", 3 June 2008).
Since closing, NTD550m structured bonds were repaid in full and thus the portfolio notional has been reduced to NTD4,450m per the May 2008 Trustee Report. The remaining nine NTD bonds have a weighted average rating of 'A-' (A minus)/ 'BBB+'. Fitch notes that 27% of the remaining asset pool is scheduled to mature within one year, and hence the concentration risk in the portfolio will increase further with Castle Finance expected to represent 77% of the portfolio at that time.
The affirmation of class A-1 reflects its level of asset coverage from the NTD bonds which have stable outlooks and short remaining lives. As indicated, with a further 27% of the asset pool scheduled to mature in the next year this will further pay down the A-1 tranche to NTD 695m (from NTD 2,445m at closing). Post 2008, asset coverage for the outstanding notional of class A-1 will come from bonds issued or guaranteed by Chinatrust Commercial Bank, Far Eastern International Bank and Taipei Fubon Commercial Bank, all with 2009 scheduled maturities, and two 'AAA' rated supranational issuers with 2010 scheduled maturities. The ratings of transaction counterparties continue to be appropriate.
Class A-2, class B and the subordinated term note are placed on RWN. Given the very concentrated nature of the portfolio, their credit risks are strongly linked to the credit risk of the lowest rated asset in the remaining asset pool which, going forward is expected to be Castle Finance.
The resolution of these RWNs 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 RWNs, the resolution of the RWN status of Castle Finance is likely to be a significant factor in determining the resolution of the RWN status Classes A-2, B and the subordinated note. As a result, Class A-2 is likely to be downgraded to 'F2(twn)' whilst Class B may be affirmed at 'F2(twn)'. The Subordinated term note is likely to remain in the 'BBB(twn)' category.
Liquidity during the entire programme life is supported by an unconditional purchase agreement, which was committed by International 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 therefore credit-linked to the underwriters.
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; David Wong, Hong Kong, 852 2263 9927/
david.wong@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.
