相關產業分類
Fitch Ratings-Taipei/Hong Kong/Singapore-14 July 2008: Fitch Ratings has today affirmed the 'F2(twn)' ratings on the New Taiwan Dollar (NTD)-denominated 90-day commercial paper (CP) issued by Taishin Collateralised Bond Obligation Special Purpose Trusts 6 to 11, as follows:
- NTD4.66 billion Taishin CBO SPT-6 CP: affirmed at 'F2(twn)';
- NTD3.87bn Taishin CBO SPT-7 CP: affirmed at 'F2(twn)';
- NTD2.77bn Taishin CBO SPT-8 CP: affirmed at 'F2(twn)';
- NTD4.61bn Taishin CBO SPT-9 CP: affirmed at 'F2(twn)';
- NTD3.39bn Taishin CBO SPT-10 CP: affirmed at 'F2(twn)'; and
- NTD4.46bn Taishin CBO SPT-11 CP: affirmed at 'F2(twn)'.
Each Taishin CBO SPT is a bankruptcy-remote special purpose trust, established to issue NTD CP via an asset-backed CP programme. At closing, the proceeds from the CP were used to fund the one-time purchase of NTD structured bonds, and NTD preferred shares due 2012 issued by Chinatrust Financial Holding Company (CFHC, 'A'/'F1'/Stable Outlook). Since closing, there have been principal repayments from structured bonds in the SPT-6, SPT-8 and SPT-9 asset pools, with the underlying asset quality in each SPT remaining largely unchanged or improved. Based on the latest trustee reports published in May 2008, the outstanding asset balances, including asset amortisations, are: NTD4.63bn (SPT-6), NTD3.85bn (SPT-7), NTD2.75bn (SPT-8), NTD4.58bn (SPT-9), NTD3.37bn (SPT-10), and NTD 4.43bn (SPT-11). The proportion of the CFHC preferred shares in each SPT's current asset pool are: 55% (SPT-6), 68% (SPT-7), 71% (SPT-8), 49% (SPT-9), 65% (SPT-10) and 60% (SPT-11). The lowest-rated asset contained within these portfolios is rated 'BB+', and its scheduled maturity is in September 2008. The remaining assets in the SPT asset pools are rated at least 'BBB+'. The asset pools are static for the life of the transaction.
As the CP of each SPT does not rely on subordination, the default of any of the assets in the relevant asset pool within the 90-day life of the CP will result in the default of the CP. Defaults could also be triggered if any of the underwriters, the IRS counterparty and the guarantee provider defaults on its obligations. Default risk of each CP is therefore equivalent to the 90-day first-to-default risk of the relevant asset pool plus all of the aforementioned transaction parties.
The affirmations reflect the adequate credit quality of the purchased financial assets, the appropriate ratings of the transaction counterparties and the continuation of the liquidity support in the form of the 100% purchase commitment (on each CP issue throughout the CP programme) provided by the sufficiently credit-worthy underwriters. The affirmed ratings also reflect the appropriate liquidity arrangement that mitigates any cash flow timing mismatches, and the appropriate hedging agreements that mitigate interest rate risks.
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 Rating Watch Negative 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.
Contacts: Jackie Lee, Taiwan, +8862 8175 7613/
jackie.lee@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.
