相關產業分類
Fitch Ratings-Taipei/HK/Tokyo/Singapore-24 July 2008: Fitch Ratings has today downgraded Class B and affirmed Classes A1, A2 and C New Taiwan Dollar (NTD)-denominated notes issued by E. Sun Bank 2007-2 CBO Securitisation Special Purpose Trust (SPT) as follows:
NTD6,000m Class A1 zero coupon bond: affirmed at 'AAA(twn)';
NTD5,940m Class A2 zero coupon bond: affirmed at 'AAA(twn)';
NTD1,720m Class B interest deferrable coupon bond: downgraded to 'BBB+(twn)' from 'A(twn)'; and
NTD873.6m Class C interest deferrable coupon bond: affirmed at 'C(twn)'.
The transaction is a cash flow securitisation of a static pool. At closing in June 2007, it comprised of 28 NTD-denominated corporate bonds and banking debentures as well as one USD-denominated Principal Protected Notes (PPN) - which is the Class P of Westways Funding XI, Ltd (Westways XI, a US mortgage market value CDO).
According to the latest trustee report as of May 2008, 10 NTD-denominated assets representing 15% of the closing portfolio have been repaid since closing, and these proceeds were used to pay down NTD 2,800m of the Class A1 bond. Following the liquidation of Westways XI, the trustee of the SPT has received the USD-denominated Citigroup Funding Inc's zero coupon bond due 2013, which is the principal of the Class P notes of Westways XI. Currently, the portfolio comprises of 18 NTD bonds and this USD zero coupon bond issued by Citigroup Funding Inc. The weighted average rating of the current portfolio is 'A-' (A minus), having deteriorated from 'A+'/ 'A' at closing, due to the downgrades of Citigroup Funding Inc. (rated 'AA-' (AA minus)/Negative Outlook ) and Far Eastern International Bank (rated 'BBB-' (BBB minus)). Currently, Citigroup Funding Inc's zero coupon bond represents 54% of the current portfolio. The lowest rating of the remaining NTD assets with the weighted average life being 1.42 years is 'BBB-' (BBB minus).
The rating affirmations of Classes A1 and A2 take into account the de-leveraging of the transaction, which has resulted in the increase of Class A1's credit enhancement level to 57.3%, compared with 55.2% at closing. Class A2's current credit enhancement of 15.1% is also sufficient to withstand the defaults of a significant proportion of the NTD assets under the required rating default rate stresses.
The rating downgrade of the Class B reflects its negligible current credit enhancement and as a result the default of any asset in the current portfolio will affect the likelihood of receiving full interest payments and the ultimate principal for Class B bondholders.
The Class C bond is reliant on the coupon payment of Class P of Westways XI. After the liquidation of Westways XI, the Class C bond is irrevocably impaired. Although neither the principal nor any interest on the Class C is due until the final legal maturity of 2016 in accordance with the terms of the documentation, the ultimate principal and interest repayment of the Class C bond is not expected to be fully repaid at the maturity date.
The ratings of the Classes A1 and A2 address the ultimate receipt of principal by the legal maturity date as per the transaction's governing documents. The ratings of Class B and C address the likelihood that investors will receive full interest payments and the ultimate receipt of principal by the legal maturity date, as per the transaction's governing documents.
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: April Chen, Taipei, +886 2 8175 7614/
april.chen@fitchratings.com; Jackie Lee, Taipei, +886 2 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.
