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Fitch Ratings-Taipei/Hong Kong/Singapore-03 June 2009: Fitch Ratings has today affirmed the ratings assigned to New Taiwan Dollar (NTD)-denominated 90-day CPs issued by Taishin CBO Special Purpose Trusts 6 to 11, as follows:
- NTD3.97bn Taishin CBO SPT-6 CP: affirmed at 'F2(twn)';
- NTD3.62bn Taishin CBO SPT-7 CP: affirmed at 'F2(twn)';
- NTD2.66bn Taishin CBO SPT-8 CP: affirmed at 'F2(twn)';
- NTD2.96bn Taishin CBO SPT-9 CP: affirmed at 'F2(twn)';
- NTD3.21bn Taishin CBO SPT-10 CP: affirmed at 'F2(twn)', and
- NTD4.36bn 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 each SPT with the outstanding asset quality remaining largely unchanged. Based on the latest trustee reports published in May 2009, the outstanding asset balances are: NTD3.95bn (SPT-6), NTD3.60bn (SPT-7), NTD2.65bn (SPT-8), NTD2.95bn (SPT-9), NTD3.20bn (SPT-10), and NTD 4.35bn (SPT-11). The proportion of the CFHC preferred shares in each SPT's current asset pool are: 65% (SPT-6), 72% (SPT-7), 74% (SPT-8), 76% (SPT-9), 69% (SPT-10) and 61% (SPT-11). The remaining assets, other than CFHC's preferred shares, in the SPT asset pools are rated at least 'BBB+'.
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. The 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 rating affirmations reflect the adequate credit quality of the outstanding 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 creditworthy 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.
Contacts: Jackie Lee, Taiwan, +8862 8175 7613/
jackie.lee@fitchratings.com; David Wong, Hong Kong, +852 2263 9927/
david.wong@fitchratings.com; Atsushi Kuroda, Tokyo, +81 3 3288 2692/
atsushi.kuroda@fitchratings.com.
Media Relations: Lisa Lim, Singapore, Tel: +65 6796 7214,
Email:
lisa.lim@fitchratings.com.
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.
