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Fitch Ratings-Taipei/Hongkong/Singapore-16 July 2009: Fitch Ratings has today downgraded Ta Chong Bank 2006-2 Collateralised Bond Obligation Special Purpose Trust New Taiwan Dollar (NTD) denominated tranches, as follows:
NTD23.74m Class A-1 CP downgraded to 'D(twn)' from 'C(twn)';
NTD1,635.70m Class A-2 CP downgraded to 'D(twn)' from 'C(twn)';
NTD100.10m Class B CP downgraded to 'D(twn)' from 'C(twn)'; and
NTD100.65m subordinated term note due February 2013 downgraded to 'D(twn)' from 'C(twn)'.
The transaction was established in 2006 to make a one-time purchase of NTD corporate bonds and a USD single tranche synthetic CDO (Castle Finance III Limited Series 2 (Castle Finance 2)) through the issuance of three classes of CP and one subordinated term note.
The rating actions follow the release of the estimated final distribution report available on 14 July 2009 indicating that the liquidation proceeds, after swaps termination costs and senior fees, will not be sufficient to pay down Class A-1 CP in full, and that all the remaining classes will suffer 100% of loss.
Following the Stop Issuance Event arising from the non-payment of USD coupon by Castle Finance 2 to SPT2 in October 2008, the remaining NTD assets were liquidated, and the USD54.75m principal amount of Castle Finance 2 was written down to zero. For more information please refer to the rating action commentary, "Fitch Downgrades Castle Finance III Series 1 & 2 to D", dated 26 May 2009. The liquidation proceeds were used to pay down most of Class A-1, reducing the outstanding principal to NTD23.74m from NTD1,363.90m at the last issuance in October 2008. The final distribution report, subject to the investor's consent on 23 July 2009, projects that the unpaid notional amount of Class A-1 will represent 1.40% of its last issuing notional of NTD1,363.90m.
Contacts: Jackie Lee, Taipei, +8862 8175 7613/
jackie.lee@fitchratings.com; Kate Lin, Hong Kong, +852 2263 9912/
kate.lin@fitchratings.com.
Media Relations: Shivani Sundralingam, Singapore, Tel: + 65 6796 7215,
Email:
shivani.sundralingam@fitchratings.com.
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