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Fitch Ratings-Taipei/Hong Kong/Singapore-17 August 2009: Fitch Ratings has today affirmed all classes of New Taiwan Dollar (NTD)-denominated notes issued by E. Sun Bank 2007-2 CBO Securitisation Special Purpose Trust (E. Sun SPT), and assigned Outlooks and Loss Severity (LS) ratings as follows:
NTD1,900m Class A1 zero coupon bond affirmed at 'AAA(twn)', Outlook Stable, Loss Severity rating assigned at 'LS-1';
NTD5, 940m Class A2 zero coupon bond affirmed at 'AAA(twn)', Outlook Stable, Loss Severity rating assigned at 'LS-1';
NTD1,720m Class B interest deferrable coupon bond affirmed at 'BBB+(twn)', Outlook Stable, Loss Severity rating assigned at 'LS-1'; and
NTD873m Class C interest deferrable coupon bond affirmed at 'C(twn)'.
The transaction, which closed in 2007, is a static cash flow securitisation of NTD-denominated corporate bonds and banking debentures, as well as one USD-denominated Principal Protected Note (PPN).
The rating affirmations of classes A1 and A2 are driven by the de-leveraging of the transaction and the adequate current credit enhancement levels. Since closing, 24 NTD bonds have fully amortised and the resultant principal proceeds have been used to pay down the Class A1 bond to the current balance of NTD1.9bn from NTD8.8bn at closing. The credit enhancement level of Class A1 has also increased to 80% from 55% at closing. Meanwhile, Class A2's current credit enhancement of 21% is sufficient to withstand the default of a significant proportion of the NTD assets under the relevant rating default rate stress, assuming zero recovery amounts from them.
The rating affirmation of Class B reflects that its rating of 'BBB+(twn)' is commensurate with the first-to-default risk of the collateral pool. According to the latest trustee report as of August 2009, the current balance of the collateral is NTD9.96bn, 76% of which is a USD zero coupon bond issued by Citigroup Funding Inc. ('A+'/Stable Outlook). The rest of the pool comprises the remaining four NTD bonds issued from three local banks, all rated 'BBB+' with Stable Outlooks. The weighted average maturity of these NTD bonds is 1.6 years.
The Stable Outlooks assigned to Class A-1, A-2 and B reflect the stable credit quality of the current portfolio.
In 2008, the USD PPN, Class P of Westways Funding XI, Ltd (Westways XI, a US mortgage market value CDO) was liquidated. As a result, E. Sun SPT received the principal portion of this PPN, which is the zero coupon bond issued by Citigroup Funding Inc.
The ultimate principal and deferrable interest payments of the Class C bond are impaired due to the liquidation of Westways XI in 2008, although neither the principal nor any interest on the Class C bond is due until the final legal maturity of 2016, in accordance with the terms of the documentation. Under this situation, according to Fitch's rating definition, a 'C(twn)' rating is held for Class C notes.
The ratings of 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.
Rating Outlooks have been published for all newly issued Asia Pacific Structured Finance tranches since June 2008, and concurrently with rating actions for tranches issued prior to June 2008. Unlike a Rating Watch which notifies investors that there is a reasonable probability of a rating change in the short term as a result of a specific event, rating Outlooks indicate the likely direction of any rating change over a one- to two-year period.
Loss Severity criteria were published on 17 February 2009. For further details please see "Criteria for Structured Finance Loss Severity Ratings", available at www.fitchratings.com.
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,
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.
