RPT-Fitch affirms Taishin SPT 7 and 10 ABCPs at 'F2(twn)sf'

Mon Mar 3, 2014 4:33am EST

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March 3 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed Taishin Collateralised Bond Obligations Special Purpose Trust (SPT) 7's and 10's asset-backed commercial paper (ABCP) as follows:

SPT 7

TWD1,000m ABCP affirmed at 'F2(twn)sf'

SPT 10

TWD1,000m ABCP affirmed at 'F2(twn)sf'

Each ABCP programme is currently backed by two Taiwan dollar-denominated bonds issued by China Development Industrial Bank (CDIB). According to the latest trust report dated February 2014, the portfolio balances of SPT7 and 10 have amortised to 24% and 28% of their closing balance respectively.

KEY RATING DRIVERS

The rating affirmations reflect the short maturity of the underlying CDIB bonds, which are due in March 2014, as well as the broadly stable credit quality of key counterparties in both SPTs. Fitch's Outlook on most counterparties in both transactions is Stable. The exception is CTBC Bank Co., Ltd (CTBC), which was placed on Rating Watch Negative (RWN) in November 2013. CTBC is one of the interest rate swap providers of SPT7, and one of the underwriters of SPT10. The last issuance of ABCP from the two SPTs is due to be repaid in May 2014, after which the two programmes are expected to be terminated.

In each SPT, the respective underwriters unconditionally and irrevocably guarantee to refinance the 90-day ABCPs as they become due. The underwriters are all rated 'F1+(twn)', although CTBC is also on RWN. Given that each ABCP issued by the SPT has no subordination, the rating of the ABCP reflects the ability to withstand the first-to-default risk of the underlying assets and all the key transaction parties, including the underwriters, at the 'F2(twn)sf' rating stress.

RATING SENSITIVITIES

Fitch's has factored CTBC's RWN into its analysis of the two portfolios. Fitch does not expect further rating updates or downgrades on the outstanding ABCPs issued by SPT 7 and 10 before the maturity of the two SPTs in May 2014.

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