Nov 19 - Fitch Ratings has affirmed the ratings of class A2, B and C notes issued by E. Sun Bank 2007-2 CBO Securitisation Special Purpose Trust and maintained the Stable Outlook for class A2 and B. The transaction is a static cash flow securitisation of a NTD-denominated bond and USD-denominated zero coupon bond issued by Citigroup Funding Inc. (Citigroup, ‘A’/Stable/‘F1’). The rating actions are as follows:
NTD5.64bn Class A2 zero coupon bond due February 2016: affirmed at ‘AA+sf(twn)'; Outlook Stable
NTD1.72bn Class B interest deferrable coupon bond due February 2016: affirmed at ‘A+sf(twn)'; Outlook Stable
NTD0.87bn Class C interest deferrable coupon bond due February 2016: affirmed at ‘Dsf(twn)'; Recovery Estimate of 0%.
The rating affirmation and Stable Outlook of class A2 reflect the fact that class A2’s ultimate principal repayment mainly relies on the proceeds from the redemption of the underlying USD zero coupon bond issued by Citigroup.
The rating affirmation and Stable Outlook of class B reflect its first-to-default risk of the portfolio. The portfolio currently has two bonds issued by Citigroup and Taipei Fubon Bank. Class B’s ultimate principal repayment relies on the proceeds from the full redemption of two bonds on their maturity dates. The first-to-default risk of the portfolio is considered equivalent to ‘A+sf(twn)'.
The rating on the class C notes and the Recovery Estimate reflect Fitch’s expectations of a significant loss of principal and capitalised interest.
The credit quality of the current portfolio has remained stable since the previous rating action in December 2011. The portfolio has high obligor concentration risk, with Citigroup accounting for 97.4% of the portfolio’s notional balance as at the latest payment date in November 2012. Both bonds in the asset pool will mature in 2013.