Bangkok--6 Feb--Fitch Ratings
Fitch Ratings has today detailed the swap counterparty credit exposure in non-Japan Asia originated public cross-border structured finance transactions. Disruptions to the global banking and insurance markets from recent high profile defaults and mergers, coupled with the generally favourable performance of non-Japan Asia underlying assets, has turned the focus of investors from underlying asset performance to counterparty credit risk. Non-Japan Asian cross-border transactions are structured with swaps to deal with the currency and interest rate mismatches between the securitised assets and liabilities, and hence such transactions are subject to the credit risk of the swap counterparties.
"Non-Japan Asian public cross-border structured finance transactions rated by Fitch do not have concentrated swap exposure to any particular financial institution other than Standard Chartered Bank, which reflects the frequent RMBS issuance by Standard Chartered First Bank Korea in the region. Besides, none of the non-Japan Asian ABS, CMBS or RMBS transactions have exposure to Lehman entities," says Stan Ho, Senior Director and Head of Structured Finance ratings for Fitch in non-Japan Asia.
The top 15 swap counterparty exposures, expressed as a percentage of number of deals, in non-Japan Asian public cross-border structured finance transactions rated by Fitch are:
1. Standard Chartered Bank (30.0%)
2. ABN AMRO Bank N.V. (10.0%)
3. Hongkong and Shanghai Banking Corporation (10.0%)
4. BNP Paribas (6.7%)
5. Calyon (6.7%)
6. Standard Bank Plc (6.7%)
7. Bayerische Hypo- und Vereinsbank AG (HVB) (3.3%)
8. Citibank, N.A. (3.3%)
9. DBS Bank (3.3%)
10. JPMorgan Chase Bank, N.A. (3.3%)
11. Korea Development Bank (3.3%)
12. Merrill Lynch & Co., Inc. (3.3%)
13. Oversea-Chinese Banking Corp (3.3%)
14. Rabobank Group (3.3%)
15. United Overseas Bank (3.3%)
The spreadsheet titled "Non-Japan Asian SF Counterparty Credit Risk - February 2009" accompanying this release will be available on the Fitch website, www.fitchratings.com, and indicates the specific counterparties to which non-Japan Asian public cross-border transactions rated by Fitch are exposed. The spreadsheet does not attempt to quantify the value of the exposure.
All of the non-Japan Asian structured finance transactions rated by Fitch contain provisions for the replacement and/or enhancement of exposure in the event of a downgrade to a particular swap counterparty. For further details please refer to Fitch criteria report, "Counterparty Risk in Structured Finance Transactions: Hedge Criteria", published on August 1, 2007.
Contacts: Stan Ho Ho Ming, Hong Kong, +852 2263 9668; Alex Choi, Hong Kong, +852 2263 9936.
Media Relations: Nicole Batchelor, Singapore, Tel: +65 6796 7214, Email: [email protected].
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.