Fitch Ratings reviewed documents relating to novations executed in eight TruPs CDOs with derivative counterparty exposures to The Royal Bank of Scotland PLC (RBS).
In the transactions listed below, RBS will novate all rights, liabilities, duties, and obligations to a new swap counterparty, Wells Fargo Bank, N.A. (Wells Fargo; rated 'AA-'/'F1+', Outlook Stable) under the respective ISDA Master Agreements and the Credit Support Agreements and Annexes (CSAs). The material terms and conditions of the swap agreements will be maintained.
Certain terms of the CSA do not fully follow Fitch's 'Counterparty Criteria for Structured Finance Transactions', dated May 30, 2012. However, Fitch has determined that these deviations will not impact the note ratings given that Wells Fargo is an eligible counterparty for the CDOs, as defined in the criteria. Should Wells Fargo be downgraded below Fitch's relevant eligibility threshold, as described in then applicable criteria, Fitch will determine whether the existing remedies, as proposed in the CSAs, sufficiently mitigate CDOs' exposure in the context of the current CDO notes' ratings and remaining derivative terms.
The affected transactions are as follows:
Preferred Term Securities XV, Ltd.;
Preferred Term Securities XVI, Ltd.;
Preferred Term Securities XVII, Ltd.;
Preferred Term Securities XVIII, Ltd.;
Preferred Term Securities XIX, Ltd.;
Preferred Term Securities XX, Ltd.;
Preferred Term Securities XXI, Ltd.;
Preferred Term Securities XXIII, Ltd.;
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Sources of Information: The source of information used to assess these swap counterparty changes was the current swap counterparty, RBS PLC.
Applicable Criteria and Related Research:
--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012);
--'Counterparty Criteria for Structured Finance Transactions: Derivative Addendum' (May 30, 2012).
Applicable Criteria and Related Research:
Counterparty Criteria for Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678938
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678939
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