NEW YORK, Feb. 6 /PRNewswire/ -- Standard & Poor's today placed its
ratings on the class A and B-2 notes issued by Juniper CBO 2000-1 Ltd., an
arbitrage CBO transaction originated in 2000, on CreditWatch with negative
implications (see list).
The CreditWatch placements on the class A and B-2 notes reflects several
factors that have over recent months negatively affected the credit
enhancement available to support the notes. These factors include par erosion
of the collateral pool securing the rated notes and a downward migration in
the credit quality of the assets within the pool.
There has been a significant deterioration in the transaction's
overcollateralization ratios since the transaction was originated. As of the
Jan. 2, 2002 monthly trustee report, the senior class A overcollateralization
ratio was 125.70% (the minimum required ratio is 120.00%), versus an initial
ratio of approximately 143.40%. The class A overcollateralization ratio was
107.70% (the minimum required ratio is 110.00%), versus its initial ratio of
approximately 122.80%. The class B overcollateralization ratio was 98.60% (the
minimum required ratio is 103.00%) versus its initial ratio of approximately
112.40%.
The credit quality of the collateral pool has also deteriorated since the
transaction was originated. Currently, $20.66 million (or approximately 7.81%
of the collateral pool) has defaulted. In addition, $14.18 million (or
approximately 5.81%) of the performing assets in the collateral pool come from
obligors with Standard & Poor's ratings currently in the triple-'C' range, and
$28.95 million (or approximately 11.87%) of the performing assets within the
collateral pool come from obligors with Standard & Poor's long-term corporate
credit ratings on CreditWatch negative.
Standard & Poor's will be reviewing the results of the current cash flow
runs generated for Juniper CBO 2000-1 Ltd. to determine the level of future
defaults the rated tranches can withstand under various stressed default
timing and interest rate scenarios, while still paying all of the rated
interest and principal due on the notes. The results of these cash flow runs
will be compared with the projected default performance of the transaction's
current collateral pool to determine whether the ratings assigned to the above
mentioned notes are commensurate with the level of credit enhancement
currently available.
RATINGS PLACED ON CREDITWATCH WITH NEGATIVE IMPLICATIONS
Juniper CBO 2000-1 Ltd.
Class Rating Balance (mil. $)
To From Original Current
A-1L AAA/Watch Neg AAA 76 76
A-2L AAA/Watch Neg AAA 90 90
A-3L AAA/Watch Neg AAA 20 20
A-3 AAA/Watch Neg AAA 30 30
A-4L A-/Watch Neg A- 15 15
A-4 A-/Watch Neg A- 20 20
B-2 BB-/Watch Neg BB- 7 7
SOURCE Standard & Poor's
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Related links:
http://www.standardandpoors.com/ratings
CONTACT:
Robert Maroney, New York, +1-212-438-1114, or
Patrick Coyne, New York, +1- 212-438-2435, both Standard & Poor's
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