NEW YORK, Feb. 7 /PRNewswire/ -- Standard & Poor's today placed its
ratings on the class A-1L, A-1F, A-1, A-2F, A-2, and A-3 notes issued by INA
CBO 1999-1 Ltd., an arbitrage CBO transaction, on CreditWatch with negative
implications (see list).
The CreditWatch placements reflect factors that have negatively affected
the credit enhancement available to support the rated notes since the
transaction was originated in September of 1999. These factors include par
erosion of the collateral pool securing the rated notes and deterioration in
the credit quality of the performing assets within the pool.
Standard & Poor's notes that $19.7 million (or approximately 7%) of the
assets currently in the collateral pool come from obligors rated 'D' or 'SD'
by Standard & Poor's, $13.75 million of which defaulted after the Jan. 17,
2002 trustee report was issued. As a result of asset defaults and credit risk
sales at distressed prices, the overcollateralization ratios for the
transaction have deteriorated significantly since the transaction was
originated. Although the senior class A and class A overcollateralization
ratios are passing, the current ratios have significantly declined since the
effective date. As of the Jan. 17, 2002 trustee report, the senior class A
overcollateralization ratio was 132.8% versus 144% initially, and the class A
overcollateralization ratio was 111.1% versus 120.6% initially.
The credit quality of the collateral pool has also deteriorated since the
transaction was originated. Currently, $44.4 million (or approximately 17.75%)
of the performing assets in the collateral pool come from obligors with
ratings on CreditWatch with negative implications. Of the assets in the pool,
$29.8 million (or approximately 11.6%) come from obligors with ratings in the
triple-'C' range, of that, $14.8 million is on CreditWatch negative.
Standard & Poor's will be reviewing the results of current cash flow runs
generated for INA CBO 1999-1 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 interest and principal
due on the notes. The results of these cash flow runs will be compared with
the projected default performance of the performing assets in the collateral
pool to determine whether the ratings assigned to the notes remain consistent
with the credit enhancement available.
RATINGS PLACED ON CREDITWATCH NEGATIVE
INA CBO 1999-1 Ltd.
Class Rating
To From Balance (mil. $)
A-1L AAA/Watch Neg AAA 84
A-1F AAA/Watch Neg AAA 38
A-1 AAA/Watch Neg AAA 8
A-2F AAA/Watch Neg AAA 45
A-2 AAA/Watch Neg AAA 35
A-3 A-/Watch Neg A- 40
SOURCE Standard & Poor's
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Related links:
http://www.standardandpoors.com/ratings
CONTACT:
Jimmy Kobylinski, +1-212-438-6314, or Patrick
Coyne, +1-212-438-2435, both of Standard & Poor's
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