NEW YORK, Feb. 7 /PRNewswire/ -- Standard & Poor's today placed its
triple-'A' rating on the class I notes (current amount of $230,851,461) issued
by CIGNA Collateralized Holdings 1999-1 CDO Ltd., an arbitrage CBO
transaction, on CreditWatch with negative implications.
The CreditWatch placement reflects factors that have negatively affected
the credit enhancement available to support the rated notes since the
transaction was originated in November 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 $52.15 million (or approximately 15%) of the
assets currently in the collateral pool come from obligors rated 'D' or 'SD'
by Standard & Poor's, $14.2 million of which defaulted after the Jan. 10, 2002
trustee report was issued. As a result of asset defaults and credit risk
sales at distressed prices, the par value ratios for the transaction have
deteriorated significantly since the transaction was originated. As of the
Jan. 10, 2002 trustee report, the senior par value test was failing, with a
current ratio of 121.9% versus the minimum required 127.0%, and an effective
date par value of approximately 140%.
The credit quality of the collateral pool has also deteriorated since the
transaction was originated. Currently, $61 million (or approximately 20%) of
the performing assets in the collateral pool come from obligors with ratings
on CreditWatch negative. Of the assets in the pool, $47.4 million (or
approximately 15.9%)come from obligors with ratings in the triple-'C' range,
of that, $32.1 million is on CreditWatch negative.
Finally, the weighted average coupon generated by the performing
fixed-rate assets in the pool has declined since the transaction was
originated. According to the Jan. 10, 2002 trustee report, the weighted
average coupon was at 9.61%, compared to the minimum required weighted average
coupon of 9.75% and an original weighted average coupon of approximately
10.23%.
Standard & Poor's will be reviewing the results of current cash flow runs
generated for CIGNA Collateralized Holdings 1999-1 CDO 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.
SOURCE Standard & Poor's
 back to top
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
|
