NEW YORK, Feb. 7 /PRNewswire/ -- Standard & Poor's today placed its
triple-'A' rating on the class A notes (current amount of $263 million) issued
by CIGNA CDO 2000-1 Ltd. and co-issued by CIGNA CDO 2000-1 INC., an arbitrage
CBO transaction originated in 2000, 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 August of 2000. 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 $44.8 million (or approximately 11.8%) of the
assets currently in the collateral pool come from obligors rated 'D' or 'SD'
by Standard & Poor's. As a result of asset defaults and credit risk sales at
distressed prices, the overcollateralization ratios for the transaction have
deteriorated since the transaction was originated. As of the Jan. 18, 2002
monthly trustee report, the class A overcollateralization ratio was 138.08%
(the minimum required ratio is 136.98%) versus the initial ratio of
approximately 148%. In addition, the overcollateralization tests for two
subordinate tranches not rated by Standard & Poor's were failing: the class C
overcollateralization ratio test, with a ratio of 116.30% versus its minimum
required ratio of 117.99%, and the class D overcollateralization ratio test,
with a ratio of 110.55% versus its minimum required ratio of 111.98%.
The credit quality of the collateral pool has also deteriorated since the
transaction was originated. Currently, $59.4 million (or approximately 17.8%)
of the performing assets in the collateral pool come from obligors with
ratings on CreditWatch negative, and $26 million (or approximately 7.8%) of
the performing assets come from obligors with ratings in the triple-'C' range.
Standard & Poor's will be reviewing the results of current cash flow runs
generated for CIGNA CDO 2000-1 Ltd. to determine the level of future defaults
the rated tranche 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 rating assigned to the class A notes remain
consistent with the credit enhancement available.
SOURCE Standard & Poor's
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Related links:
http://www.standardandpoors.com/ratings
CONTACT:
Robert Maroney, +1-212-438-1114, or Patrick
Coyne, +1-212-438-2435, both of Standard & Poor's Ratings
Services, New York
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