NEW YORK, Feb. 8 /PRNewswire/ -- Standard & Poor's today lowered its
ratings on the class A-2 and A-3 notes issued by ML CBO XIV (Cayman) Ltd.
series 1998-E&P-1, an arbitrage CBO transaction originated in 1998, to
triple-'C' from triple-'B'-minus. The ratings remain on CreditWatch with
negative implications, where they had been placed on Aug. 30, 2001. At the
same time, the triple-'A' rating on the class A-1 notes is affirmed based on
the high level of overcollateralization available to support the class A-1
tranche. The ratings on the class A-2 and A-3 notes had previously been
lowered to single-'A'-plus from double-'A' on Nov. 5, 1999, and then to
triple-'B'-minus from single-'A'-plus on Feb. 5, 2001 (see list).
The lowered rating actions reflect factors that have eroded the credit
enhancement available to support the rated notes, primarily a continuing par
erosion of the collateral pool securing the rated notes and downward migration
of the credit quality of the performing assets remaining within the collateral
pool. According to the Jan. 23, 2002 monthly report, the class A-2 and A-3
overcollateralization ratio was 82.84%, compared to its minimum required ratio
of 117%, and a ratio of approximately 127.8% as of the transaction's effective
date. A total of $42.675 million (or 27.24%) of the portfolio's collateral
debt securities are defaulted, and of the performing assets within the
portfolio, $17.1 million (or 15%) came from obligors with ratings in the
triple-'C' range.
RATINGS LOWERED AND REMAIN ON CREDITWATCH NEGATIVE
ML CBO XIV (Cayman) Ltd.
Series 1998-E&P-1
Rating
Class To From Current Balance
A-2 CCC/Watch Neg BBB-/Watch Neg $67 million
A-3 CCC/Watch Neg BBB-/Watch Neg $50 million
RATING AFFIRMED
ML CBO XIV (Cayman) Ltd.
Series 1998-E&P-1
Class Rating Current Balance Original Balance
A-1 AAA $31.535 million $59 million
SOURCE Standard & Poor's
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Related links:
http://www.standardandpoors.com/ratings
CONTACT:
Stephen Anderberg, New York, +1-212-438-8991,
or Patrick Coyne, New York, +1- 212-438-2435, both Standard &
Poor's
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