NEW YORK, Feb. 11 /PRNewswire/ -- Standard & Poor's today placed its
triple-'A' rating on the class I senior notes (current balance of
$157 million) issued by Eaton Vance 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 August 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 $37.45 million (or approximately 15%) of the
assets currently in the collateral pool come from obligors rated 'D' or 'SD'
by Standard & Poor's, and another $10 million (or approximately 4%) come from
obligors rated double-'C', which are considered highly vulnerable to default.
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. According to the Jan. 10, 2002 monthly report,
the Senior Par Value test is failing, with a current ratio of 135.84% versus
the minimum required 137.75%, and versus an effective date ratio of
approximately 149.8%. Two overcollateralization ratio tests for subordinate
tranches not rated by Standard & Poor's were also out of compliance: the class
III/IV mezzanine par value test, with a ratio of 104.143% versus its minimum
required ratio of 106.95%, and the class V mezzanine par value test, with a
ratio of 98.072% versus its minimum required ratio of 101.50%.
The credit quality of the collateral pool has also deteriorated since the
transaction was originated. Currently, $28.62 million (or approximately
13.18%) of the performing assets in the collateral pool come from obligors
with ratings on CreditWatch with negative implications, and $18.315 million
(or approximately 8.63%) 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 Eaton Vance CDO Ltd. to determine the level of future defaults
the class I senior notes 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 triple-'A' rating assigned to the
notes remains consistent with the credit enhancement available.
SOURCE Standard & Poor's
 back to top
Related links:
http://www.standardandpoors.com/ratings
CONTACT:
Stephen Anderberg, +1-212-438-8991, or
Patrick Coyne, +1-212-438-2435, both of Standard & Poor's
|
