S&P Puts RHYNO CBO 1997-1 Ltd. Class A Notes on WatchNeg

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S&P Puts RHYNO CBO 1997-1 Ltd. Class A Notes on WatchNeg
    NEW YORK, Feb. 14 /PRNewswire/ -- Standard & Poor's today placed its
ratings on the class A-1, A-2, and A-3 notes issued by RHYNO CBO 1997-1 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 notes since the transaction
was originated in September of 1997. These factors include par erosion of the
collateral pool securing the rated notes and the deterioration in the credit
quality of the performing assets within the pool.
    Standard & Poor's notes that $44.07 million (or approximately 13%) of the
assets currently in the collateral pool come from obligors rated 'D' or 'SD'
by Standard & Poor's, and another $7 million (or approximately 2.1%) of the
assets come from obligors rated double-'C', thus classified as being 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. As of the Feb. 2, 2002 monthly report, the class A
overcollateralization ratio test was failing, with a ratio of 109.3% versus
its minimum required ratio of 119%, and versus a ratio of 114.3% as of the
prior (Jan. 2, 2002) monthly report.
    The credit quality of the collateral pool has also deteriorated since the
transaction was initially rated. Currently, $53.69 million (or approximately
18.19%) of the performing assets in the collateral pool come from obligors
with ratings on CreditWatch negative, and $18.2 million (or approximately
5.37%) of the performing assets come from obligors with ratings in the
triple-'C' range. According to the Feb. 2, 2002 monthly report, two of the
transaction's four ratings' bucket tests are failing: 57.9% of the assets
within the collateral pool come from obligors rated single-'B' or higher
(compared with a minimum required percentage of 73%), and 74.8% of the assets
come from obligors rated single-'B'-minus or higher (compared with a minimum
required percentage of 95%).
    Standard & Poor's will be reviewing the results of current cash flow runs
generated for RHYNO CBO 1997-1 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 currently assigned to the class A-1,
A-2, and A-3 notes remain consistent with the credit enhancement available.

     RATINGS PLACED ON CREDITWATCH NEGATIVE

     RHYNO CBO 1997-1 Ltd.

                    Rating
     Class     To             From      Current Balance ($ millions)
     A-1       AAA/Watch Neg  AAA       $39.815
     A-2       AAA/Watch Neg  AAA       $130.00
     A-3       A-/Watch Neg   A-        $127.000
SOURCE Standard & Poor's
http://www.standardandpoors.com/ratings
CONTACT:
Stephen Anderberg, +1-212-438-8991, or
Patrick Coyne, +1-212-438-2435, both of Standard & Poor's