S&P Puts BEA CBO 1998-2 Ltd. A-3 Rtg On Watch Neg.
NEW YORK--(BUSINESS WIRE)--May 30, 2003
Standard & Poor's--Standard & Poor's Ratings Services today placed its 'CCC-' rating on the class A-3 notes issued by BEA CBO 1998-2 Ltd., co-issued by BEA CBO 1998-2 (Delaware) Corp., and managed by Credit Suisse Asset Management, on CreditWatch with negative implications. At the same time, the 'AAA' ratings on the class A-1L, A-1, and A-2 notes are affirmed, based on a financial guarantee insurance policy issued by Financial Security Assurance Inc. (see list).
The CreditWatch placement of the class A-3 notes reflects factors that have negatively affected the credit enhancement available to support the notes since the last rating action was taken in September 2002. These factors include continuing par erosion of the collateral pool securing the rated notes, a decline in the credit quality of the performing assets in the collateral pool, and a decline in the interest from the collateral pool available for hedge and interest payments on the liabilities.
According to the May 2, 2003 trustee report, the transaction is carrying an aggregate of $60.95 million in defaults. As a result of asset defaults, the overcollateralization ratios for the transaction have deteriorated. According to the May report, the class A overcollaterization ratio was at 88.24%, compared to the required ratio of 115%, and compared to its ratio of 98.05% at the time of the September 2002 rating action.
The transaction is currently failing three out of four categories in Standard & Poor's issuer rating distribution test.
Standard & Poor's will be reviewing the results of current cash flow runs generated for BEA CBO 1998-2 Ltd. to determine the level of future defaults the class A-3 notes can withstand under various stressed default timing and interest rate scenarios while still paying all of the interest and principal due on the notes. The results of these cash flow runs will be compared with the projected future default performance of the performing assets in the collateral pool to determine whether the rating currently assigned to the class A-3 notes remains consistent with the amount of credit enhancement available to support the notes.
RATING PLACED ON CREDITWATCH NEGATIVE Rating Class To From Balance ($ mil.) A-3 CCC-/Watch Neg CCC- 20.0 RATINGS AFFIRMED Class Rating Balance ($ mil.) A-1L AAA 10.5 A-1 AAA 71.0 A-2 AAA 100.0
Copyright 2003, Standard & Poor's Ratings Services