S&P Puts CHYPS CBO 1997-1 Ltd. Notes Ratings on WatchNeg

Apr 19, 2001, 01:00 ET from Standard & Poor's

    NEW YORK, April 19 /PRNewswire/ -- Standard & Poor's today placed its
 ratings on the class A-1 notes, class A-2A notes, class A-2B notes, and class
 A-3 notes issued by CHYPS CBO 1997-1 Ltd. and co-issued by CHYPS CBO 1997-1
 (Delaware) Corp on CreditWatch with negative implications (see list).
     The CreditWatch placement reflects higher-than-expected levels of assets
 defaulting and deterioration in the credit quality of the performing assets
 within the collateral pool in recent months. Standard & Poor's noted that
 $31.440 million (approximately 11.25%) of the assets currently held within the
 collateral pool come from obligors rated 'D' by Standard & Poor's. Another
 $17.450 million of assets within the collateral pool come from obligors rated
 double-'C' that are currently on CreditWatch negative.
     As a result of the defaulted assets, the overcollateralization ratios for
 the transaction have deteriorated. As of the April 2, 2001 monthly report, the
 transaction was failing its class A overcollateralization test, with a ratio
 of 111.17% versus a required minimum level of 117%. The transaction was also
 failing its class B overcollateralization ratio (an overcollateralization test
 for a subordinate tranche not rated by Standard & Poor's) with a calculated
 level of 94.37% versus its required minimum level of 104%.
     Standard & Poor's noted that CHYPS CBO 1997-1 Ltd. would face a technical
 event of default on its next calculation date (July 2, 2001) if either the
 class A or class B overcollateralization ratio failed to meet or exceed 90% of
 its minimum required value.
     Standard & Poor's will be reviewing the results of current cash flow runs
 generated for the transaction in order to evaluate the effect of the defaults
 and the deterioration in credit quality within the collateral pool on the
 ratings currently assigned to the notes, Standard & Poor's said. -- CreditWire
 
      RATINGS PLACED ON CREDITWATCH WITH NEGATIVE IMPLICATIONS
 
      CHYPS CBO 1997-1 Ltd./CHYPS CBO 1997-1 (Delaware) Corp.
                                          Ratings
      Class     Current Balance     To               From
      A-1       $23.852 million     AAA/Watch Neg    AAA
      A-2A      $143.693 million    AAA/Watch Neg    AAA
      A-2B      $20.807 million     AAAr/Watch Neg   AAAr
      A-3       $57.100 million     A-/Watch Neg     A-
 
 

SOURCE Standard & Poor's
    NEW YORK, April 19 /PRNewswire/ -- Standard & Poor's today placed its
 ratings on the class A-1 notes, class A-2A notes, class A-2B notes, and class
 A-3 notes issued by CHYPS CBO 1997-1 Ltd. and co-issued by CHYPS CBO 1997-1
 (Delaware) Corp on CreditWatch with negative implications (see list).
     The CreditWatch placement reflects higher-than-expected levels of assets
 defaulting and deterioration in the credit quality of the performing assets
 within the collateral pool in recent months. Standard & Poor's noted that
 $31.440 million (approximately 11.25%) of the assets currently held within the
 collateral pool come from obligors rated 'D' by Standard & Poor's. Another
 $17.450 million of assets within the collateral pool come from obligors rated
 double-'C' that are currently on CreditWatch negative.
     As a result of the defaulted assets, the overcollateralization ratios for
 the transaction have deteriorated. As of the April 2, 2001 monthly report, the
 transaction was failing its class A overcollateralization test, with a ratio
 of 111.17% versus a required minimum level of 117%. The transaction was also
 failing its class B overcollateralization ratio (an overcollateralization test
 for a subordinate tranche not rated by Standard & Poor's) with a calculated
 level of 94.37% versus its required minimum level of 104%.
     Standard & Poor's noted that CHYPS CBO 1997-1 Ltd. would face a technical
 event of default on its next calculation date (July 2, 2001) if either the
 class A or class B overcollateralization ratio failed to meet or exceed 90% of
 its minimum required value.
     Standard & Poor's will be reviewing the results of current cash flow runs
 generated for the transaction in order to evaluate the effect of the defaults
 and the deterioration in credit quality within the collateral pool on the
 ratings currently assigned to the notes, Standard & Poor's said. -- CreditWire
 
      RATINGS PLACED ON CREDITWATCH WITH NEGATIVE IMPLICATIONS
 
      CHYPS CBO 1997-1 Ltd./CHYPS CBO 1997-1 (Delaware) Corp.
                                          Ratings
      Class     Current Balance     To               From
      A-1       $23.852 million     AAA/Watch Neg    AAA
      A-2A      $143.693 million    AAA/Watch Neg    AAA
      A-2B      $20.807 million     AAAr/Watch Neg   AAAr
      A-3       $57.100 million     A-/Watch Neg     A-
 
 SOURCE  Standard & Poor's