S&P Puts Van Kampen CLO II Ltd Senior Notes Ratings on WatchNeg

Apr 11, 2001, 01:00 ET from Standard & Poor's

    NEW YORK, April 11 /PRNewswire/ -- Standard & Poor's today placed its
 ratings on the senior notes (current balance $398.430 million) issued by Van
 Kampen CLO II Ltd. and co-issued by Van Kampen CLO II Corp. on CreditWatch
 with negative implications (see list).
     The CreditWatch placement reflects higher than expected levels of assets
 defaulting within the collateral pool in recent months. Standard & Poor's
 noted that as of the March 20, 2001 monthly report, $76.945 million, or more
 than 16%, of the securities currently held within the collateral pool were in
 default, and that approximately $29.53 million of these defaults had occurred
 since December 2000.
     As a result of the defaults, the transaction's overcollateralization
 ratios have suffered over the period. As of the March report's issuance, the
 senior par value test was failing, with a ratio of 109.57% versus its minimum
 required level of 115%. Also, the Second Priority par value test, an
 overcollateralization test for a subordinate tranche not rated by Standard &
 Poor's, remained out of compliance with a ratio of 95.36% versus its minimum
 required level of 102%.
     Due to overcollateralization test failures on its Jan. 8, 2001
 determination date, Van Kampen CLO II redeemed $40.741 million of its senior
 notes on its Jan. 15, 2001 payment date. However, the benefit of this paydown
 to the senior notes has been partially offset by defaults occurring after the
 payment date.
     The Standard & Poor's trading model test, which is used by transactions to
 monitor the ability of their current collateral pool to support each Standard
 & Poor's rated tranche, has also been out of compliance for the last two
 monthly reports. As of the Feb. 20, 2001 monthly report, the scenario loss
 rate produced by the model was 47.069% versus a breakeven gross loss rate of
 39.6%. In the March report, the results of the trading model test improved,
 but remained out of compliance, with a scenario loss rate of 45.617% versus a
 breakeven gross loss rate of 40.02%. In order for the test to remain in
 compliance, the scenario loss rate must remain below the breakeven gross loss
 rate produced by the trading model.
     Standard & Poor's will be reviewing the results of current cash flow runs
 generated for the transaction in order to evaluate the impact of the defaults
 within the collateral pool on the double-'A' rating currently assigned to the
 senior notes. -- CreditWire
 
      OUTSTANDING RATINGS PLACED ON CREDITWATCH NEGATIVE
 
      Van Kampen CLO II
      Class         Rating
                 To             From
      Senior     AA/Watch Neg   AA
 
 

SOURCE Standard & Poor's
    NEW YORK, April 11 /PRNewswire/ -- Standard & Poor's today placed its
 ratings on the senior notes (current balance $398.430 million) issued by Van
 Kampen CLO II Ltd. and co-issued by Van Kampen CLO II Corp. on CreditWatch
 with negative implications (see list).
     The CreditWatch placement reflects higher than expected levels of assets
 defaulting within the collateral pool in recent months. Standard & Poor's
 noted that as of the March 20, 2001 monthly report, $76.945 million, or more
 than 16%, of the securities currently held within the collateral pool were in
 default, and that approximately $29.53 million of these defaults had occurred
 since December 2000.
     As a result of the defaults, the transaction's overcollateralization
 ratios have suffered over the period. As of the March report's issuance, the
 senior par value test was failing, with a ratio of 109.57% versus its minimum
 required level of 115%. Also, the Second Priority par value test, an
 overcollateralization test for a subordinate tranche not rated by Standard &
 Poor's, remained out of compliance with a ratio of 95.36% versus its minimum
 required level of 102%.
     Due to overcollateralization test failures on its Jan. 8, 2001
 determination date, Van Kampen CLO II redeemed $40.741 million of its senior
 notes on its Jan. 15, 2001 payment date. However, the benefit of this paydown
 to the senior notes has been partially offset by defaults occurring after the
 payment date.
     The Standard & Poor's trading model test, which is used by transactions to
 monitor the ability of their current collateral pool to support each Standard
 & Poor's rated tranche, has also been out of compliance for the last two
 monthly reports. As of the Feb. 20, 2001 monthly report, the scenario loss
 rate produced by the model was 47.069% versus a breakeven gross loss rate of
 39.6%. In the March report, the results of the trading model test improved,
 but remained out of compliance, with a scenario loss rate of 45.617% versus a
 breakeven gross loss rate of 40.02%. In order for the test to remain in
 compliance, the scenario loss rate must remain below the breakeven gross loss
 rate produced by the trading model.
     Standard & Poor's will be reviewing the results of current cash flow runs
 generated for the transaction in order to evaluate the impact of the defaults
 within the collateral pool on the double-'A' rating currently assigned to the
 senior notes. -- CreditWire
 
      OUTSTANDING RATINGS PLACED ON CREDITWATCH NEGATIVE
 
      Van Kampen CLO II
      Class         Rating
                 To             From
      Senior     AA/Watch Neg   AA
 
 SOURCE  Standard & Poor's