Four classes of notes issued by Battery Park CDO Limited were downgraded today by Moody’s Investors Service. Moody’s stated that the transaction, which closed in December 1999, is currently failing the Average Portfolio Rating Test, the Senior Par ValueTest, the Class IV Mezzanine Par Value Test and the Class V Mezzanine Par Value Test. Tranches affected are:
$15.0M Class II-A Senior Secured Floating Rate Notes, downgraded to Baa3 from Baa1;
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Classes A1 through A3, which is composed of seven tranches, are expected to pay coupons of 6.39%.
A stop advance applies to first-lien loans that are delinquent by 180 days or more, while a stop advance requirement applies to second-lien loans that are delinquent by 60 days or more.
Almost all five A1 tranches benefit from credit enhancement levels of 26.10%. The A1A tranche, however, has a credit enhancement level of 36.10%.
Notes are expected to pay coupons of 5.69% on the A1A notes and 5.89% on the A1B notes. Beyond that, the A2 and A3 notes pay coupons of 5.92% and 5.97%, respectively.
A mix of underwriting methods were used on the asset pool, but alternative documentation took a larger portion than the rest, accounting for 35.5%.
