Fitch Upgrades 2 and Affirms 1 Class of Pilgrim CLO 1999-1
CHICAGO — Fitch upgrades the rating of two classes of notes and affirms the rating of one class of notes issued by Pilgrim CLO 1999-1 Ltd./Corp. (Pilgrim CLO 1999-1), which closed Nov. 30, 1999. The following rating actions are effective immediately:
— $176,235,619 class A notes upgraded to ‘AAA’ from ‘AA+’;
— $60,000,000 class B notes upgraded to ‘BBB+’ from ‘BBB-‘;
— $10,000,000 class C notes affirmed at ‘BB-‘.
Pilgrim CLO 1999-1 is a collateralized loan obligation (CLO) managed by ING Investments Management Co. The collateral of Pilgrim CLO 1999-1 is composed almost entirely of senior secured bank loans. Payments are made quarterly and the reinvestment period ends in November 2004. The deal is currently amortizing the class A notes, which improves the credit enhancement of the transaction. In addition, the credit quality of the portfolio has improved since the last review.
According to the Dec. 2, 2004 trustee report, the portfolio includes $3.45 million (1.46%) defaulted assets. The class A overcollateralization (OC) test is currently passing at 145.82%, with a trigger of 115%. The class B OC test is currently passing at 108.49%, with a trigger of 104.5%. The class C OC test is currently passing at 104%, with a trigger of 102.5%.
The rating of the class A notes addresses the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The rating of the class B and C notes addresses the ultimate payment of interest and initial principal amount by the legal final maturity date.
Fitch will continue to monitor Pilgrim CLO 1999-1 closely to ensure accurate ratings. Deal information and historical data on Pilgrim CLO 1999-1 is available on the Fitch Ratings web site at ‘www.fitchratings.com’.
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