Fitch Affirms Pilgrim America CBO I, Ltd.

NEW YORK -- Fitch affirms notes issued by Pilgrim America CBO I, Ltd., (Pilgrim America CBO). The affirmation is the result of Fitch's review process and is effective immediately.

--$11,260,002 class A notes affirmed at 'AA';

--$41,000,000 class B notes remain at 'C/DR5'.

Pilgrim America CBO is a collateralized debt obligation (CDO) that closed July 1, 1998 and is managed by Prudential Investment Management, Inc., which replaced ING Pilgrim Investments, Inc. (formerly Pilgrim America Investments, Inc.) as collateral manager in July 2001. The liabilities of Pilgrim America CBO are supported by a portfolio composed of U.S. high yield corporate bonds. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward.

The affirmation is the result of relatively stable levels of credit enhancement supporting the class A notes. Since the last rating action in September 2005, Pilgrim America CBO has continued to redeem significant amounts of its capital structure, reducing its class A liabilities by roughly 40% and leaving approximately 5.4% of the original $207 million balance outstanding. As a result, the class A overcollateralization (OC) test has increased to 206.1% from 145.7% in the last review, as of the trustee report dated Nov. 20, 2006. Despite the improvement of the class A OC test, the portfolio has increasingly become concentrated, with less than ten positions remaining in the portfolio. In addition, some assets have experienced negative credit migration, with decreased recovery assumptions from the prior review.

As of the Sept. 20, 2006 payment date, the class B noteholders received nearly $670,000 in interest distributions, but the deferred interest balance has increased to $10.7 million from $8.9 million on the Sept. 2005 payment date. The class B notes are expected to continue receiving residual interest payments until the maturity of the transaction.

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 stated balance of principal by the legal final maturity date. The rating of the class B notes addresses the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Derivative Fitch web site at www.derivativefitch.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 4, 2006 and also available on Fitch's web site at www.derivativefitch.com.

Fitch's Distressed Recovery (DR) ratings, introduced in April 2006 across all sectors of structured finance, are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is available on the Fitch Ratings web site at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.derivativefitch.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site. Fitch means Fitch, Inc., Fitch Ratings, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto.