Fitch Downgrades & Affirms Classes of PPM America High Yield CBO I.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch has taken the following ratings actions with immediate effect on PPM America High Yield CBO CBO See: Collateralized Bond Obligation. I, Ltd., (PPM High Yield CBO I): --$68,556,067 class A-1 notes downgraded to 'CC/DR3' from 'B/DR1'; --$22,000,000 class A-2 accreting notes affirmed af·firm v. af·firmed, af·firm·ing, af·firms v.tr. 1. To declare positively or firmly; maintain to be true. 2. To support or uphold the validity of; confirm. v.intr. at 'AAA'; --$55,700,000 class A-3 notes remain at 'C' and the DR rating revised to 'DR5' from 'DR4'; --$73,100,000 class B notes remain at 'C/DR5'. PPM High Yield CBO I is a collateralized bond obligation Collateralized Bond Obligation (CBO) Investment-grade bonds backed by a collection of junk bonds with different levels of risk, called tiers, that are determined by the quality of junk bond involved. (CBO) that closed March 2, 1999 and is managed by PPM America, Inc. PPM High Yield CBO I has a portfolio composed of 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. In addition, Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven breakeven 1. The level of output or sales necessary to cover fixed expenses. Companies in industries that have high fixed costs and, consequently, high breakevens, such as automobile and steel manufacturing, are likely to exhibit large fluctuations default rates going forward relative to the minimum cumulative default rates required for the rated liabilities. The class A-1 notes are downgraded because the notes are now undercollateralized as a result of principal proceeds being diverted di·vert v. di·vert·ed, di·vert·ing, di·verts v.tr. 1. To turn aside from a course or direction: Traffic was diverted around the scene of the accident. 2. to pay current interest for the class A-3 and B notes. On the June 1, 2007 payment date, approximately $3.4 million of principal proceeds were used to pay current interest on the class A-3 and B notes. Continued diversion of principal to pay interest to the class A-3 and B notes will result in further undercollateralization as time passes. The $68,556,067 of outstanding class A-1 notes is now supported by approximately $65 million par amount of collateral and principal proceeds held as cash. In addition, there exists a swap reserve account which currently contains $6.7 million. There are two possible scenarios that could benefit the class A-1 noteholders. First, if the interest default test is triggered, interest payments to the class A-3 and B notes would be used to redeem redeem v. to buy back, as when an owner who had mortgaged his/her real property pays off the debt. The term also refers to paying the amount due and all charges after a foreclosure (due to failure to make payments when due) has begun. the class A-1 notes. The test can be triggered by either the cumulative default level reaching 54% or the current default percentage reaching 8% in any given payment period. The second scenario is the possibility of an interest shortfall to the class A-1 notes, which would trigger an event of default allowing for a possible acceleration of the life of the transaction. However, either scenario would only improve the recovery expectations of the class A-1 notes. The DR rating on the A-3 notes is lowered due to decreased recovery expectations. The class A-3 and B noteholders will receive interest payments as long as sufficient principal proceeds are available; however both classes are now significantly undercollateralized. The class A-2 accreting notes were defeased with a U.S. treasury U.S. Treasury Created in 1798, the United States Department of the Treasury is the government (Cabinet) department responsible for issuing all Treasury bonds, notes and bills. Some of the government branches operating under the U.S. Treasury umbrella include the IRS, U.S. instrument maturing on May 15, 2011. The 'AAA' rating on the class A-2 notes reflects the treasury strip rating collateralizing the notes. 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. 18, 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's web site at www.derivativefitch.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. 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 Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. Fitch means Fitch, Inc., Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. , Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto there·to adv. 1. To that, this, or it. 2. Archaic In addition to that; furthermore. thereto Adverb Formal 1. to that or it 2. . |
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