Fitch Ratings has affirmed one class of notes issued by PPM America High
Grade CBO I, Ltd./Corp. (PPM HG I) as follows:
--$13,368,447 class C notes at 'Csf', RE 45%.
The affirmation is indicative of insufficient collateral and principal
proceeds remaining to repay the rated balance of the notes at maturity.
Only one asset remains in the portfolio ($10 million par, rated 'BBB-'
by Fitch).
Fitch considered the credit quality of the remaining obligor and its
default probability through the asset's maturity date in August 2012.
Principal proceeds are expected to be applied under the terms of the
waterfall as a pro rata payment between the class C notes and the class
A-3 participating notes, which were not rated by Fitch. Fitch expects
class C to receive 60% of the remaining principal proceeds under this
pro rata payment. Default remains inevitable since this pro rata share
will be less than the class C note's rated balance of almost $13.4
million.
This review was conducted under the framework described in the reports
'Global Structured Finance Rating Criteria' and 'Global Rating Criteria
for Corporate CDOs'. Fitch did not utilize the Portfolio Credit Model
(PCM) or a cash flow model in this analysis due to the single obligor in
the portfolio and the short remaining term to the asset's maturity.
PPM HG I is a collateralized bond obligation (CBO) managed by PPM
America, Inc. that closed Dec. 19, 2000. The remaining portfolio is
composed of one investment grade corporate bond. Payments are made
semi-annually in January and July, and the reinvestment period ended in
January 2005.
Additional information is available at 'www.fitchratings.com'.
The ratings above were solicited by, or on behalf of, the issuer, and
therefore, Fitch has been compensated for the provision of the ratings.
The information used to assess these ratings was sourced from the
trustee reports and the public domain.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Global Rating Criteria for Corporate CDOs' (Aug. 10, 2011).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
Global Rating Criteria for Corporate CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=641789
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND
DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING
THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS.
IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE
AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.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.
