Fitch Ratings has downgraded the MINCS-PILGRIM 1 synthetic collateralized loan obligation in response to pressure on the loans within the deal's underlying reference portfolio. Jim Barry, analyst at Fitch, said the rating downgrade reflects defaults totaling over $41 million.
The CLO was structured by J.P. Morgan and managed by Pilgrim Investments to provide credit protection on a $388 million portfolio of non-investment grade bank loans. "Market values have gone down and there has been price deterioration with excess defaults and relatively low recoveries," said Barry, regarding the current credit environment and how it has impacted this deal. Officials at Pilgrim Investments did not return calls by press time.