Fitch Upgrades One Class of Anthracite CDO I Ltd. / Corp.
OREANDA-NEWS. Fitch Ratings has upgraded one class of Anthracite CDO I Ltd./Corp. (Anthracite CDO I). A detailed list of rating actions follows at the end of this release.
KEY RATING DRIVERS
The upgrade reflects the increased credit enhancement since the last rating action.
Since Fitch's last rating action in November 2014, the transaction has paid down by $32.7 million. Total paydowns since issuance are $415.8 million.
The remaining portfolio is comprised of eight assets from six obligors. Three bonds (54.47% of the pool) were upgraded since Fitch's last rating action.
The underlying ratings of the collateral pool include 42.54% rated 'AAAsf', 0.09% rated 'AAsf', 23.85% rated 'BBBsf', 16.94 rated 'Bsf' and 16.58% with a Fitch derived rating of 'Dsf'. Approximately 5% of the 'Dsf' rated collateral is covered by defeasance within the underlying transaction.
This transaction was analyzed under the framework described in the report 'Global Surveillance Criteria for Structured Finance CDOs' using a look-through analysis of the underlying portfolio. Fitch analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. An asset by asset analysis was also performed for the remaining assets to determine the collateral coverage for the remaining liabilities. The class F note has been upgraded given that the balance is covered with equal or better rated underlying collateral.
RATING SENSITIVITIES
The Stable Outlook on the class F note reflects the credit quality of the underlying collateral and the view that the transaction will continue to delever.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has upgraded the following class:
--$3,411,578 class F to 'AAAsf' from 'BBBsf'; Outlook Stable.
Classes A-FL, B, B-FL, C, C-FL, D, D-FL, E and E-FL have been paid in full. Fitch does not rate preferred shares.
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