NEW YORK--()--Fitch Ratings has affirmed nine classes issued by Anthracite CDO I Ltd./Corp. (Anthracite CDO I). Fitch has also revised the Rating Outlook on two classes to Stable from Negative. The rating actions are a result of de-leveraging of the capital structure offsetting the negative credit migration of the underlying collateral. A complete list of rating actions follows at the end of this press release.
Since Fitch's last rating action in January 2012, approximately 4.4% of the underlying collateral has been downgraded. Currently, 49.3% of the portfolio has a Fitch derived rating below investment grade. Additionally, 32.7% has a rating in the 'CCC' category and below. This compared compares to 39.9% and 25.7%, respectively, at the time of the last rating action. Over this period, the transaction has received $119.9 million. This resulted in the full payment of the class A notes and $26 million in pay downs to the class B notes.
Fitch analyzed this transaction under the framework described in the its Oct. 3 report, 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the class B through F notes' breakeven rates are generally consistent with the ratings assigned below.
The Stable Outlook on the class B through D notes reflects Fitch's view that the transaction will continue to delever. The Negative Outlook on the class E and F notes reflects the risk of adverse selection as the portfolio continues to amortize.
Anthracite CDO I is a static cash flow commercial real estate collateralized debt obligation (CRE CDO) that closed on May 29, 2002. The collateral is composed of 100% of commercial mortgage mortgage-backed securities (CMBS) from the 1998 through 2003 vintages.
Fitch has taken the affirmed the following classes and revised the Rating Outlooks following actions as indicated below:
--$9,693,522 class B affirmed at 'AAAsf'; Outlook Stable;
--$10,765,537 class B-FL affirmed at 'AAAsf'; Outlook Stable;
--$29,331,000 class C affirmed at 'Asf'; Outlook Stable;
--$30,000,000 class C-FL affirmed at 'Asf'; Outlook Stable;
--$16,000,000 class D affirmed at 'BBBsf'; Outlook to Stable from Negative;
--$14,955,000 class D-FL affirmed at 'BBBsf'; Outlook to Stable from Negative;
--$20,506,000 class E affirmed at 'BBsf'; Outlook Negative;
--$4,000,000 class E-FL affirmed at 'BBsf'; Outlook Negative;
--$46,543,976 class F affirmed at 'Bsf'; Outlook Negative.
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.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012);
--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012).