Fitch Upgrades One Class of Anthracite CDO I Ltd./Corp.

NEW YORK--()--Fitch Ratings has upgraded one class issued by Anthracite CDO I Ltd./Corp. (Anthracite CDO I). A complete list of rating actions is provided at the end of this press release.

KEY RATING DRIVERS

The rating actions are a result of continued positive credit migration and de-leveraging of the capital structure. Since Fitch's last rating action in December 2013, approximately 42.9% of the underlying collateral has been upgraded and 3.2% has been downgraded. Currently, 51.1% of the portfolio has a Fitch derived rating below investment grade and 31.7% has a rating in the 'CCC' category and below, compared to 40.8% and 38%, respectively, at the time of the last rating action. Over this period, the transaction has received $32.6 million in paydowns. This resulted in the full payment of the class D, D-FL, E and E-FL notes and $7.7 million in pay down to the class F notes.

This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the look-through analysis of the underlying portfolio. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Additionally, a deterministic analysis was performed where the recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. Based on this analysis, the class F notes have been upgraded given that its balance is covered with equal or better than rated underlying collateral.

RATING SENSITIVITIES

The Stable Outlook on the class F notes reflects Fitch's view that the transaction will continue to delever.

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 2001 vintages.

Fitch has upgraded the following class as indicated below:

--$36,144,088 class F to 'BBBsf' from 'BBsf'; Outlook Stable.

Classes A-FL, B, B-FL, C, C-FL, D, D-FL, E and E-FL have been paid in full.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Rating Criteria for Structured Finance CDOs' (July 16, 2014);

--'Global Structured Finance Rating Criteria' (Aug. 4, 2014).

Applicable Criteria and Related Research:

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=923055

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Sean Gibbs, +1 212-908-0311
Analyst
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1 212-908-0785
Managing Director
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Surveillance Analyst
Sean Gibbs, +1 212-908-0311
Analyst
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1 212-908-0785
Managing Director
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com