Fitch Ratings has upgraded two classes issued by Anthracite CDO II Ltd./Corp. (Anthracite CDO II). A complete list of rating actions follows at the end of this release.
KEY RATING DRIVERS
The upgrades are a result of significant amortization of the capital structure. Since the last rating action in January 2014, the transaction has received $29.4 million in pay downs, which has resulted in the full repayment of the class D and E notes and $2.6 million in paydowns to the class F note. Over this same period, approximately 24.41% of the collateral has been upgraded. Currently, 69.1% of the portfolio has a Fitch Derived Rating below investment grade and 51.7% has a rating in the 'CCC' category and below, compared to 66.27% and 55.7%, respectively, at the last rating action.
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 and G notes have been upgraded given that their balances are covered with equal or better than rated underlying collateral.
RATING SENSITIVITIES
The Stable Outlook on the class F reflects Fitch's view that the transaction will continue to delever.
Anthracite CDO II is a commercial real estate collateralized debt obligation (CRE CDO) that closed on Dec. 10, 2002. The collateral is composed of 10 assets from 10 obligors of which 87.72% are commercial mortgage backed securities (CMBS) and 12.28% is a commercial real estate loan.
Fitch has taken the following actions:
--$11,812,344 class F notes upgraded to 'BBsf' from 'CCsf'; Outlook Stable Assigned;
--$13,676,237 class G notes upgraded to 'CCCsf' from 'CCsf'.
Fitch does not rate the Preferred Shares class.
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=963755
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