Fitch Ratings Upgrades Anthracite CDO III, Ltd.
--$207,057,606 class A floating-rate senior notes affirmed at 'AAA';
--$14,384,000 class B-FX fixed-rate subordinate notes upgraded to 'AAA' from 'AA';
--$27,000,000 class B-FL floating-rate subordinate notes upgraded to 'AAA' from 'AA';
--$2,500,000 class C-FX fixed-rate subordinate notes upgraded to 'AAA' from 'A+';
--$24,727,000 class C-FL floating-rate subordinate notes upgraded to 'AAA' from 'A+';
--$10,000,000 class D-FX fixed-rate subordinate notes upgraded to 'AA' from 'A-';
--$13,959,000 class D-FL floating-rate subordinate notes upgraded to 'AA' from 'A-';
--$26,427,000 class E-FX fixed-rate subordinate notes upgraded to 'BBB+' from 'BBB';
--$10,600,000 class E-FL floating-rate subordinate notes upgraded to 'BBB+' from 'BBB';
--$22,871,000 class F fixed-rate subordinate notes affirmed at 'BBB';
--$7,623,000 class G floating-rate subordinate notes affirmed at 'BBB-';
--$13,069,000 class H fixed-rate junior notes affirmed at 'BB'.
Classes B-FL, B-FX, C-FL, C-FX, D-FL and D-FX are removed from Rating Watch Positive.
Anthracite III is a collateralized debt obligation (CDO), which closed March 30, 2004. Anthracite III is supported by a static pool of commercial mortgage-backed securities (CMBS, 83.3%), senior unsecured real estate investment trust (REIT, 12.1%) securities, CDOs (1%) and credit tenant leases (CTL, 3.6%). BlackRock Financial Management (rated 'CAM1' for CDO Asset Management by Fitch) selected the initial collateral.
The upgrades are driven primarily by the improved credit quality of the portfolio and the seasoning of the collateral since issuance. Since issuance, 30.7% of the portfolio has been upgraded an average of 3.42 notches and 4.97% has been downgraded an average of 2.28 notches. Anthracite III has also benefited from collateral seasoning. The CMBS portion of the portfolio has shown increasing levels of credit enhancement on an asset-level basis as well as a low delinquency level of 0.692% of the underlying collateral balance for those reporting as of May 2006. All overcollateralization and interest coverage ratios have remained stable since inception. There are currently no defaulted assets in the portfolio.
The ratings on the class A, B-FX, B-FL, C-FX and C-FL notes address the likelihood that investors will receive timely payment of interest and ultimate payment of principal by the stated maturity date. The ratings on the class D-FX, D-FL, E-FX, E-FL, F, G and H notes address the ultimate payment of interest and ultimate payment of principal.
Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at www.fitchratings.com. For more information on the Fitch VECTOR model, see 'Global Rating Criteria for Collateralised Debt Obligations' dated Sept. 13, 2004, also available at www.fitchratings.com.
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|Date:||Jul 6, 2006|
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