Anchorage Capital is prepping a $412 million collateralized loan obligation (CLO), according to a presale report published today by Fitch Ratings.

 J.P. Morgan Securities is the underwriter.

Fitch has assigned a preliminary ‘AAA’ rating to a $236.0 million class of notes that is being marketed at an interest rate of three-month Libor plus 119 basis points; Fitch did not rate the remainder of the deal.

The ratings agency cited as a risk the fact that the underlying portfolio of loans backing Anchorage Capital CLO 2013-1 is less diverse than recently issued CLOs. The portfolio consists of 103 assets from 101 obligors, 50 of which are as-yet unidentified. The average number of obligors for Fitch-rated CLOs in the past six months has been 135.

Anchorage CLO 2013-1 will have a four-year reinvestment period and a two-year non-call period, according to the presale report.

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