November 9, 2012 / 9:51 PM / 5 years ago

TEXT-Fitch cuts 4 classes of Anthracite 2005-HY2

Nov 9 - Fitch Ratings has downgraded four and affirmed five classes of
Anthracite 2005-HY2 Ltd./Corp (Anthracite 2005-HY2) as a result of continued
negative credit migration and increased principal losses on the underlying
collateral. A complete list of rating actions follows at the end of this

Since Fitch's last rating action in November 2011, approximately 19.8% of the 
collateral has been downgraded and 6.4% has been upgraded. Currently, 85.9% of 
the portfolio has a Fitch derived rating below investment grade and 60.1% has a 
rating in the 'CCC' category and below, compared to 85% and 62.7%, respectively,
at the last rating action. Over this period, the class A notes have received $5 
million in pay downs and the collateral has experienced approximately $31 
million in principal losses. 

This transaction was analyzed under the framework described in the 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 A notes' breakeven rates are 
generally consistent with the ratings assigned below.Global Rating Criteria for Structured Finance CDOsGlobal Criteria for Cash Flow Analysis in CDOs

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