Reuters: Financial Services and Real Estate: TEXT-Fitch affirms Anthracite 2004-HY1

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TEXT-Fitch affirms Anthracite 2004-HY1 May 31st 2012, 18:04 Tweet Share this Email Print Related Topics Bonds News » Bonds » Markets » Financials » Thu May 31, 2012 2:04pm EDT May 31 - Fitch Ratings has affirmed six classes issued by Anthracite 2004-HY1 Ltd./Corp (Anthracite 2004-HY1). A complete list of rating actions follows at the end of this press release. Since Fitch's last rating action in June 2011, approximately 6.3% of the collateral has been downgraded. Currently, 100% of the portfolio has a Fitch derived rating below investment grade and 87.2% has a rating in the 'CCC' category and below. As of the March 31, 2012 trustee report, approximately 77.4% of the underlying collateral is experiencing interest shortfalls. Since Fitch's last rating action, the portfolio has realized losses of approximately $56.2 million. 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 Rating Loss Rates (RLR) were then compared to the credit enhancement of the classes. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities.Global Rating Criteria for Structured Finance CDOs Tweet this Link this Share this Digg this Email Reprints We welcome comments that advance the story through relevant opinion, anecdotes, links and data. If you see a comment that you believe is irrelevant or inappropriate, you can flag it to our editors by using the report abuse links. Views expressed in the comments do not represent those of Reuters. For more information on our comment policy, see http://blogs.reuters.com/fulldisclosure/2010/09/27/toward-a-more-thoughtful-conversation-on-stories/ Comments (0) Be the first to comment on reuters.com. Add yours using the box above.

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