Fitch Affirms Anthracite 2005-HY2 Ltd./Corp

NEW YORK--()--Fitch Ratings has affirmed nine classes issued of Anthracite 2005-HY2 Ltd./Corp (Anthracite 2005-HY2). A complete list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The affirmations are due to relatively stable performance of the remaining collateral. Since the last rating action in July 2013, approximately 5.2% of the collateral has been downgraded. Currently, 86.5% of the portfolio has a Fitch-derived rating below investment grade with 71.6% having a rating in the 'CCC' category and below, compared to 86.5% and 67.4%, respectively, at the last rating action. Over this period, the class A notes have received $22.2 million in paydowns.

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 rating assigned below.

For the class B through G notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class B notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class C through G notes have been affirmed at 'Csf', indicating that default is inevitable.

RATING SENSITIVITY

Further deterioration of the collateral could lead to downgrades to the class A and B notes. Anthracite 2005-HY2 is backed by 42 tranches from 17 obligors. The transaction closed in July 2005 and is considered a commercial mortgage backed securities (CMBS) B-piece resecuritization (also referred to as a first loss commercial real estate collateralized debt obligation [CRE CDO]) as it primarily includes junior bonds of CMBS transactions. The portfolio is composed of 71% CMBS, 15.3% real estate investment trust (REIT), and 13.7% commercial real estate loans (CREL) assets.

Fitch has affirmed the following:

--$66,757,747 class A at 'CCCsf';

--$52,593,000 class B at 'CCsf';

--$25,360,000 class C-FL at 'Csf';

--$7,000,000 class C-FX at 'Csf';

--$25,275,000 class D-FL at 'Csf';

--$13,500,000 class D-FX at 'Csf';

--$9,376,000 class E at 'Csf';

--$58,000,000 class F at 'Csf';

--$64,366,520 class G at 'Csf'.

Additional information is available at 'www.fitchratings.com'.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'Global Rating Criteria for Structured Finance CDOs' (Sept. 12, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718027

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=824347

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Matthew McGowan, +1 212-908-0733
Associate Director
Fitch Ratings, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1 212-908-0785
Managing Director
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Sharing

Contacts

Fitch Ratings
Primary Surveillance Analyst
Matthew McGowan, +1 212-908-0733
Associate Director
Fitch Ratings, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1 212-908-0785
Managing Director
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com