KEY RATING DRIVERS
Since Fitch's last rating action in
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 degree of correlated default risk of the reference collateral is high given the single sector and vintage concentration. Based on this analysis and given the credit enhancement available to classes A and B, the credit characteristics of the bonds are consistent with a 'Csf' rating.
Halcyon 2005-1 is a static synthetic collateralized debt obligation (CDO) and closed on
Further deterioration of the underlying collateral could lead to further rating actions on the distressed notes.
Additional information is available at 'www.fitchratings.com'.
--'Global Structured Finance Rating Criteria' (
--'Global Rating Criteria for Structured Finance CDOs' (
Global Rating Criteria for Structured Finance CDOs
Global Structured Finance Rating Criteria
Primary Surveillance Analyst
Source: Fitch Ratings
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