Fitch Upgrades 1 and Affirms 1 Class of Crest Clarendon Street 2002-1, Ltd./Corp.

NEW YORK--()--Fitch Ratings has upgraded one and affirmed one class issued by Crest Clarendon Street 2002-1, Ltd./Corp. (Crest Clarendon Street 2002-1). A complete list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The upgrade is a result of deleveraging of the transaction due to collateral paydowns. Since the last rating action in January 2013, approximately 28.4% of the collateral has been downgraded and 14.4% has been upgraded. Currently, 71.8% of the portfolio has a Fitch derived rating below investment grade and 65.7% has a rating in the 'CCC' category and below, compared to 47% and 40.4%, respectively, at the last rating action. Over this period, the transaction has received $23.9 million in paydowns which has resulted in the full repayment of the class B notes and $9.9 million in paydowns to the class C notes.

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. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Additionally, a deterministic analysis was performed where the recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. While the class C notes ratings pass above the below assigned rating within the PCM, the rating below reflects the passing rating in the deterministic scenario as well as consideration for increasing concentration and the potential for interest shortfalls as the portfolio continues to amortize.

For the class D notes, Fitch analyzed each 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 D notes have been affirmed at 'CCsf', indicating that default is probable.

RATING SENSITIVITIES

The Stable Outlook on the class C notes reflects Fitch's view that the notes will continue to delever. Further losses may cause downgrades to the class D notes.

Crest Clarendon Street 2002-1 is a cash flow commercial real estate collateralize debt obligations (CRE CDO) issued in September 2002. The current portfolio consists of six bonds from six obligors, all of which are commercial mortgage backed securities (CMBS) from the 1998 through 2002 vintages.

Fitch has taken the following actions:

--$5,114,680 class C notes upgraded to 'BBsf' from 'Bsf'; Outlook to Stable from Negative;

--$11,124,167 class D notes affirmed at 'CCsf'.

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

Applicable Criteria and Related Research:

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

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

Applicable Criteria and Related Research:

Global Rating Criteria for Structured Finance CDOs

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

Global Structured Finance Rating Criteria

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=818156

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Matthew McGowan, +1-212-908-0733
Analyst
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
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Matthew McGowan, +1-212-908-0733
Analyst
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
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com