Fitch Upgrades Crest 2002-IG Ltd./Corp.

NEW YORK--()--Fitch Ratings has upgraded one class issued by Crest 2002-IG Ltd./Corp. (Crest 2002-IG) as follows:

--$8,059,173 class D notes to 'Bsf' from 'CCsf'; Outlook Stable assigned.

KEY RATING DRIVERS

The upgrade to the class D notes reflects the significant delevering of the capital structure. Since the last rating action in April 2013, the transaction has received $51.3 million in paydowns which has resulted in the full repayment of the class B and C notes and $6.5 million in paydowns to the class D notes. Over this period, approximately 8.8% of the remaining collateral has been downgraded and 15.9% has been upgraded.

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, an asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities.

Crest 2002-IG is a cash flow commercial real estate collateralized debt obligation (CRE CDO) which closed on May 16, 2002. The current collateral is composed of five assets from five obligors all of which are commercial mortgage backed securities (CMBS). The Fitch derived rating for the remaining collateral consists of 34.2% at 'AAA', 15.9% at 'BB-', and 49.9% at 'CCC'.

RATING SENSITIVITY

The Stable Outlook reflects Fitch's view that the notes will continue to delever. The upgrade was limited to 'Bsf' due to the increased risk for an interest shortfall on the notes as a result of increased concentration and adverse selection.

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=824348

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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

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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