Fitch Ratings has 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
Since the last rating action in January 2014, approximately 26.8% of the collateral has been downgraded. None of the collateral has been upgraded. Currently, 85.4% of the portfolio has a Fitch derived rating below investment grade and 82.1% has a rating in the 'CCC' category and below, compared to 71.8% and 65.7%, respectively, at the last rating action. Over this period, the transaction has received $7 million in paydowns which has resulted in the full repayment of the class C notes.
This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs'. The structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities was evaluated. Specifically, 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.
For the class D notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the increasing concentration (only four assets remain), 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
Losses above expectations may cause downgrades to the class D notes.
Crest Clarendon Street 2002-1 is a cash flow commercial real estate collateralized debt obligation (CRE CDO) issued in September 2002. The current portfolio consists of four bonds from four obligors, all of which are commercial mortgage backed securities (CMBS) from the 1998 through 2002 vintages.
Fitch affirms the following class:
--$9,243,650 class D notes at 'CCsf'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Rating Criteria for Structured Finance CDOs' (July 16, 2014);
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014).
Applicable Criteria and Related Research:
Global Rating Criteria for Structured Finance CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=971316
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