NEW YORK--(BUSINESS WIRE)--Fitch Ratings has upgraded one class issued by Crest Dartmouth Street 2003-1, Ltd./Corp. (Crest Dartmouth Street 2003-1). A complete list of rating actions follows at the end of this release.
KEY RATING DRIVERS:
The upgrade reflects significant delevering of the capital structure. Since the last rating action in April 2013, the transaction has received $14.6 million in paydowns, which has resulted in the full repayment of the class C notes and $5.8 million in paydowns to the class D notes. Currently, 37.8% of the portfolio has a Fitch derived rating in the 'CCC' category and below with the remaining balance of the collateral investment grade, compared to 32% in the 'CCC' category and below, at the last rating action.
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. The upgrade was limited to 'BBsf' due to the increased risk for interest shortfall on the notes as a result of increased concentration and adverse selection.
RATING SENSITIVITY
The Stable Outlook reflects Fitch's view that the notes will continue to delever. Crest Dartmouth Street 2003-1 is a cash flow commercial real estate collateralized debt obligation (CRE CDO) which closed on April 10, 2003. The collateral is composed of five commercial mortgage backed securities (CMBS) from five obligors.
Fitch has upgraded the following class as indicated:
--$7,151,549 class D notes to 'BBsf' from 'CCCsf'; assigned Outlook Stable.
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=821815
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