NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed two classes issued by Crest 2003-1 Ltd./Corp. (Crest 2003-1). A complete list of rating actions follows at the end of this release.
KEY RATING DRIVERS
The affirmations are a reflection of the risk of loss to the remaining notes. Since the last rating action, approximately 26.05% of the collateral has been downgraded and 18.56% has been upgraded. Currently, 85.39% of the portfolio has a Fitch derived rating below investment grade and 73.94% has a rating in the 'CCC' category and below, compared to 85.69% and 62.34%, respectively, at the last rating action. Over this period, the transaction has continued to delever, 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' 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. For the class D notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given that the notes are undercollateralized, the notes have been affirmed at 'Csf', indicating that default is inevitable.
RATING SENSITIVITIES
There will be some recovery to the remaining class D notes given that 22.8% of the remaining collateral is in a senior position in the respective underlying transactions; however, the notes are currently under-collateralized and are expected to default.
Crest 2003-1 is a static cash flow collateralized debt obligation (CDO), which closed March 13, 2003. The collateral is composed of 100% commercial mortgage backed securities (CMBS). The transaction is collateralized by 20 assets from 13 obligors.
Fitch has taken the following actions:
Crest 2003-1 Ltd./Corp.
--$11,011,655 class D-1 notes affirmed at 'Csf';
--$66,388,160 class D-2 notes affirmed at 'Csf'.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);
--'Global Rating Criteria for Structured Finance CDOs' (July 16, 2014).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Global Rating Criteria for Structured Finance CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=957475
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