Fitch Affirms Crest 2002-1, LTD./Corp

Fitch Ratings has affirmed three classes issued by Crest 2002-1, LTD./Corp (Crest 2002-1). A complete list of rating actions follows at the end of this release.

KEY RATING DRIVERS

For the class B and C notes Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Currently, 60.4% of the portfolio has a Fitch derived rating below investment grade with 35.3% of the portfolio having a rating in the 'CCC' category and below, compared to 68.7% and 41.8%, respectively, at the last rating action. Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class B notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class C notes have been affirmed at 'Csf', indicating that default is inevitable. With 39.6% of the remaining collateral rated investment grade, Fitch expects moderate recoveries on the class B notes.

This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. The transaction was not analyzed within a cash flow model framework, as the impact of structural features and excess spread, or conversely, principal proceeds being used to pay collateralized debt obligation (CDO) liabilities, was determined to be minimal in the context of the CDO's rating.

RATING SENSITIVITIES

Further deterioration of the underlying assets could lead to a downgrade to the class B notes. Crest 2002-1 is a static collateralized debt obligation (CDO) that closed on March 27, 2002. The current portfolio consists of 16 bonds from 12 obligors, of which 77.6% are commercial mortgage backed securities (CMBS) and 22.4% are real estate investment trust (REIT) debt securities from the 1995 through 2002 vintages.

Fitch has affirmed the following classes as indicated:

--$35,572,490 class B-1 notes at 'CCsf';

--$20,594,599 class B-2 notes at 'CCsf';

--$38,839,582 class C notes at 'Csf'.

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=814138

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