October 3, 2012 / 8:07 PM / 5 years ago

TEXT-Fitch affirms Crest Exeter Street 2004-1

Oct 3 - Fitch Ratings has affirmed 10 classes issued by Crest Exeter Street
Solar 2004-1, Ltd./Corp (Crest Exeter 2004-1) as a result of increased credit
enhancement to the notes due to repayment on the underlying collateral. A
complete list of rating actions follows at the end of this release.

Since Fitch's last rating action in October 2011, approximately 15.1% of the
underlying collateral has been downgraded and 5.4% upgraded. Currently, 57% of
the portfolio has a Fitch derived rating below investment grade and 24% has a
rating in the 'CCC' category and below, compared to 39.9% and 13.9% at the last
rating action. Over this time, the class A-1 and A-2 notes have received $16.5
million for a total of $178.8 million in principal paydowns since issuance.

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.
The default levels were then compared to the breakeven levels generated by
Fitch's cash flow model of the CDO under the various default timing and interest
rate stress scenarios, as described in the report 'Global Criteria for Cash Flow
Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets
that are distressed, experiencing interest shortfalls, and those with near-term
maturities. Based on this analysis, the class A through D notes' breakeven rates
are generally consistent with the ratings assigned below.

For the class E notes, Fitch analyzed the class' sensitivity to the default of
the distressed assets ('CCC' and below). Given the high probability of default
of these assets and expected limited recovery prospects upon default, the class
E notes have been affirmed at 'CCCsf', indicating that default is possible.

The Stable Outlook on the class A and B notes reflects Fitch's view that the
transaction will continue to delever. The Negative Outlook on the class C and D
notes reflects the potential for adverse selection as the portfolio continues to
amortize. Fitch does not assign Outlooks to classes rated 'CCC' and below.
Crest Exeter 2004-1 is a cash flow commercial real estate collateralized debt
obligation (CRE CDO) which closed on April 29, 2004. The collateral is composed
of 48.9% commercial mortgage backed securities (CMBS), 27.2% commercial real
estate loans (CREL), 19.2% real estate investment trusts (REITs), and 4.7%
structured finance CDOs (SF CDOs).

Fitch has affirmed the following classes as indicated:

--$69,803,761 class A-1 at 'Asf'; Outlook Stable;
--$17,369,011 class A-2 at 'Asf'; Outlook Stable;
--$8,377,070 class B-1 at 'BBBsf'; Outlook to Stable from Negative;
--$9,214,777 class B-2 at 'BBBsf'; Outlook to Stable from Negative;
--$1,675,414 class C-1 at 'BBsf'; Outlook Negative;
--$13,759,337 class C-2 at 'BBsf'; Outlook Negative;
--$5,026,242 class D-1 at 'Bsf'; Outlook Negative;
--$11,371,872 class D-2 at 'Bsf'; Outlook Negative;
--$3,769,681 class E-1 at 'CCCsf';
--$5,445,095 class E-2 at 'CCCsf'.

Additional information is available at 'www.fitchratings.com'. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012);
--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012).

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Global Rating Criteria for Structured Finance CDOs
Global Criteria for Cash Flow Analysis in CDOs

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