NEW YORK--(BUSINESS WIRE)-- 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 November 2010, approximately 12.7% of the underlying collateral has been downgraded and 14.6% upgraded. Currently, 39.9% of the portfolio has a Fitch derived rating below investment grade and 13.9% has a rating in the 'CCC' category and below, compared to 36.9% and 8.6% at the last review. The class A-1 and A-2 notes have received $67.3 million in paydowns since the last review.

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. As of the Sept. 29, 2011 trustee report, defaulted securities, as defined in the transaction's governing documents, now comprise 14.7% of the portfolio, compared to 5.2% at last review. One defaulted security is the Rouse Co. bond (4.9%); Rouse Co.'s parent company, GGP, has recently emerged from bankruptcy. Additionally, 6.3% of non-defaulted collateral is currently experiencing interest shortfalls.

The Stable Outlook on the class A notes reflects Fitch's view that the notes will continue to delever. The Negative Outlook on the class B through D notes reflects Fitch's expectation that underlying CMBS loans will continue to face refinance risk at maturity. 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 54.2% commercial mortgage backed securities (CMBS), 22.9% real estate investment trusts (REITs), 19.6% commercial real estate loans (CREL), and 3.3% SF CDOs.

Fitch has affirmed the following classes as indicated:

--$83,010,094 Class A-1 at 'Asf' Outlook to Stable from Negative;

--$20,655,094 Class A-2 at 'Asf' Outlook to Stable from Negative;

--$8,377,070 Class B-1 at 'BBBsf' Outlook Negative;

--$9,214,777 Class B-2 at 'BBBsf' Outlook 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.

The information used to assess these ratings was sourced from the issuer, periodic trustee reports, note valuation reports, and the public domain.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2011);

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 15, 2010);

--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 15, 2011).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651560

Global Criteria for Cash Flow Analysis in CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=650717

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Fitch Ratings
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Scarlett Shao, +1-212-908-9169
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