Fitch takes the following rating actions on CBA Commercial Assets, LLC, Series 2004-1 and 2007-1, small balance U.S. CMBS transactions:
CBA Series 2004-1
--$770,000 class M-5 downgraded to 'B' from 'BB'.
CBA Series 2007-1
--$1.3 million class M-6 downgraded to 'BB-' from 'BB+'.
--$1.8 million class M-5 rated 'BBB-' is placed on Rating Watch Negative.
In addition, Fitch affirms the following classes:
CBA Series 2004-1:
--$22.2 million class A-1 at 'AAA';
--$9.7 million class A-2 at 'AAA';
--$5.3 million class A-3 at 'AAA';
--interest only class IO at 'AAA';
--$2.9 million class M-1 at 'AAA';
--$3.6 million class M-2 at 'AA+';
--$3.7 million class M-3 at 'BBB+'.
Classes M-4, M-6, M-7 and M-8 are not rated by Fitch.
Fitch affirms the following classes:
CBA Series 2007-1:
--$103.3 million class A at 'AAA';
--interest-only class X-1 at 'AAA';
--$3.5 million class M-1 at 'AA';
--$3.7 million class M-2 at 'A-';
--$2.2 million class M-3 at 'BBB+';
--$1.4 million class M-4 at 'BBB'.
Classes M-7 and M-8 are not rated by Fitch.
The downgrades and rating watch negative placement are the result of increased specially serviced loans and loss expectations since Fitch's last rating action. The CBA 2004-1 transaction has eighteen loans (12.2%) currently in special servicing and the CBA 2007-1 deal has fifteen loans (6.4%). Losses are expected on the majority of the specially serviced loans in both transactions.
The transactions are collateralized by small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. The loans are smaller than typical CMBS loans with an average loan size of $467,255 ranging from approximately $79,000 to $3MM, and in some instances are not structured as single purpose entities and are full recourse.
A high proportion of the transactions have upcoming Adjustable Rate Mortgage (ARM) resets.
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