Fitch Ratings takes various rating actions on the following small balance bonds as follows:
CBAC Series 2005-1:
-- $84.8 million class A affirmed at 'AAA'; Outlook Stable;
-- $7.5 million class M-1 affirmed at 'AA'; Outlook Negative;
-- $5.6 million class M-2 downgraded to 'BBB+' from 'A'; Outlook Negative;
-- $2.7 million class M-3 downgraded to 'BBB-' from 'A-'; Outlook Negative;
-- $3.8 million class M-4 downgraded to 'CCC/DR1' from 'BBB+';
-- $5.1 million class M-5 downgraded to 'C/DR6' from 'BB-';
-- Interest only class X-2 affirmed at 'AAA'; Outlook Stable.
The interest only class X-1 has paid in full. The $1.3 million class M-6 and $3.7 million class M-7 are not rated by Fitch. Classes M-8 and M-9 have been depleted due to losses.
CBAC Series 2006-1:
-- $95.2 million class A affirmed at 'AAA'; Outlook Negative;
-- $4.6 million class M-1 downgraded to 'AA-' from 'AA'; Outlook Negative;
-- $4.6 million class M-2 downgraded to 'BBB' from 'A-'; Outlook Negative;
-- $5 million class M-3 downgraded to 'BB-' from 'BBB-'; Outlook Negative;
-- $2.9 million class M-4 downgraded to 'CCC/DR1' from 'B';
-- $1.9 million class M-5 downgraded to 'C/DR6' from 'CCC/DR1';
-- Interest only class X-1 affirmed at 'AAA'; Outlook Stable.
The $3.7 million class M-6, $1.5 million class M-7 and $409,107 class M-8 are not rated by Fitch.
CBAC Series 2006-2:
-- $89.7 million class A downgraded to 'AA' from 'AAA'; Rating Watch Negative;
-- $3.7 million class M-1 downgraded to 'A' from 'AA'; Rating Watch Negative.
-- $4.9 million class M-2 downgraded to 'B' from 'A-'; Rating Watch Negative;
-- $2.8 million class M-3 downgraded to 'C/DR6' from 'BBB-';
-- $2.3 million class M-4 downgraded to 'C/DR6' from 'BB';
-- $1.1 million class M-5 downgraded to 'C/DR6' from 'B-';
-- Interest only class X-1 affirmed at 'AAA'; Outlook Stable.
Fitch has removed the Rating Watch Negative from class M-4.
The $2.6 million class M-6, $1.1 million class M-7 and $190,003 class M-8 are not rated by Fitch.
LaSalle 2007-MF5:
-- $398.3 million class A downgraded to 'AA-' from 'AAA'; Outlook Negative;
-- $9.2 million class B downgraded to 'A+' from 'AA'; Outlook Negative;
-- $13.4 million class C downgraded to 'BBB-' from 'A'; Outlook Negative;
-- $8.5 million class D downgraded to 'BB' from 'BBB+'; Outlook Negative;
-- $3 million class E downgraded to 'BB-' from 'BBB'; Outlook Negative;
-- $4.9 million class F downgraded to 'B-' from 'BBB-'; Outlook Negative;
-- $7.3 million class G downgraded to 'CC/DR3' from 'CCC/DR2';
-- $2.4 million class H downgraded to 'C/DR6' from 'CC/DR4'.
-- Interest only class X affirmed at 'AAA'; Outlook Stable.
Fitch has removed the Rating Watch Negative from classes A, B, C, D, E, and F.
The $1.8 million classes J and K, $1.2 million class L, and $610,000 class M remain at 'C/DR6'.
The $3.8 million class N is not rated by Fitch.
The downgrades are the result of additional specially serviced loans and increased loss expectations since Fitch's last rating action. Rating Outlooks reflect the likely direction of any rating changes over the next one to two years. The transactions continue to show declining performance with a significant amount of defaulting loans.
In estimating loan losses, Fitch reviewed recent evaluations or appraisals provided by the special servicers, and applied haircuts to determine Fitch's expected loss. These losses were then applied to the individual transactions per the documents and new credit enhancement levels were calculated.
The transactions are collateralized by small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties with significant geographic concentrations in distressed markets such as California, Texas, Ohio and Arizona. The loans are smaller than typical CMBS loans with a weighted average loan size of $701,524 and in some instances are not structured as single purpose entities and are full recourse.
A high proportion of the transactions have Adjustable Rate Mortgages (ARMs) and have already begun experiencing ARM resets.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
Contacts:
Fitch Ratings, New York
Lisa Cook, +1-212-908-0665
Adam Fox,
+1-212-908-0869
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com