Fitch Downgrades CBA Commercial Assets, Series 2004-1

NEW YORK--()--Fitch Ratings downgrades three classes of CBA Commercial Assets, LLC, series 2004-1. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The downgrades reflect deteriorated performance of the remaining pool since Fitch's last rating action. As of the March 2014 distribution date, 27.6% of the underlying loans are delinquent, with eight loans (21.5%) in special servicing. At Fitch's last rating action, 15.9% of the underlying loans were delinquent, with six loans (5.2%) in special servicing.

The transaction's balance has been reduced by 80.0% to $20.4 million from $102 million at issuance. The transaction is collateralized by 67 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 $303,955 and historically have had higher loss severities than CMBS conduit loans. As the loans were not underwritten as typical CMBS loans, reporting of operating performance is limited on the loans.

The pool has experienced 9.1% in realized losses; Fitch modeled losses of 18.7% of the remaining pool. Fitch assumed a 60% loss severity for those loans already delinquent. The loss severity assumption is based upon the average loss experienced on recent dispositions of loans in the pool.

RATING SENSITIVITY

Because of the lack of financial reporting due to the small balance nature of the loans and increased delinquencies since the last rating action, classes A-1 through A-3 are being downgraded to 'B' from 'BB'. Should delinquencies and/or losses increase downgrades may be warranted in the future. Outlooks for the three classes were revised to Stable from Negative following the downgrade.

Fitch downgrades and revises Rating Outlooks as indicated:

--$6.8 million class A-1 to 'Bsf' from 'BBsf'; Outlook to Stable from Negative;

--$3 million class A-2 to 'Bsf' from 'BBsf'; Outlook to Stable from Negative;

--$1.6 million class A-3 to 'Bsf' from 'BBsf'; Outlook to Stable from Negative.

Fitch affirms the following classes and revises the Recovery Estimate (RE) as indicated:

--$2.9 million class M-1 at 'Csf'; RE 100%;

--$3.6 million class M-2 at 'Csf'; RE 65%;

--$2.6 million class M-3 at 'Dsf'; RE 0%.

--$0.8 million class M-5 at 'Dsf'; RE 0%.

Classes M-4, M-6, M-7, and M-8 are not rated by Fitch. Fitch had previously withdrawn the rating of the interest-only class I/O.

Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 11, 2013 report, 'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria', which is available at 'www.fitchratings.com' under the following headers:

Structured Finance >> CMBS >> Criteria Reports

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria' (Dec. 11, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

U.S. Fixed-Rate Multiborrower CMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=724961

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=826629

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Contacts

Fitch Ratings, New York
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com
or
Primary Analyst
Associate Director
Tiffany Pierce, +1-212-908-9107
or
Fitch Ratings, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson
Managing Director
Mary MacNeill, +1-212-908-0785

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Contacts

Fitch Ratings, New York
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com
or
Primary Analyst
Associate Director
Tiffany Pierce, +1-212-908-9107
or
Fitch Ratings, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson
Managing Director
Mary MacNeill, +1-212-908-0785