Fitch Affirms $2.2B & Downgrades $48.8MM from 8 U.S. Small Balance CMBS Deals

Business Wire, Oct 26, 2007

NEW YORK -- Following a review of various small balance U.S. CMBS transactions containing significant defaults, Fitch Ratings has downgraded the following small balance bonds:

CBA Commercial (CBAC) Series 2005-1

--$5.1 million class M-5 to 'BB' from 'BBB-';

CBAC Series 2006-1

--$1.9 million class M-5 to 'B' from 'BB ';

LaSalle Commercial Mortgage Securities (LASL) Series 2006-MF2

--$5 million class F to 'BB' from 'BBB-';

--$5.6 million class G to 'BB-' from 'BB ';

--$3.1 million class H to 'B' from 'BB';

--$1.9 million class J to 'B-' from 'BB-';

--$1.2 million class K to 'CCC/DR1' from 'B ';

--$1.9 million class L to 'CC/DR3' from 'B';

--$1.2 million class M to 'C/DR6' from B-'.

LASL Series 2006-MF3

--$6.9 million class G to 'BB' from 'BB ';

--$2.5 million class H to 'BB-' from 'BB';

--$1.9 million class J to 'B ' from 'BB-';

--$1.2 million class K to 'B' from 'B ';

--$2.5 million class L to 'B-' from 'B';

--$1.2 million class M to 'CCC/DR1' from 'B-'.

LASL Series 2006-MF4

--$2.5 million class H to 'BB-' from 'BB';

--$1.7 million class J to 'B ' from 'BB-';

--$1.7 million class K to 'B' from 'B ';

--$1.1 million class L to 'B-' from 'B';

--$564,000 class M to 'CCC/DR1' from 'B-'.

In addition, Fitch has affirmed the following classes:

CBAC Series 2004-1

--$27.5 million class A-1 at 'AAA';

--$12 million class A-2 at 'AAA';

--$6.5 million class A-3 at 'AAA';

--Interest only class IO at 'AAA';

--$2.9 million class M-1 'AAA';

--$3.6 million class M-2 'AA ';

--$3.7 million class M-3 at 'BBB ';

--$770,000 class M-5 at 'BB'.

CBAC Series 2005-1

--$117.5 million class A at 'AAA';

--Interest only class X-1 at 'AAA';

--Interest only class X-2 at 'AAA';

--$7.5 million class M-1 at 'AA';

--$5.6 million class M-2 at 'A';

--$2.7 million class M-3 at 'A-';

--$3.8 million class M-4 at 'BBB '.

CBAC Series 2006-1

--$119.1 million class A at 'AAA';

--Interest only class X-1 at 'AAA';

--$4.6 million class M-1 at 'AA';

--$4.6 million class M-2 at 'A';

--$5 million class M-3 at 'BBB';

--$2.9 million class M-4 at 'BBB-'.

CBAC Series 2006-2

--$104.4 million class A at 'AAA';

--Interest only class X-1 at 'AAA';

--$3.8 million class M-1 at 'AA';

--$4.9 million class M-2 at 'A-';

--$2.8 million class M-3 at 'BBB';

--$2.3 million class M-4 at 'BBB-';

--$1.1 million class M-5 at 'BB '.

LASL Series 2006-MF2

--$384.2 million class A-1 at 'AAA';

--Interest only class X at 'AAA';

--$8.7 million class B at 'AA';

--$12.5 million class C at 'A';

--$8.1 million class D at 'BBB ;

--$3.7 million class E at 'BBB'.

LASL Series 2006-MF3

--$403.1 million class A at 'AAA';

--Interest only class X at 'AAA';

--$8 million class B at 'AA';

--$12.9 million class C at 'A';

--$8 million class D at 'BBB ';

--$3.7 million class E at 'BBB';

--$4.9 million class F at 'BBB-'.

LASL Series 2006-MF4

--$378.5 million class A at 'AAA';

--Interest only class X at 'AAA';

--$7.9 million class B at 'AA';

--$11.8 million class C at 'A';

--$9 million class D at 'BBB ';

--$2.3 million class E at 'BBB';

--$4.5 million class F at 'BBB-';

--$7.9 million class G at 'BB '.

LASL Series 2007-MF5

--$423.5 million class A at 'AAA';

--Interest only class X at 'AAA';

--$9.2 million class B at 'AA';

--$13.4 million class C at 'A';

--$8.5 million class D at 'BBB ';

--$3 million class E at 'BBB';

--$4.9 million class F at 'BBB-';

--$7.3 million class G at 'BB ';

--$2.4 million class H at 'BB';

--$1.8 million class J at 'BB-';

--$1.8 million class K at 'B ';

--$1.2 million class L at 'B';

--$610,000 class M at 'B-'.

Fitch had placed eight small balance CMBS deals 'Under Analysis' this month through its SMARTView process due to increasing delinquencies in these transactions. Delinquencies in small balance U.S. CMBS have been higher than expected, prompting Fitch to undertake a review of its small balance transactions that may be credit impaired. The actions here relate to all of the Fitch rated small balance transactions of these two issuers.

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, and mixed use properties. The loans are smaller than typical CMBS loans 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 mortage (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.