Fitch Affirms CBA Commercial Assets Series 2004-1

Fitch Ratings has affirmed all 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 affirmations are due to the relatively stable performance of the pool. As of the January 2016 distribution date, six loans representing 13% of the pool are delinquent, with three loans (10.4%) in special servicing. At Fitch's last rating action, 17.8% of the underlying loans were delinquent, with four loans (11.7%) in special servicing.

The transaction's balance has been reduced by 83.6% to $16.7 million from $102 million at issuance and $17.6 million at Fitch's last rating action. The transaction is collateralized by 56 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 $298,140 and historically have had higher loss severities than CMBS conduit loans. Fitch does not receive operating performance on the loans, as the loans were not subject to typical CMBS reporting requirements.

Per the Jan. 25, 2016 trustee report, the pool has experienced 9.7% in realized losses to date. Fitch modeled losses of 31.3% on the remaining pool. Based on historical performance statistics from a representative sample of similar small balance transactions, Fitch assumed a 30% default probability for the remaining performing loans, and a loss severity of 80% for all loans.

RATING SENSITIVITIES

Future upgrades are not likely given the lack of loan level operating performance reporting. Should delinquencies and/or losses increase, downgrades may be warranted in the future.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following classes:

--$4.9 million class A-1 at 'Bsf'; Outlook Stable;

--$2.1 million class A-2 at 'Bsf'; Outlook Stable;

--$1.2 million class A-3 at 'Bsf'; Outlook Stable;

--$2.9 million class M-1 at 'Csf'; RE 10%;

--$3.6 million class M-2 at 'Csf'; RE 0%;

--$2.0 million class M-3 at 'Dsf'; RE 0%.

--$0 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 Fitch had previously withdrawn the rating of the interest-only class I/O.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 is available at www.fitchratings.com.

Applicable Criteria

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873395

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=999445

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=999445

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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