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Rating Action:

Moody's Affirms 12 and Downgrades Four CMBS Classes of BALL 2007-BMB1

02 Dec 2010

Approximately $1.53 Billion of Structured Securities Affected

New York, December 02, 2010 -- Moody's Investors Service (Moody's) affirmed 12 classes and downgraded four classes of Banc of America Large Loan, Inc. Commercial Mortgage Pass-Through Certificates, Series 2007-BMB1.

Cl. A-1, Affirmed at Aaa (sf); previously on Oct 26, 2007 Definitive Rating Assigned Aaa (sf)

Cl. A-2, Affirmed at Aaa (sf); previously on Oct 26, 2007 Definitive Rating Assigned Aaa (sf)

Cl. A-1A, Affirmed at Aaa (sf); previously on Oct 26, 2007 Definitive Rating Assigned Aaa (sf)

Cl. X, Affirmed at Aaa (sf); previously on Oct 26, 2007 Definitive Rating Assigned Aaa (sf)

Cl. B, Affirmed at Aa3 (sf); previously on Mar 4, 2009 Downgraded to Aa3 (sf)

Cl. C, Affirmed at A2 (sf); previously on Mar 4, 2009 Downgraded to A2 (sf)

Cl. D, Affirmed at A3 (sf); previously on Mar 4, 2009 Downgraded to A3 (sf)

Cl. E, Affirmed at Baa1 (sf); previously on Mar 4, 2009 Downgraded to Baa1 (sf)

Cl. F, Affirmed at Baa2 (sf); previously on Mar 4, 2009 Downgraded to Baa2 (sf)

Cl. G, Affirmed at Baa3 (sf); previously on Mar 4, 2009 Downgraded to Baa3 (sf)

Cl. H, Downgraded to Ba2 (sf); previously on Mar 4, 2009 Downgraded to Ba1 (sf)

Cl. J, Downgraded to B2 (sf); previously on Mar 4, 2009 Downgraded to Ba3 (sf)

Cl. K, Downgraded to Caa2 (sf); previously on Mar 4, 2009 Downgraded to B1 (sf)

Cl. L, Downgraded to C (sf); previously on Mar 4, 2009 Downgraded to B3 (sf)

Cl. FMH-1, Affirmed at A2 (sf); previously on Mar 4, 2009 Downgraded to A2 (sf)

Cl. FMH-2, Affirmed at Baa2 (sf); previously on Mar 4, 2009 Downgraded to Baa2 (sf)

RATINGS RATIONALE

The downgrades were due to the deterioration in the performance of the assets in the trust including the Readers Digest loan. The Readers Digest loan ($16 million, 1% of the pool balance) is secured by a single tenant office campus located in Chappaqua, New York and fully leased to Readers Digest. Readers Digest is expected to vacate the property by the end of 2010. A cash flow sweep has been in place that will assist in covering the debt service as the building is marketed for lease. A 2010 appraisal values the property at $6.2 million which is significantly below the pooled balance.

The affirmations are due to key parameters, including Moody's loan to value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), remaining within acceptable ranges.

Moody's analysis reflects a forward-looking view of the likely range of collateral performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside an acceptable range of the key parameters may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated during the current review. Even so, deviation from the expected range will not necessarily result in a rating action. There may be mitigating or offsetting factors to an improvement or decline in collateral performance, such as increased subordination levels due to amortization and loan payoffs or a decline in subordination due to realized losses.

Primary sources of assumption uncertainty are the current stressed macroeconomic environment and continuing weakness in the commercial real estate and lending markets. Moody's currently views the commercial real estate market as stressed with further performance declines expected in the industrial, office, and retail sectors. Hotel performance has begun to rebound, albeit off a very weak base. Multifamily has also begun to rebound reflecting an improved supply / demand relationship. The availability of debt capital is improving with terms returning towards market norms. Job growth and housing price stability will be necessary precursors to commercial real estate recovery. Overall, Moody's central global scenario remains "hook-shaped" for 2010 and 2011; we expect overall a sluggish recovery in most of the world's largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels.

The principal methodology used in this rating was Moody's "CMBS: Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000. In addition to methodologies and research available on moodys.com, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

Moody's review incorporated the use of the excel-based CMBS Large Loan Model v 8.0 which is used for both large loan and single borrower transactions. The large loan model derives credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, property type, and sponsorship. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. The model also incorporates a supplementary tool to allow for the testing of the credit support at various rating levels. The scenario or "blow-up" analysis tests the credit support for a rating assuming that all loans in the pool default with an average loss severity that is commensurate with the rating level being tested.

Moody's ratings are determined by a committee process that considers both quantitative and qualitative factors. Therefore, the rating outcome may differ from the model output.

The rating action is a result of Moody's on-going surveillance of commercial mortgage backed securities (CMBS) transactions. Moody's monitors transactions on a monthly basis through two sets of quantitative tools -- MOST® (Moody's Surveillance Trends) and CMM (Commercial Mortgage Metrics) on Trepp -- and on a periodic basis through a comprehensive review. Moody's prior full review is summarized in a press release dated March 4, 2009. The previous review was part of Moody's first quarter 2009 ratings sweep and incorporated assumptions for capitalization rates and stressed cash flows that were outlined in "Rating Methodology Update: US CMBS Conduit and Fusion Review Prompted by Declining Property Values and Rising Delinquencies" dated February 5, 2009. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history.

Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating.

DEAL PERFORMANCE

As of the November 15, 2010 distribution date, the transaction's certificate balance decreased by approximately 16% to $1.45 billion from $1.73 billion at securitization due to the payoff of three loans and principal pay downs associated with five loans. The Certificates are collateralized by eleven floating-rate loans ranging in size from 1% to 25% of the pooled trust mortgage balance. The largest three loans account for 62% of the pooled balance.

The pool has not experienced any losses to date. Currently three loans are in special servicing, including the the Farallon MHC Portfolio loan ($366.2 million; 25% of the pooled balance), the Stamford Portfolio loan ($301.5 million; 21%), and the Simply Self Storage loan ($33.7 million, 2%). Both the Farallon MHC Portfolio loan and the Simply Self Storage loan are requesting maturity extensions and are in negotiations. The Stamford Portfolio loan has been extended and is expected to return to the master servicer.

Moody's weighed average pooled loan to value (LTV) ratio is 85% compared to 91% at last review on March 4, 2009 and 68% at securitization. Moody's pooled stressed DSCR is 1.29X, the same as last review and compared to 1.50X at securitization.

Moody's uses a variation of Herf to measure diversity of loan size, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. Large loan transactions generally have a Herf of less than 20. The pool has a Herf of 6 compared to 7 at last review.

The three largest exposures represent 62% of the pooled balance. The largest pooled exposure is the Farallon MHC Portfolio Loan which consists of a pooled portion of $366 million (22% of the pool) and non-pooled portion of $84 million which supports three non-pooled or rake classes. The loan is a 47% pari-passu interest in a $950 million senior mortgage which is secured by 273 cross-collateralized and cross-defaulted mobile home communities located throughout the country. The loan was transferred to special servicing in July 2010 due to concerns regarding refinancing at the August 2012 maturity of the floating rate portion of the debt. The loan continues to perform and the cash flow has increased since securitization. Moody's current pooled LTV is 64% and stressed DSCR is 1.56X. Moody's current credit estimate for the pooled balance is Aa2, the same as last review. Moody's current credit estimate for the non-pooled or rake classes FMH-1 and FMH-2 are A2 and Baa2, respectively, the same as last review.

The second largest pooled exposure is the Stamford Office Portfolio loan ($301.5 million -- 21%) which is secured by seven office properties totaling 1.7 million square feet located in Stamford, Connecticut. The loan was transferred to special servicing in July 2009 and the borrower has negotiated a loan extension until August 2012 with two 1 year extensions. The loan is expected to return to the master servicer shortly. Moody's current LTV is 99% and stressed DSCR is 0.93X. Moody's current credit estimate is B1 compared to Ba2 at last review.

The OSI Restaurant Portfolio loan ($233 million -- 16%) is the third largest loan in the pool and is secured by 343 properties located in 35 states. The loan is a 50% pari-passu interest in a $466 million senior mortgage. The cash flow has been stable since securitization and the loan has paid down approximately $9 million. Moody's current pooled LTV is 75% and stressed DSCR is 1.41X. Moody's current credit estimate is Ba1 compared to Ba2 at last review.

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

New York
Annelise Osborne
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.

Moody's Affirms 12 and Downgrades Four CMBS Classes of BALL 2007-BMB1
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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