Approximately $636.8 Million of Structured Securities Affected
New York, January 13, 2011 -- Moody's Investors Service (Moody's) affirmed 14 classes of Banc of America
Commercial Mortgage Inc., Commercial Mortgage Pass-Through
Certificates, Series 2001-PB1 as follows:
Cl. XC, Affirmed at Aaa (sf); previously on Nov 6,
2001 Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on
Nov 6, 2001 Definitive Rating Assigned Aaa (sf)
Cl. A-2F, Affirmed at Aaa (sf); previously on
May 30, 2002 Assigned Aaa (sf)
Cl. B, Affirmed at Aaa (sf); previously on Aug 2,
2006 Upgraded to Aaa (sf)
Cl. C, Affirmed at Aaa (sf); previously on Dec 13,
2006 Upgraded to Aaa (sf)
Cl. D, Affirmed at Aaa (sf); previously on Dec 13,
2006 Upgraded to Aaa (sf)
Cl. E, Affirmed at Aaa (sf); previously on Jul 3,
2008 Upgraded to Aaa (sf)
Cl. F, Affirmed at Aaa (sf); previously on Jul 3,
2008 Upgraded to Aaa (sf)
Cl. G, Affirmed at Aa2 (sf); previously on Jul 3,
2008 Upgraded to Aa2 (sf)
Cl. H, Affirmed at A2 (sf); previously on Jul 3,
2008 Upgraded to A2 (sf)
Cl. J, Affirmed at Baa1 (sf); previously on Jul 3,
2008 Upgraded to Baa1 (sf)
Cl. K, Affirmed at Ba1 (sf); previously on Nov 6,
2001 Definitive Rating Assigned Ba1 (sf)
Cl. L, Affirmed at Ba2 (sf); previously on Nov 6,
2001 Definitive Rating Assigned Ba2 (sf)
Cl. M, Affirmed at Ba3 (sf); previously on Nov 6,
2001 Definitive Rating Assigned Ba3 (sf)
RATINGS RATIONALE
The affirmations are due to key parameters, including Moody's loan
to value (LTV) ratio, Moody's stressed DSCR and the Herfindahl Index
(Herf), remaining within acceptable ranges. Based on our
current base expected loss, the credit enhancement levels for the
affirmed classes are sufficient to maintain their current ratings.
Moody's rating action reflects a cumulative base expected loss of 3.3%
of the current balance. At last full review, Moody's cumulative
base expected loss was 3.2%. Moody's stressed scenario
loss is 8.1% of the current balance. Moody's provides
a current list of base and stress scenario losses for conduit and fusion
CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Depending on the timing of loan payoffs and the severity and timing of
losses from specially serviced loans, the credit enhancement level
for investment grade classes could decline below the current levels.
If future performance materially declines, the expected level of
credit enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
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 rating BACM 2001-PB1 was "CMBS:
Moody's Approach to Rating U.S. Conduit Transactions" published
in September 2000. Other methodologies and factors that may have
been considered in the process of rating this issuer can also be found
on Moody's website. In addition, 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 Conduit
Model v 2.50 which is used for both conduit and fusion transactions.
Conduit model results at the Aa2 level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property quality grade
(which reflects the capitalization rate used by Moody's to estimate Moody's
value). Conduit model results at the B2 level are driven by a paydown
analysis based on the individual loan level Moody's LTV ratio.
Moody's Herfindahl score (Herf), a measure of loan level diversity,
is a primary determinant of pool level diversity and has a greater impact
on senior certificates. Other concentrations and correlations may
be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or determined based
on a multiple or ratio of either of these two data points. For
fusion deals, the credit enhancement for loans with investment-grade
credit estimates is melded with the conduit model credit enhancement into
an overall model result. Fusion loan credit enhancement is based
on the underlying rating of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the underlying rating level, is
incorporated for loans with similar credit estimates in the same transaction.
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. The pool has a Herf of 37
compared to 41 at Moody's prior review.
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 July 3, 2008. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
DEAL PERFORMANCE
As of the December 13, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 29% to $667.9
million from $938.3 million at securitization. The
Certificates are collateralized by 107 mortgage loans ranging in size
from less than 1% to 9% of the pool, with the top
ten loans representing 39% of the pool. Twenty-six
loans, representing 37% of the pool, have defeased
and are collateralized with U.S. Government securities.
Defeasance at last review represented 38% of the pool. No
loans have investment grade credit estimates.
Twenty-eight loans, representing 22% of the pool,
are on the master servicer's watchlist. The watchlist includes
loans which meet certain portfolio review guidelines established as part
of the CRE Finance Council (CREFC) monthly reporting package. As
part of our ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that could impact
performance.
Three loans have been liquidated from the pool since securitization,
resulting in an aggregate $6.4 million loss (27%
loss severity on average). Currently six loans, representing
4% of the pool, are in special servicing. The master
servicer has recognized an aggregate $6.3 million appraisal
reduction for three of the specially serviced loans. Moody's has
estimated an aggregate loss of $11.2 million (42%
expected loss on average) for all of the specially serviced loans.
Moody's has assumed a high default probability for three poorly performing
loans representing 2% of the pool and has estimated a $2.6
million loss (25% expected loss based on a 50% probability
default) from these troubled loans.
Moody's was provided with full year 2009 and partial year 2010 operating
results for 100% and 83% of the non-defeased performing
pool, respectively. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 79% compared to 88%
at last review. Moody's net cash flow reflects a weighted average
haircut of 11% to the most recently available net operating income.
Moody's value reflects a weighted average capitalization rate of 9.7%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.31X and 1.46X, respectively,
compared to 1.26X and 1.33X at last full review.
Moody's actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stressed rate applied to the loan balance.
The top three performing conduit loans represent 11% of the pool
balance. The largest performing loan is the Milwaukee Center Office
Tower Loan ($29.4 million -- 4.4% of
the pool), which is secured by a 374,000 square foot office
building located in downtown Milwaukee, Wisconsin. The property
was 89% leased as of June 2010. Property performance has
improved since last review due to increased occupancy. The loan,
which matures in June 2011, has been amortizing on a 360-month
schedule and has paid down 4% since last review. Moody's
LTV and stressed DSCR are 86% and 1.23X, respectively,
compared to 140% and 0.75X at last review.
The second largest loan is the Pacific Professional Building Loan ($26.0
million -- 3.9% of the pool), which is secured
by a 111,000 square foot medical office building located in San
Francisco, California. The building was 100% leased
as of June 2010, the same as at last review and securitization.
Property performance has been stable. The loan, which matures
in September 2011, has been amortizing on a 330-month schedule
and has paid down 5% since last review. Moody's LTV and
stressed DSCR are 74% and 1.60X, compared to 78%
and 1.53X at last review.
The third largest loan is the Nokia Office Building Loan ($19.4
million -- 2.9% of the pool), which is secured
by a 135,000 square foot office/R&D facility located in San
Diego, California. The building was built-to-suit
for Nokia Mobile Phones, Inc. and their lease expired in
August 2010. The tenant has vacated the premises and a broker is
actively marketing the space. The loan is currently on the master
servicer's watchlist. The loan, which matures in June 2011,
has been amortizing on a 300-month schedule and has paid down 7%
since last review. Moody's analysis is based on current market
rent and operating expense levels. Moody's is concerned about
the refinance risk associated with this loan due to the soft San Diego
office market. Moody's LTV and stressed DSCR are 120% and
0.86X, compared to 72% and 1.43X at last review.
New York
Tiffany Putman
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Sandra Ruffin
VP - Senior Credit Officer
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.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Affirms 14 CMBS Classes of BACM 2001-PB1
