Approximately $895 million of Structured Securities Affected
New York, August 22, 2012 -- Moody's Investors Service (Moody's) affirmed 16 classes of Banc of America
Large Loan, Inc. Commercial Mortgage Pass-Through
Certificates, Series 2007-BMB1.
Issuer: Banc of America Large Loan Trust 2007-BMB1
Cl. A-1, Affirmed at Aaa (sf); previously on
Mar 9, 2011 Confirmed at Aaa (sf)
Cl. A-1A, Affirmed at Aaa (sf); previously on
Mar 9, 2011 Confirmed at Aaa (sf)
Cl. A-2, Affirmed at Aa1 (sf); previously on
Nov 17, 2011 Downgraded to Aa1 (sf)
Cl. X, Affirmed at Ba3 (sf); previously on Feb 22,
2012 Downgraded to Ba3 (sf)
Cl. B, Affirmed at A1 (sf); previously on Nov 17,
2011 Downgraded to A1 (sf)
Cl. C, Affirmed at A3 (sf); previously on Nov 17,
2011 Downgraded to A3 (sf)
Cl. D, Affirmed at Baa1 (sf); previously on Nov 17,
2011 Downgraded to Baa1 (sf)
Cl. E, Affirmed at Baa2 (sf); previously on Nov 17,
2011 Downgraded to Baa2 (sf)
Cl. F, Affirmed at Baa3 (sf); previously on Nov 17,
2011 Downgraded to Baa3 (sf)
Cl. G, Affirmed at Ba1 (sf); previously on Nov 17,
2011 Downgraded to Ba1 (sf)
Cl. H, Affirmed at Ba3 (sf); previously on Nov 17,
2011 Downgraded to Ba3 (sf)
Cl. J, Affirmed at B2 (sf); previously on Nov 17,
2011 Confirmed at B2 (sf)
Cl. K, Affirmed at Caa2 (sf); previously on Nov 17,
2011 Confirmed at Caa2 (sf)
Cl. L, Affirmed at C (sf); previously on Dec 2,
2010 Downgraded to C (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 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 previous 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 extent of growth in
the current macroeconomic environment and commercial real estate property
markets. While commercial real estate property values are beginning
to move in a positive direction along with a rise in investment activity
and stabilization in core property type performance, a consistent
upward trend will not be evident until the volume of investment activity
steadily increases, distressed properties are cleared from the pipeline,
and job creation rebounds. The hotel sector is performing strongly
and the multifamily sector continues to show increases in demand.
Moderate improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and promotions.
However, rising wages and reduced unemployment, along with
increased consumer confidence, is helping to spur consumer spending.
Across all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates. Moody's
central global macroeconomic scenario reflects healthier growth in the
US and US growth decoupling from the recessionary trend in the euro zone,
while a mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home prices,
ongoing and policy-induced banking sector deleveraging leading
to a tightening of bank lending standards and credit contraction,
financial market turmoil continuing to negatively impact consumer and
business confidence, persistently high unemployment levels,
and weak housing markets, any or all of which will continue to constrain
growth.
The methodologies used in this rating were "Moody's Approach to Rating
CMBS Large Loan/Single Borrower Transactions" published in July 2000,
and "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.4. 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 incorporates the CMBS
IO calculator ver1.0 that uses the following inputs to calculate
the proposed IO rating based on the published methodology: original
and current bond ratings and credit assessments; original and current
bond balances grossed up for losses for all bonds the IO(s) reference(s)
within the transaction; and IO type corresponding to an IO type as
defined in the published methodology. The calculator then returns
a calculated IO rating based on both a target and mid-point .
For example, a target rating basis for a Baa3 (sf) rating is a 610
rating factor. The midpoint rating basis for a Baa3 (sf) rating
is 775 (i.e. the simple average of a Baa3 (sf) rating factor
of 610 and a Ba1 (sf) rating factor of 940). If the calculated
IO rating factor is 700, the CMBS IO calculator ver1.0 would
provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration
by the rating committee.
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 a review utilizing MOST®
(Moody's Surveillance Trends) Reports and Remittance Statements.
On a periodic basis, Moody's also performs a full transaction
review that involves a rating committee and a press release. Moody's
prior transaction review is summarized in a presale report dated November
17, 2011. 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 August 15, 2012 distribution date, the transaction's
certificate balance decreased by approximately 51% to $840
million from $1.73 billion at securitization due to the
payoff of eight loans and principal pay downs associated with four loans.
The Certificates are collateralized by six floating-rate loans
ranging in size from 4% to 36% of the pooled trust mortgage
balance.
The pool has experienced $10.9 million in losses due to
the liquidation of the Readers Digest loan in February 2012. Interest
shortfalls total $161,034. Interest shortfalls are
caused by special servicing fees, including workout and liquidation
fees, appraisal subordinate entitlement reductions (ASERs) and extraordinary
trust expenses.
Currently, three loans (22.3% of pooled balance) are
in special servicing. Specially serviced loans include the MSREF
Hotel Portfolio loan ($81.75 million, 10%);
the Larkspur Portfolio loan ($75 million, 9%);
and the Simply Self Storage loan ($30.4 million, 4%).
Moody's weighed average pooled loan to value (LTV) ratio is 78%
compared to 84% at last review and 68% at securitization.
Moody's pooled stressed DSCR is 1.41X, compared to 1.34X
at last review and 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 4, compared
to 6 at last review.
The three largest exposures represent 78% of the pooled balance.
The largest pooled exposure is the Stamford Office Portfolio loan ($301.5
million; 36% of the pooled balance) which is secured by seven
office properties totaling 1.7 million square feet located in Stamford,
Connecticut. As of June 2012, the properties were 87%
occupied with average in-place net rents of $39 per square
foot. According to CBRE Econometric Advisors, asking rents
for Stamford Class A properties are $37 per square foot with a
vacancy rate of 17.2%. The loan was modified in 2010
and has an extended maturity date of August 2013 with a 1-year
extension remaining. The collateral is encumbered with additional
debt in the form of a $98.5 million subordinate mortgage
and $400 million of mezzanine debt. Moody's current pooled
LTV is 91% and stressed DSCR is 1.07X. Moody's current
credit assessment is B2, compared to B1 at last review.
The second largest pooled exposure is the Farallon MHC Portfolio Loan
which consists of a pooled portion of $238 million (28%
of the pool) and non-pooled portion of $54.7 million
which supports two non-pooled or rake classes. The loan
is a 44% pari-passu interest in a $670.8 million
senior mortgage (part floating and part fixed) which is secured by 180
cross-collateralized and cross-defaulted mobile home communities
located throughout the country totaling approximately 53,800 pad
sites. There is an additional $455.4 in a subordinate
mortgage outside of the trust for a total debt amount of $1.13
billion. The loan was modified in April 2011 which included a loan
extension through 2015 with an option to extend 2 additional years,
a capture of excess cash flow, and a requirement for all net proceeds
from sales to be remitted to the lender. As of August 2012,
94 communities have been released leading to principal payments.
The floating rate loan has paid down 25% since last review and
42% since securitization. Moody's current pooled LTV is
62% and stressed DSCR is 1.62X. Moody's current credit
assessment for the pooled balance is A1, compared to Aa2 at last
review
The Blackstone Hawaii Hotel Portfolio loan ($113.9 million;
14%) is the third largest loan in the pool and is secured by two
hotels located in Hawaii. The Marriott Wailea Beach Resort &
Spa is a 546 key hotel located on Maui. According to Smith Travel
Research, the hotel has shown revenue per available room (RevPAR)
increasing 6.7% for the trailing twelve month period ending
May 2012, which is slightly lower than other Maui hotels reporting
RevPAR increases of 8.9% for the same period. The
Marriott Waikoloa Beach Resort & Spa is a 555 key hotel located on
the big island of Hawaii. The cash flow for this property has been
stressed. According to Smith Travel Research, the hotel has
shown revenue per available room (RevPAR) decreasing 0.8%
for the trailing twelve month period ending May 2012, compared to
other Hawaii/Kauai hotels reporting RevPAR increases of 11.6%
for the same period. The net cash flow for the portfolio has been
stable from 2010 to 2011. The loan is secured by a subordinate
mortgage of $123 million. The final maturity date for the
loan is June 2013. Since last review, the pooled balance
has paid down 5%. Moody's current pooled LTV is 58%
and stressed DSCR is 1.95X. Moody's current credit assessment
is Baa3, compared to Ba1 last review.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a 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 Moody's Rating Symbols and Definitions on the Rating
Process page on www.moodys.com for further information on
the meaning of each rating category and the definition of default and
recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history. The date on
which some ratings were first released goes back to a time before Moody's
ratings were fully digitized and accurate data may not be available.
Consequently, Moody's 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 www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has
issued the rating.
Annelise Osborne
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Michael Gerdes
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Affirms 16 CMBS Classes of BALL 2007-BMB1
