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Rating Action:

Moody's Affirms Ten CMBS Classes of BSCMS 2005-PWR8

Global Credit Research - 29 Aug 2013

Approximately $1.3 Billion of Structured Securities Affected

New York, August 29, 2013 -- Moody's Investors Service (Moody's) affirmed the ratings of ten classes of Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR8 as follows:

Cl. A-4, Affirmed Aaa (sf); previously on Jul 22, 2005 Definitive Rating Assigned Aaa (sf)

Cl. A-4FL, Affirmed Aaa (sf); previously on Jul 13, 2005 Assigned Aaa (sf)

Cl. A-J, Affirmed A3 (sf); previously on Nov 17, 2010 Downgraded to A3 (sf)

Cl. B, Affirmed Baa3 (sf); previously on Sep 20, 2012 Downgraded to Baa3 (sf)

Cl. C, Affirmed Ba2 (sf); previously on Sep 20, 2012 Downgraded to Ba2 (sf)

Cl. D, Affirmed B3 (sf); previously on Nov 17, 2010 Downgraded to B3 (sf)

Cl. E, Affirmed Caa1 (sf); previously on Nov 17, 2010 Downgraded to Caa1 (sf)

Cl. F, Affirmed Ca (sf); previously on Nov 17, 2010 Downgraded to Ca (sf)

Cl. G, Affirmed C (sf); previously on Nov 17, 2010 Downgraded to C (sf)

Cl. X-1, Affirmed Ba3 (sf); previously on Feb 22, 2012 Downgraded to Ba3 (sf)

RATINGS RATIONALE

The affirmations of the P&I classes are due to key parameters, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the Herfindahl Index (Herf), remaining within acceptable ranges. The rating of the IO Class, Class X1, is consistent with the expected credit performance of its referenced classes and thus is affirmed.

Based on our current base expected loss, the credit enhancement levels for the affirmed classes are sufficient to maintain their current ratings.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 rating action reflects a base expected loss of approximately 2.8% of the current deal balance. At last review, Moody's base expected loss was approximately 6.3%. Moody's base expected loss plus realized loss figure is 6.2% of the original, securitized deal balance, compared to 6.9% at Moody's last review. Moody's provides a current list of base losses for conduit and fusion CMBS transactions on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

The principal methodology used in this rating was "Moody's Approach to Rating Fusion U.S. CMBS Transactions" published in April 2005. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Moody's review incorporated the use of the Excel-based CMBS Conduit Model v 2.62 which is used for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) 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 (sf) level are driven by a pay down 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 (sf) and B2 (sf), 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 underlying ratings is melded with the conduit model credit enhancement into an overall model result. Fusion loan credit enhancement is based on the credit assessment 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 assessments 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 21 compared to 37 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 a review utilizing MOST® (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. 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 press release dated September 19, 2012. 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 12, 2013 payment date, the transaction's aggregate certificate balance has decreased by 24% to $1.3 billion from $1.7 billion at securitization. The Certificates are collateralized by 166 mortgage loans ranging in size from less than 1% to 12% of the pool, with the top ten loans (excluding defeasance) representing 50% of the pool. The pool includes two loans with investment-grade credit assessments, representing 4% of the pool. Eleven loans, representing approximately 13% of the pool, are defeased and are collateralized by U.S. Government securities.

Sixty loans, representing 29% 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.

Sixteen loans have liquidated from the pool, resulting in an aggregate realized loss of $72 million (4.1% average loan loss severity). Currently three loans, representing 2% of the pool, are in special servicing. Moody's has assumed an aggregate $9.9 million loss (40% expected loss overall) from the specially serviced loans.

Moody's has assumed a high default probability for 17 poorly-performing loans representing 5% of the pool. Moody's analysis attributes to these troubled loans an aggregate $16 million loss (20% expected loss severity based on a 50% probability default).

Moody's was provided with full-year 2012 and partial year 2013 operating results for 92% and 35% of the performing pool, respectively. Excluding troubled and specially-serviced loans, Moody's weighted average LTV is 85%, the same as 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 9.1%.

Excluding troubled and specially-serviced loans, Moody's actual and stressed DSCRs are 1.48X and 1.24X, respectively, compared to 1.52X and 1.22X at last 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 largest loan with a credit assessment is the Lock Up Storage Centers Portfolio Loan ($46 million -- 3% of the pool). The loan is secured by a 14 Class A self storage sites across the United States totaling 957,000 square feet. The property is also encumbered by a $35 million B note that is held outside the trust. Moody's credit assessment and stressed DSCR are Aa3 and 2.35X, respectively, compared to A1 and 2.05X at last review.

The second loan with a credit assessment is the JL Holdings -- Burger King Portfolio A-Note Loan ($12 million -- 1% of the pool). The loan was split into a $30 million A-note and a $29 million dollar B-note which is held outside the trust. The loan is secured by 79 fee and 11 leasehold interests in standalone Burger King restaurants located in Los Angeles, Alabama, Mississippi and Florida. The total combined portfolio occupancy was 92% as of December 2012. Moody's current credit assessment and stressed DSCR are Aa2 and 2.78X, respectively, compared to Aa3 and 2.69X at last review.

The top three performing conduit loans represent 19% of the pool. The largest loan is the One MetroTech Center Loan ($164 million -- 12% of the pool). The loan is secured by a 933,011 square foot, 23-story Class A office property with a 270 car garage built on 1.6 acres of land in Brooklyn, New York. The office occupancy was 95% in April 2013 compared to 91% at last review. Moody's current LTV and stressed DSCR are 86% and 1.09X, respectively, compared to 88% and 1.08X at last review.

The second largest loan is the Park Place Loan ($50 million -- 4% of the pool). The loan is secured by a 351,955 square foot office complex in Florham Park, New Jersey. The property was 94% occupied as of June 2012, the same as last review. Moody's current LTV and stressed DSCR are 78% and 1.3X, respectively, compared to 79% and 1.29X at last review.

The third largest loan is the Ballston Office Center Loan ($43 million -- 3% of the pool). The loan is secured by a 178,452 square foot, 10-story office building located in Arlington, Virginia. The property is 91% leased to the US Coast Guard as of May 2013. Moody's current LTV and stressed DSCR are 104% and 0.93X respectively, the same as last review.

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

In conducting surveillance of this credit, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on this transaction on a periodic basis, at least annually.

For ratings issued on a program, series or category/class of debt, this announcement provides certain 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 certain 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 certain 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.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

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.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Jeffrey Gilbane
Associate Analyst
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 Ten CMBS Classes of BSCMS 2005-PWR8
No Related Data.

 

© 2014 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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