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Rating Action:

Moody's Downgrades 11 and Affirms 4 CMBS Classes of WBCMT 2007-WHALE 8

09 Dec 2010

Approximately $1.32 billion of Structured Securities Affected

New York, December 09, 2010 -- Moody's Investors Service (Moody's) downgraded 11 and affirmed the ratings of four classes of Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-WHALE 8. Moody's rating action is as follows:

Cl. A-1, Affirmed at Aaa (sf); previously on Jul 6, 2007 Definitive Rating Assigned Aaa (sf)

Cl. A-2, Downgraded to A2 (sf); previously on Jul 6, 2007 Definitive Rating Assigned Aaa (sf)

Cl. X-1B, Affirmed at Aaa (sf); previously on Jul 6, 2007 Definitive Rating Assigned Aaa (sf)

Cl. B, Downgraded to Baa1 (sf); previously on Mar 4, 2009 Downgraded to Aa2 (sf)

Cl. LXR-1, Downgraded to B2 (sf); previously on Mar 4, 2009 Downgraded to Ba2 (sf)

Cl. LXR-2, Downgraded to Caa1 (sf); previously on Mar 4, 2009 Downgraded to Ba3 (sf)

Cl. AP-1, Downgraded to B2 (sf); previously on Mar 4, 2009 Downgraded to Ba2 (sf)

Cl. AP-2, Downgraded to B3 (sf); previously on Mar 4, 2009 Downgraded to Ba3 (sf)

Cl. AP-3, Downgraded to Caa1 (sf); previously on Mar 4, 2009 Downgraded to B1 (sf)

Cl. AP-4, Downgraded to Caa2 (sf); previously on Mar 4, 2009 Downgraded to B2 (sf)

Cl. LP-3, Downgraded to Caa3 (sf); previously on Mar 4, 2009 Downgraded to B1 (sf)

Cl. HH-1, Affirmed at B1 (sf); previously on Oct 21, 2010 Downgraded to B1 (sf)

Cl. FSN-1, Downgraded to Caa3 (sf); previously on Mar 4, 2009 Downgraded to Caa2 (sf)

Cl. FSN-2, Downgraded to Ca (sf); previously on Mar 4, 2009 Downgraded to Caa3 (sf)

Cl. MH-1, Affirmed at B1 (sf); previously on Oct 21, 2010 Downgraded to B1 (sf)

RATINGS RATIONALE

The downgrade is due to higher expected losses for the trust resulting from anticipated losses from appraisal reductions, specially serviced and watchlisted loans, and interest shortfalls.

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 does not rate pooled classes C, D, E, F, G, H, J, K, and L which provide additional credit support for the pool.

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 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 methodologies used in these ratings were "Moody's Approach to Rating Large Loan/Single Borrower Transactions" published in July 2000.

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 Large Loan Model v 8.0. 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.

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 full 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 did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

DEAL PERFORMANCE

As of the November 15, 2010 distribution date, the transaction's aggregate certificate balance has decreased to $1.66 billion from $1.68 billion at last review. The Certificates are collateralized by nine floating rate whole loans and senior interests in whole loans. Two loans (Hudson Hotel Loan and Mondrian Hotel Loan) have pari-passu portions in Citibank Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, Series 2007-FL3 transaction. The loans range in size from 2% to 64% of the pooled balance, with the top three loans representing 80% of the pool. All of the loans have additional debt in the form of a non-pooled or rake bond within the trust, B note or mezzanine debt outside of the trust. The current low interest rate environment coupled with low loan spreads have helped the loans' performance through the last two years, but high leverage continues to be a cause for concern.

The largest loan in the pool is secured by fee interests in LXR Hospitality Pool Loan ($948 million, or 64% of the pooled balance plus $124 million of rake bonds within the trust). The hotel portfolio includes 12 properties located in Puerto Rico, FL, CA, AZ, Jamaica and NY. The Park Shore Waikiki asset located in Hawaii was released. The sponsor is The Blackstone Group. There is additional debt in the form of non-trust junior component and mezzanine debt outside the trust.

US Hotels suffered significant declines in operating performance during the last two years. However they reached a turning point in late 2009/early 2010, and are showing signs of growth. Luxury and urban properties are showing particularly strong improvement compared to other segments.

For the year-to-date period ending September 2010, the LXR Hospitality Pool Loan achieved an EBITDA of $47 million, down 16% from $53 million achieved in the same time period in 2009. The decline was largely due to lower performance in the three Puerto Rico assets and the Rose Hall Resort & Country Club located in Jamaica. Typically, Caribbean assets will cater to leisure travelers from the US, and discretionary income spending has been cut back significantly in the last two years. The weighted average LTV for the pooled portion is 89%, including rakes is 101% and for the first mortgage is 119%. Moody's current credit estimate for the pooled portion is B1.

The Longhouse Hospitality Pool Loan ($150 million, or 10% of pooled balance plus $15 million of rake bonds within the trust) is secured by cross-collateralized and cross-defaulted 42 extended-stay hotel properties totaling 5,600 guestrooms. The sponsor is JER Partners and Longhouse Hospitality Trust. The loan was transferred to special servicing on October 26, 2010 due to imminent default, and the special servicer is in their initial stages of due diligence.

The portfolio's Net Cash Flow (NCF) during the trailing twelve month period ending September 2010 was $11 million. There is additional debt in the form mezzanine outside the trust. Moody's weighted average LTV for the pooled portion is 107%, including rakes is 118%. Moody's current credit estimate for the pooled portion is Caa2.

There are currently six loans totaling 27% of pooled balance in special servicing. However, two loans (Hudson Hotel Loan and Mondrian Hotel Loan) totaling 8% of the pooled balance have been modified and extended through October 12, 2011. The rake bonds associated with these two loans (Classes HH-1 and MH-1) were downgraded on October 21, 2010. Moody's does not rate Classes HH-2 and MH-2.

Four Seasons Nevis Loan (3% of the pooled balance) has been in special servicing since October 2008 when it was damaged by Hurricane Omar. The property is currently in renovation, and is expected to reopen on December 15, 2010. Moody's current credit estimate for the pooled portion is Caa3. Classes H, J, K, L, FSN-1 and FSN-2 have incurred interest shortfalls as of November 2010 distribution date. Classes HH-2 and MH-2 have suffered losses totaling $41,993 as of the same distribution date.

Moody's weighted average pooled LTV ratio is 92% and Moody's weighted average stressed debt service coverage ratio (DSCR) for pooled trust debt is 0.82X. Moody's weighted average LTV for the trust including the rake bonds is 103% and Moody's weighted average stressed debt service coverage ratio (DSCR) for the trust including the rake bonds is 0.73X.

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 Investors Service 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
Eun Jee Park
VP - Senior Credit Officer
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.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Downgrades 11 and Affirms 4 CMBS Classes of WBCMT 2007-WHALE 8
No Related Data.
© 2019 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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To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

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