Approximately $2.4 Billion of Structured Securities Affected
New York, December 10, 2010 -- Moody's Investors Service (Moody's) downgraded the ratings of 16 classes
and affirmed six classes of Banc of America Commercial Mortgage Inc.,
Commercial Mortgage Pass-Through Certificates, Series 2005-6
as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on
Jan 3, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on
Jan 3, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-SB, Affirmed at Aaa (sf); previously on
Jan 3, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed at Aaa (sf); previously on
Jan 3, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-M, Affirmed at Aaa (sf); previously on
Jan 3, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-J, Downgraded to A1 (sf); previously on
Nov 11, 2010 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to A2 (sf); previously on Nov 11,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. C, Downgraded to A3 (sf); previously on Nov 11,
2010 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. D, Downgraded to Baa1 (sf); previously on Nov 11,
2010 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. E, Downgraded to Baa2 (sf); previously on Nov 11,
2010 A1 (sf) Placed Under Review for Possible Downgrade
Cl. F, Downgraded to Ba1 (sf); previously on Nov 11,
2010 A2 (sf) Placed Under Review for Possible Downgrade
Cl. G, Downgraded to Ba3 (sf); previously on Nov 11,
2010 A3 (sf) Placed Under Review for Possible Downgrade
Cl. H, Downgraded to B2 (sf); previously on Nov 11,
2010 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. J, Downgraded to Caa1 (sf); previously on Nov 11,
2010 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. K, Downgraded to Caa2 (sf); previously on Nov 11,
2010 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. L, Downgraded to Ca (sf); previously on Nov 11,
2010 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. M, Downgraded to C (sf); previously on Nov 11,
2010 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. N, Downgraded to C (sf); previously on Nov 11,
2010 Ba3 (sf) Placed Under Review for Possible Downgrade
Cl. O, Downgraded to C (sf); previously on Nov 11,
2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. P, Downgraded to C (sf); previously on Nov 11,
2010 B2 (sf) Placed Under Review for Possible Downgrade
Cl. Q, Downgraded to C (sf); previously on Nov 11,
2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. XW, Affirmed at Aaa (sf); previously on Jan 3,
2006 Definitive Rating Assigned Aaa (sf)
RATINGS RATIONALE
The downgrades are due to higher expected losses for the pool resulting
from actual and anticipated losses from specially serviced and troubled
loans and interest shortfalls. The affirmations 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. Based on our current base expected
loss, the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
On November 11, 2010, Moody's placed 16 classes on review
for possible downgrade. This action concludes our review.
Moody's rating action reflects a cumulative base expected loss of 5.7%
of the current balance. At last review, Moody's cumulative
base expected loss was 1.5%. Moody's stressed scenario
loss is 15% 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 this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions" published in April 2005,
which is available on Moody's website at www.moodys.com.
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 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 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 August 7, 2008. 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 10, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 12% to $2.4
billion from $2.7 billion at securitization. The
Certificates are collateralized by 155 mortgage loans ranging in size
from less than 1% to 11% of the pool, with the top
ten loans representing 44% of the pool. One loan,
representing 1% of the pool, has defeased and is collateralized
by U.S. Government securities. The pool includes
three loans, representing 21% off the pool, with an
investment grade credit estimate. At last review three additional
loans had investment grade credit estimates. However, due
to declines in performance and increased leverage the 2001 K Street Loan
($62.3 million -- 2.6% of the pool),
the Flagstaff Mall Loan ($37 million -- 1.5%
of the pool) and the 150 East 57th Street Loan ($25.9 million
-- 1.1% of the pool) are now analyzed as part of the
conduit pool.
Thirty-three loans, representing 18% 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.
Five loans have been liquidated from the trust since securitization,
resulting in a $22.1 million loss (68% loss severity
on average). There were no realized losses at last review.
Twenty loans, representing 11% of the pool, are currently
in special servicing. The largest delinquent specially serviced
loan is the Audubon Park Apartments Loan ($17.1 million
-- 0.7% of the pool), which is secured by a 264
unit multifamily property located in Daphne, Alabama. The
loan was transferred to special servicing in October 2010 for maturity
default.
The remaining 19 specially serviced loans are secured by a mix of property
types. The master servicer has recognized an aggregate $26.7
million appraisal reduction for nine of the remaining specially serviced
loans. Moody's has estimated an aggregate $58.9 million
loss (50% expected loss on average) for 17 of the specially serviced
loans.
Moody's has assumed a high default probability for ten poorly performing
loans representing 5% of the pool and has estimated an aggregate
$25.4 million loss (23% expected loss based on a
50% probability of default) from these troubled loans.
Based on the most recent remittance statement, Classes L through
S have experienced cumulative interest shortfalls totaling $3.4
million. Moody's anticipates that the pool will continue to experience
interest shortfalls because of the high exposure to specially serviced
loans. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal entitlement reductions
(ASERs) and extraordinary trust expenses.
Moody's was provided with full year 2009 operating results for 86%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV for the conduit component is 105%
compared to 99% at Moody's prior full review. Moody's net
cash flow reflects a weighted average haircut of 11% to the most
recently available net operating income (NOI). Moody's value reflects
a weighted average capitalization rate of 9.6%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs for the performing conduit loans are 1.48X and
1.07X, respectively, compared to 1.48X and 1.04X
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.
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 44,
compared to 46 at Moody's prior review.
The largest loan with a credit estimate is the 277 Park Avenue Loan ($260
million -- 10.7% of the pool), which represents
a 52% pari passu interest in a first mortgage loan. The
loan is secured by 1.8 million square feet (SF) Class A office
tower located in the Plaza District office sub market of midtown Manhattan.
The largest tenants include JP Morgan Chase Bank NA (Moody's senior unsecured
rating Aa1, negative outlook; 75% of the net rentable
area (NRA); lease expiration October 2012) and Sumitomo Mitsui Banking
Corporation (Moody's senior unsecured rating Aa2, stable outlook;
lease expiration June 2021). The property was 97% leased
as of June 2010, the same as at last review. The loan is
interest only for the full ten year term. Moody's credit estimate
and stressed DSCR are A2 and 1.34X, respectively, compared
to A2 and 1.43X at last review.
The second loan with a credit estimate is the Kindercare Portfolio Loan
($142.6 million -- 5.9% of the pool),
which represents a 33% pari passu interest in a first mortgage
loan. The loan is secured by 713 childcare facilities located in
37 states. The largest state concentration is California,
with 12% of the portfolio. Moody's credit estimate and stressed
DSCR are A3 and 1.88X, respectively, compared to A3
and 1.43X at last review.
The third loan with a credit estimate is the Paramus Park Mall Loan ($101.1
million -- 4.2% of the pool), which is secured
by a 771,000 SF regional shopping center located in Paramus,
New Jersey. The mall is anchored by Macy's and Sears. The
in-line shops were 97.1% occupied as of December
2007 compared to 96.9% at securitization. The sponsor
is General Growth Properties, Inc. The loan is currently
in special servicing due to GGP's bankruptcy filing in 2009 but
is current and should be returned to the master servicer soon.
Moody's credit estimate and stressed DSCR are Baa2 and 1.23X,
respectively, compared to Baa2 and 1.26X at last review.
The top three performing conduit loans represent 14% of the pool
balance. The largest loan is the InTown Suites Portfolio Loan ($112.7
million -- 4.7% of the pool), is secured by a
portfolio of 40 extended stay hotels located in 16 states. The
portfolio totals 5,073 rooms with the highest concentration of rooms
located in Texas with 45.4% of the portfolio's total room
count. Performance has improved due to amortization. The
loan has a 25 year amortization schedule and has amortized 10%
since securitization. Moody's LTV and stressed DSCR are 81%
and 1.57X, respectively, compared to 85% and
1.58X at last review.
The second largest loan is the Burnett Plaza Loan ($109.9
million -- 4.5% of the pool), which is secured
by a 1 million SF Class A office building located in Fort Worth,
Texas. The property was 87% leased as of September 2010
compared to 97% at last. The loan is on the servicer's watchlist
due to low debt service coverage. Moody's LTV and stressed DSCR
are 128% and 0.80X, respectively, compared to
93% and 1.17X at last review.
The third largest loan is the Omni Hotel-San Diego Loan ($103.1
million -- 4.3% of the pool), which is secured
by a 511 room full service hotel located in San Diego, California.
The property is located in the Marina District and it adjacent to PETCO
Park and the San Diego Convention Center. Performance has declined
due to a decrease in occupancy and revenue. Moody's LTV and stressed
DSCR are 107% and 1.06X, respectively, compared
to 68% and 1.76X 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, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's Analytics'
information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purpose 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
Robert Gilbane
Associate 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.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Downgrades 16 and Affirms Six CMBS Classes of BACM 2005-6
