Approximately $1.4 Billion of Structured Securities Affected
New York, November 17, 2011 -- Moody's Investors Service (Moody's) downgraded eight classes, confirmed
two classes and affirmed six classes of Banc of America Large Loan,
Inc. Commercial Mortgage Pass-Through Certificates,
Series 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, Downgraded to Aa1(sf); previously on
Nov 9, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. X, Affirmed at Aaa (sf); previously on Mar 9,
2011 Confirmed at Aaa (sf)
Cl. B, Downgraded to A1 (sf); previously on Nov 9,
2011 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. C, Downgraded to A3 (sf); previously on Nov 9,
2011 A2 (sf) Placed Under Review for Possible Downgrade
Cl. D, Downgraded to Baa1 (sf); previously on Nov 9,
2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. E, Downgraded to Baa2 (sf); previously on Nov 9,
2011 Baa1 (sf) Placed Under Review for Possible Downgrade
Cl. F, Downgraded to Baa3 (sf); previously on Nov 9,
2011 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. G, Downgraded to Ba1 (sf); previously on Nov 9,
2011 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. H, Downgraded to Ba3 (sf); previously on Nov 9,
2011 Ba2 (sf) Placed Under Review for Possible Downgrade
Cl. J, Confirmed at B2 (sf); previously on Nov 9,
2011 B2 (sf) Placed Under Review for Possible Downgrade
Cl. K, Confirmed at Caa2 (sf); previously on Nov 9,
2011 Caa2 (sf) Placed Under Review for Possible Downgrade
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 downgrades are due to negative credit migration in the Smart and Final
Portfolio loan, the MSREF Hotel Portfolio loan, and the Readers
Digest loan as well as the concerns of refinancing risk for the eight
loans that mature in the next nine months. 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 placed ten classes on review for possible downgrade on November
9, 2011. This action concludes Moody's review.
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 sluggish macroeconomic
environment and varying performance in the commercial real estate property
markets. However, Moody's expects to see increasing or stabilizing
property values, higher transaction volumes, a slowing in
the pace of loan delinquencies and greater liquidity for commercial real
estate in 2011 The hotel and multifamily sectors are continuing to show
signs of recovery, while recovery in the office and retail sectors
will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
The principal methodology used in this rating was "Moody's Approach to
Rating CMBS Large Loan/Single Borrower Transactions" published in July
2000. 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 Large
Loan Model v 8.2 which is used for both large loan and single borrower
transactions. 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 also incorporates a
supplementary tool to allow for the testing of the credit support at various
rating levels. The scenario or "blow-up" analysis tests
the credit support for a rating assuming that all loans in the pool default
with an average loss severity that is commensurate with the rating level
being tested.
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 December 2, 2010.
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 October 17, 2011 distribution date, the transaction's
certificate balance decreased by approximately 23% to $1.33
billion from $1.73 billion at securitization due to the
payoff of four loans and principal pay downs associated with five loans.
The Certificates are collateralized by ten floating-rate loans
ranging in size from 1% to 24% of the pooled trust mortgage
balance.
The pool has not experienced any losses to date nor are there any interest
shortfalls. Currently one loans (1.2% of pooled balance)
is in special servicing. The Readers Digest loan ($16 million)
is secured by a single tenant office campus located in Chappaqua,
New York and was fully leased to Readers Digest. Reader's
Digest vacated the property in the end of 2010. As of September
2011, the property is 2% occupied. A 2010 appraisal
values the property at $6.2 million which is significantly
below the pooled balance. The property is being marketed for sale.
Moody's credit estimate is C, the same as last review.
Moody's weighed average pooled loan to value (LTV) ratio is 84%
compared to 85% at last review and 68% at securitization.
Moody's pooled stressed DSCR is 1.34X, similar to 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 6, the
same as last review.
The three largest exposures represent 64% of the pooled balance.
The largest pooled exposure is the Farallon MHC Portfolio Loan which consists
of a pooled portion of $316 million (24% of the pool) and
non-pooled portion of $72.7 million which supports
three non-pooled or rake classes. The loan is a 44%
pari-passu interest in a $888 million senior mortgage which
is secured by 273 cross-collateralized and cross-defaulted
mobile home communities located throughout the country. The loan
was transferred to special servicing in July 2010 due to refinancing concerns
and modified in April 2011. The modification 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. The floating rate loan has
paid down 14% since last review. The loan continues to perform.
Moody's current pooled LTV is 60% and stressed DSCR is 1.67X.
Moody's current credit estimate for the pooled balance is Aa2, the
same as last review. Moody's current credit estimate for the non-pooled
or rake classes FMH-1 and FMH-2 are A2 and Baa2, respectively,
the same as last review.
The second largest pooled exposure is the Stamford Office Portfolio loan
($301.5 million; 23%) which is secured by seven
office properties totaling 1.7 million square feet located in Stamford,
Connecticut. As of September 2011, the properties were 82%
occupied, similar to last review. The cash flow has been
stressed due to concessions. In 2010, the loan was modified
and extended through August 2012 with two 1-year extensions.
Moody's current credit estimate is B1, the same as last review.
The OSI Restaurant Portfolio loan ($233 million; 18%)
is the third largest loan in the pool and is secured by 343 properties
located in 35 states. The loan is a 50% pari-passu
interest in a $466 million senior mortgage. The cash flow
has been stable since securitization and the loan has paid down approximately
$9 million. Moody's current pooled LTV is 75% and
stressed DSCR is 1.41X. Moody's current credit estimate
is Ba1, the same as 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 considered EU Qualified
by Extension and therefore available for regulatory use in the EU.
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.
Information sources used to prepare the 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 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.
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 the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
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
Vice President - Senior 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
Tad Philipp
Senior Vice President
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 Downgrades Eight CMBS Classes of BALL 2007-BMB1
