Approximately $934.8 Million of Structured Securities Affected
New York, December 09, 2010 -- Moody's Investors Service (Moody's) downgraded the ratings
of seven classes, including three pooled classes and four non-pooled,
or rake, classes, and affirmed the ratings of 27 classes,
including 13 pooled classes and 14 non-pooled classes of Bear Stearns
Commercial Mortgage Securities Inc. Commercial Pass-Through
Certificates, Series 2007-BBA8 as follows:
Cl. A-1, Affirmed at Aaa (sf); previously on
Apr 26, 2007 Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on
Apr 26, 2007 Definitive Rating Assigned Aaa (sf)
Cl. X-1B, Affirmed at Aaa (sf); previously on
Apr 26, 2007 Definitive Rating Assigned Aaa (sf)
Cl. X-2, Affirmed at Aaa (sf); previously on
Apr 26, 2007 Definitive Rating Assigned Aaa (sf)
Cl. X-4, Affirmed at Aaa (sf); previously on
Apr 26, 2007 Assigned Aaa (sf)
Cl. X-2M, Affirmed at Aaa (sf); previously on
Apr 26, 2007 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Dec 3,
2009 Downgraded to Aa2 (sf)
Cl. C, Affirmed at A1 (sf); previously on Dec 3,
2009 Downgraded to A1 (sf)
Cl. D, Affirmed at A3 (sf); previously on Dec 3,
2009 Downgraded to A3 (sf)
Cl. E, Affirmed at Baa2 (sf); previously on Dec 3,
2009 Downgraded to Baa2 (sf)
Cl. F, Affirmed at Ba1 (sf); previously on Dec 3,
2009 Downgraded to Ba1 (sf)
Cl. G, Affirmed at Ba3 (sf); previously on Dec 3,
2009 Downgraded to Ba3 (sf)
Cl. H, Affirmed at B1 (sf); previously on Dec 3,
2009 Downgraded to B1 (sf)
Cl. J, Downgraded to B3 (sf); previously on Dec 3,
2009 Downgraded to B2 (sf)
Cl. K, Downgraded to Caa2 (sf); previously on Dec 3,
2009 Downgraded to Caa1 (sf)
Cl. L, Downgraded to Caa3 (sf); previously on Dec 3,
2009 Downgraded to Caa2 (sf)
Cl. MS-1, Affirmed at Aaa (sf); previously on
Apr 16, 2008 Upgraded to Aaa (sf)
Cl. MS-2, Affirmed at Aaa (sf); previously on
Apr 16, 2008 Upgraded to Aaa (sf)
Cl. MS-3, Affirmed at Aa1 (sf); previously on
Apr 16, 2008 Upgraded to Aa1 (sf)
Cl. MS-4, Affirmed at A3 (sf); previously on
Dec 3, 2009 Downgraded to A3 (sf)
Cl. MS-5, Affirmed at Baa3 (sf); previously on
Dec 3, 2009 Downgraded to Baa3 (sf)
Cl. MS-6, Affirmed at Ba3 (sf); previously on
Dec 3, 2009 Downgraded to Ba3 (sf)
Cl. MS-7, Affirmed at B1 (sf); previously on
Dec 3, 2009 Downgraded to B1 (sf)
Cl. MS-X, Affirmed at Aaa (sf); previously on
Apr 16, 2008 Upgraded to Aaa (sf)
Cl. PH-1, Affirmed at B2 (sf); previously on
Dec 3, 2009 Downgraded to B2 (sf)
Cl. PH-2, Affirmed at B3 (sf); previously on
Dec 3, 2009 Downgraded to B3 (sf)
Cl. PH-3, Affirmed at Caa1 (sf); previously on
Dec 3, 2009 Downgraded to Caa1 (sf)
Cl. MA-1, Affirmed at B1 (sf); previously on
Dec 3, 2009 Downgraded to B1 (sf)
Cl. MA-2, Affirmed at B2 (sf); previously on
Dec 3, 2009 Downgraded to B2 (sf)
Cl. MA-3, Affirmed at B3 (sf); previously on
Dec 3, 2009 Downgraded to B3 (sf)
Cl. MA-4, Downgraded to Caa2 (sf); previously
on Dec 3, 2009 Downgraded to Caa1 (sf)
Cl. CA-1, Downgraded to B3 (sf); previously on
Oct 28, 2010 B1 (sf) Placed Under Review for Possible Downgrade
Cl. CA-2, Downgraded to Caa1 (sf); previously
on Oct 28, 2010 B3 (sf) Placed Under Review for Possible Downgrade
Cl. CA-3, Downgraded to Caa2 (sf); previously
on Oct 28, 2010 B3 (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The downgrades of the pooled classes were due to the deterioration in
the performance of six loans in the trust, the Ashford MIP Portfolio
Loan, the Felcor Lodging Trust Loan, the 980 Madison Avenue
Loan, the Thanksgiving Tower Loan, the Larkspur Hotel Portfolio
Loan and the Carr America Portfolio Loan. The downgrades of the
non-pooled classes were due to the deterioration in the performance
of the Carr America Portfolio Loan. The affirmations were due to
key parameters, including Moody's loan to value (LTV) ratio
remaining within an acceptable range. Moody's placed three
non-pooled classes, Class CA-1, Class CA-2
and Class CA-3, on review for possible downgrade on October
28, 2010. These classes are associated with the Carr America
Portfolio Loan. 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 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 Large Loan/Single Borrower Transactions" published
in July 2000.
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 on
our website, at www.moody.com/SFDQuickCheck.
Moody's review incorporated the use of the excel-based CMBS Large
Loan Model v 8.0 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 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 3, 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 Payment Date, the transaction's
aggregate certificate balance has decreased by 47% to $934.8
million from $1.8 billion at securitization. The
certificates are collateralized by 12 mortgage loans ranging in size 15%
to 2%, with the top two loans representing 30% of
the pool.
Moody's weighted average pooled loan to value (LTV) ratio is 85%,
compared to 82% at last review. Moody's stressed debt
service coverage ratio (DSCR) is 1.55x, compared to 1.64x
at last review.
There are currently three loans in special servicing, the MeriStar
Portfolio Loan, the Thanksgiving Tower Loan and the One Riverwalk
Place Loan. The pool has incurred $37,856 in cumulative
bond losses, affecting Class L.
The MeriStar Portfolio Loan ($47.9 million -- 7%
of the pooled balance) is secured by cross -collateralized and
cross-defaulted mortgages on 11 full-service hotel properties
containing a total of 4,059 keys. Since securitization 24
of the original 35 properties were released, resulting in a 92%
reduction in the pooled mortgage balance and a 65% reduction in
the trust mortgage balance. The loan pay downs affected only the
pooled debt. The $284.5 whole loan includes non-pooled
trust debt of $236.6 million, certificate Classes
MS-X, MS-1, MS-2, MS-3,
MS-4 and MS-5. There is also $266.6
million in mezzanine debt.
The loan was transferred to special servicing February 2, 2010 when
the borrower indicated that they anticipated difficulty refinancing the
loan at the May 2011 maturity date. An extension of the maturity
date beyond 2011 is in negotiation. The hotel collateral was appraised
in May 2010 for $460.8 million. Moody's LTV
ratio for the $47.9 million pooled balance is 14%,
the same as at last review. Moody's credit estimate is Aaa,
the same as at last review. Moody's $345.6
million valuation is 25% less than the appraised value.
The loan sponsor is Blackstone Real Estate Partners.
The Prime Hospitality Portfolio Loan ($99.3 million --
15%) is secured by cross-collateralized and cross-defaulted
mortgages on two full-service and 12 limited-service hotels
with a total of 1,954 keys. The two full-service hotels
are flagged by Hilton and are located in Hasbrouck Heights, New
Jersey (355 keys) and Saratoga Springs, New York (240 keys).
The remaining 12 hotels have Wellesley Inn flags, nine of which
are located in Florida; the balance is located in New York and New
Jersey. Since securitization, three of the original 17 hotels
in the portfolio were released, resulting in a 19% pay down
of the trust balance. The whole loan balance of $141.6
million includes $16.4 million in non-pooled trust
debt, certificate Classes PH-1, PH-2 and PH-3,
and a $25.9 million non-trust junior component.
There is also $36.0 million in mezzanine debt.
Revenue per available room (RevPAR) for calendar year 2009 was $59.65,
a 17% decline from $72 in 2008. However, there
has been improvement in 2010. RevPAR for the year-to-date
period ending in June 2010 increased by 5% to $61 from $58
in the same period in 2009, an increase of 2% over Moody's
RevPAR at last review. Moody's LTV ratio for the pooled debt
is 85%, the same as last review. Moody's credit
estimate is B1, the same as last review. The loan sponsor
is WH Hotels, L.L.C. and BREP IV.
The Felcor Lodging Trust ($96.2 million -- 15%)
is a 52% pari passu interest secured by 12 full-service
hotels located in 12 states with a total of 2,930 keys. Brand
affiliations include Embassy Suites (seven properties -- 1,739
keys), Doubletree (two properties -- 406 keys), Holiday
Inn (one property -- 214 keys), Holiday Inn Select (one property
-- 397 keys) and Hilton Suites (one property -- 174 keys).
The $130 million whole loan includes $33.8 million
of non-trust junior debt. RevPAR for the trailing 12-month
period ending June 2010 was $78, a slight decline from calendar
year 2009, but a 20% decline from calendar year 2008.
Moody's credit estimate is B1, compared to Ba2 at last review.
The Carr California Portfolio Loan ($11.6 million --
1.2%) is a 50% pari passu interest secured by two
office properties located in Sunnyvale and Mountain View, California
with total net rentable area of 300,128 square feet. At securitization
the portfolio included a third property in San Diego. The $13.5
million whole loan includes $1.9 million in non-pooled
trust, certificate Classes CA1, CA2 and CA3. There
is also $18.2 million in mezzanine debt. The portfolio
is currently approximately 43% leased. The largest tenant
is Nokia, leasing 22% of total net rentable area with a lease
expiration date of December 31, 2010. The loan sponsor is
The Blackstone Group, BREP V. Moody's LTV is 86%.
Moody's credit estimate is B2, compared to Ba3 at last review.
REGULATORY DISLOSURES
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 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
Jay Rosen
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Keith Banhazl
Vice President - Senior Analyst
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 Seven CMBS Classes of Bear Stearns 2007-BBA8