Approximately $69.7 Million of Structured Securities Affected
New York, October 21, 2010 -- Moody's Investors Service (Moody's) upgraded the rating of one class,
downgraded two classes and affirmed five classes of Banc of America Commercial
Mortgage Inc. Commercial Mortgage Pass-Through Certificates,
Series 2000-1 as follows:
Cl. X, Affirmed at Aaa (sf); previously on Dec 21,
1999 Assigned Aaa (sf)
Cl. H, Downgraded to Ca (sf); previously on Jan 28,
2010 Downgraded to Caa2 (sf)
Cl. K, Downgraded to C (sf); previously on Jan 28,
2010 Downgraded to Ca (sf)
Cl. F, Upgraded to Aa1 (sf); previously on Jan 28,
2010 Upgraded to Aa2 (sf)
Cl. E, Affirmed at Aaa (sf); previously on Jan 28,
2010 Upgraded to Aaa (sf)
Cl. G, Affirmed at Baa2 (sf); previously on Jan 28,
2010 Downgraded to Baa2 (sf)
Cl. L, Affirmed at C (sf); previously on Jan 28,
2010 Downgraded to C (sf)
Cl. M, Affirmed at C (sf); previously on Jan 28,
2010 Downgraded to C (sf)
The upgrade is due to a significant increase in subordination due to loan
payoffs and amortization. The pool balance has amortized by 31%
since Moody's last review. 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.
The downgrades are due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and troubled
Moody's rating action reflects a cumulative base expected loss of
29.2% of the current balance. At last review,
Moody's cumulative base expected loss was 39.2%.
Moody's stressed scenario loss is 29.6% 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
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 methodologies used in rating BACM 2000-1 were CMBS:
Moody's Approach to Conduit Transactions" published in September 2000
and "Moody's Approach to Rating Large Loan/Single Borrower Transactions"
published in July 2000. Other methodologies and factors that may
have been considered in the process of rating this issuer can also be
found on Moody's website.
In addition to methodologies and research, 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 credit estimate 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 credit estimate level, is incorporated
for loans with similar credit estimates in the same transaction.
In cases where the Herf falls below 20, Moody's also employs
the large loan/single borrower methodology. This methodology uses
the excel-based Large Loan Model v 8.0 and then reconciles
and weights the results from the two models in formulating a rating recommendation.
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 January 28, 2010.
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
As of the October 15, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 91% to $69.6
million from $771.9 million at securitization. The
Certificates are collateralized by 17 mortgage loans ranging in size from
less than 1% to 16% of the pool, with the top ten
loans representing 84% of the pool. Four loans, representing
14% of the pool, have defeased and are collateralized with
U.S. Government securities.
Two loans, representing 2% 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
Fifteen loans have been liquidated from the pool, resulting in an
aggregate realized loss of $23.2 million (26% loss
severity). Four loans, representing 52% of the pool,
are currently in special servicing.
The largest specially serviced loan is the Radisson Suites - Secaucus,
NJ Loan ($11.2 million -- 16.1% of the
pool), which is secured by a 151 room full-service hotel
located in Secaucus, New Jersey. The property has changed
flags a number of times since securitization and is currently operating
under a La Quinta flag. The loan was transferred to special servicing
in May 2009 due to delinquency and is currently in the process of foreclosure.
The loan has passed its anticipated maturity date of October 1,
The second largest specially serviced loan is the Farmstead Apartments
Loan ($9.8 million -- 14.1% of the pool),
which is secured by a 348 unit multifamily property located in Mesa,
Arizona. The loan transferred into special servicing in June 2009
due to payment default and is currently in foreclosure. The loan
has passed its anticipated maturity date of November 1, 2009.
The third largest specially serviced loan is the Lahser Medical Complex
Buildings II, III & IV Loan ($9.4 million --
13.5% of the pool), which is secured by three medical
office buildings, comprising approximately 80,000 square feet.
The properties are located in Southfield, Michigan. The property
was 67% leased as of July 2010. The loan transferred into
special servicing in September 2008 due to imminent maturity default and
became real estate owned (REO) in August 2009.
The remaining specially serviced loan is secured by a 210 unit multifamily
property located in Mesa, Arizona. The property is in the
process of foreclosure. Moody's has estimated an aggregate
$20.3 million loss (56% expected loss on average)
for the specially serviced loans.
Moody's has assumed a high default probability for two poorly performing
loans representing 1.8% of the pool and has estimated a
$250,600 loss (20% expected loss based on a 50%
probability default) from these troubled loans.
Moody's was provided with full year 2009 operating results for 88%
of the pool. Excluding specially serviced and troubled loans,
Moody's weighted average LTV is 66% compared to 69%
at Moody's prior review. Moody's net cash flow reflects
a weighted average haircut of 17% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 10.3%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.44X and 1.82X, respectively,
compared to 1.18X and 1.80X 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.
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 6,
the same at Moody's prior review.
The top three performing conduit loans represent 22% of the pool
balance. The largest loan is the Wal-Mart Stores Portfolio
2 Loan ($9.1 million -- 13.1% of the
pool), which is secured by five single-tenant retail properties
located in Alabama, Georgia, Iowa, and Louisiana.
The properties are all leased to Wal-Mart and have lease expirations
between April 2011 and September 2011. At last review one of the
properties was vacant, but they are now all 100% occupied.
The loan matures in February 2012. The loan has amortized 12%
since last review. Moody's LTV and stressed DSCR are 66%
and 1.83 X, respectively, compared to 193% and
0.92X at last review.
The second largest loan is the Huntersville Square S/C Loan ($3.36
million -- 4.8% of the pool), which is secured
by an 84,000 square foot retail center located approximately 12
miles north of Charlotte in Huntersville, North Carolina.
The center is anchored by Food Lion and was 100% leased as of December
2009. The loan has amortized 24% since last review.
Moody's LTV and stressed DSCR are 49% and 2.09X,
respectively, compared to 42% and 1.86X at last review.
The third largest loan is the Bainbridge Market Place Loan ($2.9
million -- 4.2% of the pool), which is secured
by a multifamily property located in Chesapeake, Virginia.
The loan has amortized 13.4% since last review. Moody's
LTV and stressed DSCR are 84% and 1.29X, respectively,
compared to 89% and 1.21X at last review.
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'
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.
Structured Finance Group
Moody's Investors Service
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Upgrades One, Downgrades Two and Affirms Five CMBS Classes of BACM 2000-1
250 Greenwich Street
New York, NY 10007