Approximately $5 Million of Structured Securities Affected
New York, April 22, 2011 -- Moody's Investors Service (Moody's) upgraded the ratings of two classes
and affirmed one class of Banc of America Structured Securities Trust
Commercial Mortgage Pass-Through Certificates, Series 2002-X1
Cl. XC, Affirmed at Aaa (sf); previously on Jul 29,
2002 Definitive Rating Assigned Aaa (sf)
Cl. O, Upgraded to B1 (sf); previously on May 26,
2010 Downgraded to Caa1 (sf)
Cl. P, Upgraded to Caa2 (sf); previously on May 26,
2010 Downgraded to C (sf)
The upgrades are due to the significant increase in subordination due
to loan payoffs and lower expected losses than at last review.
The pool has paid down by 76% 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.
Moody's rating action reflects a cumulative base expected loss of
26% of the current balance. At last review, Moody's
cumulative base expected loss was 22%. The current cumulative
base expected loss represents a higher percentage of the pool than at
last review due to significant pay downs since last review, even
though the dollar amount of expected loss is less. At last review
Moody's cumulative expected loss was $20.8 million
compared to $6.0 million at this review. Moody's
stressed scenario loss is 33% 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 forward-looking view of the likely range of performance
over the medium term. From time to time, Moody's may,
if warranted, change these expectations. Performance that
falls outside the given range may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated when the related
securities ratings were issued. Even so, a deviation from
the expected range will not necessarily result in a rating action nor
does performance within expectations preclude such actions. The
decision to take (or not take) a rating action is dependent on an assessment
of a range of factors including, but not exclusively, the
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 methodologies used in this rating were: "Moody's
Approach to Rating Conduit Transactions", published on September
15, 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single
Borrower Transactions" published in July 2000.
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.
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 compared
to 15 at Moody's prior review.
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 May 26, 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 April 11, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 92% to $22.4
million from $287.8 million at securitization. The
Certificates are collateralized by 16 mortgage loans ranging in size from
less than 1% to 23% of the pool, with the top ten
loans representing 92% of the pool. One loan, representing
2% of the pool, has defeased and is secured by U.S.
Government bonds. The pool faces significant refinance risk as
69% of the pool has matured or matures within the next six months.
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
Twenty-one loans have been liquidated from the pool, resulting
in a realized loss of $10 million (27% loss severity).
Eight loans, representing 75% of the pool, are currently
in special servicing. Moody's has estimated an aggregate
$4.8 million loss (44% expected loss on average)
for the specially serviced loans.
Moody's was provided with full year 2009 operating results for 100%
of the performing loans. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 93% compared
to 70% at Moody's prior review. Moody's net
cash flow reflects a weighted average haircut of 10% to the most
recently available net operating income. Moody's value reflects
a weighted average capitalization rate of 10.5%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.12X and 1.45X, respectively,
compared to 1.31X and 1.77X 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.
The largest performing loan is the Pennsylvania Place Apartments Loan
($2.8 million -- 13% of the pool), which
is secured by a 152 unit apartment building located in Fort Worth,
Texas. The property is currently 92% leased compared to
96% at last review. The property's rent and vacancy
rates are in line with the Fort Worth market, and the performance
remains stable. Moody's LTV and stressed DSCR are 70% and
1.48X, respectively, compared to 74% and 1.39X
at last review.
The top three specially serviced loans represent 63% of the pool
balance. The largest loan is the Steeple Chase Apartments Loan
($5.2 million -- 24% of the pool) which is secured
by a 98 unit multifamily property located in Toledo, Ohio.
The property is currently 91% leased. Forbearance terms
have been agreed upon, as the borrower was unable to pay off the
balance at maturity. Moody's is not assuming a loss on this
loan. Moody's LTV and stressed DSCR are 128% and 0.78X,
respectively, compared to 138% and 0.72X at last review.
The second largest specially serviced loan is the Village Park at Colleyville
Shopping Center Loan ($4.6 million -- 20%),
which is secured by a 45,000 square foot retail center located in
Colleyville, Texas, which is about six miles west of the Dallas/Fort
Worth Airport. The property is currently 49% leased,
essentially the same as last review. The property is real estate
The third largest specially serviced loan is the Comfort Inn-Palm
Springs, CA Loan ($4.0 million -- 18%),
which is secured by a limited service hotel located in Palm Springs,
California. The hotel's performance was stable until 900
rooms were added to the Palm Springs market in 2007 and 2008. The
borrower filed for chapter 11 bankruptcy in January of 2010 and foreclosure
has been initiated.
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
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 Two and Affirms One CMBS Class of BASST 2002-X1
250 Greenwich Street
New York, NY 10007