Approximately $786 million of structured securities affected
New York, June 05, 2014 -- Moody's Investors Service has affirmed the ratings on 14 classes
in COMM 2010-C1 Mortgage Trust, Commercial Mortgage Pass-Through
Certificates, Series 2010-C1 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Aug
1, 2013 Affirmed Aaa (sf)
Cl. A-1D, Affirmed Aaa (sf); previously on Aug
1, 2013 Affirmed Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Aug
1, 2013 Affirmed Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on Aug
1, 2013 Affirmed Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Aug 1,
2013 Affirmed Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Aug 1,
2013 Affirmed A2 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Aug 1,
2013 Affirmed Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Aug 1,
2013 Affirmed Ba2 (sf)
Cl. F, Affirmed B1 (sf); previously on Aug 1,
2013 Affirmed B1 (sf)
Cl. G, Affirmed B3 (sf); previously on Aug 1,
2013 Affirmed B3 (sf)
Cl. XP-A, Affirmed Aaa (sf); previously on Aug
1, 2013 Affirmed Aaa (sf)
Cl. XS-A, Affirmed Aaa (sf); previously on Aug
1, 2013 Affirmed Aaa (sf)
Cl. XW-A, Affirmed Aaa (sf); previously on Aug
1, 2013 Affirmed Aaa (sf)
Cl. XW-B, Affirmed Ba3 (sf); previously on Aug
1, 2013 Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on the investment-grade P&I classes were affirmed
because the transaction's key metrics, including Moody's loan-to-value
(LTV) ratio, Moody's stressed debt service coverage ratio (DSCR)
and the transaction's Herfindahl Index (Herf), are within
acceptable ranges. The ratings on the below-investment-grade
P&I classes were affirmed because the ratings are consistent with
Moody's expected loss.
The ratings on the IO classes were affirmed because the credit performance
(or the weighted average rating factor or WARF) of the referenced classes
are consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 2.3%
of the current balance, compared to 2.2% at Moody's
last review. Moody's base expected loss plus realized losses is
now 2.2% of the original pooled balance, compared
to 2.1% at the last review. Moody's provides
a current list of base expected losses for conduit and fusion CMBS transactions
on moodys.com at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The methodologies used in this rating were "Moody's Approach to Rating
Fusion U.S. CMBS Transactions" published in April 2005,
and "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 these methodologies.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based CMBS Conduit Model v
2.64, which it uses for both conduit and fusion transactions.
Conduit model results at the Aa2 (sf) level are driven by property type,
Moody's actual and stressed DSCR, and Moody's property
quality grade (which reflects the capitalization rate Moody's uses
to estimate Moody's value). Conduit model results at the
B2 (sf) level are based on a paydown analysis using the individual loan-level
Moody's LTV ratio. Moody's may consider other concentrations
and correlations in its analysis. Based on the model pooled credit
enhancement levels of Aa2 (sf) and B2 (sf), the required credit
enhancement on 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, Moody's
merges the credit enhancement for loans with investment-grade structured
credit assessments with the conduit model credit enhancement for an overall
model result. Moody's incorporates negative pooling (adding
credit enhancement at the structured credit assessment level) for loans
with similar structured credit assessments in the same transaction.
Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity.
Loan concentration has an important bearing on potential rating volatility,
including the risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 17,
as compared to 18 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based
Large Loan Model v 8.7 and then reconciles and weights the results
from the conduit and large loan 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. Moody's
also further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the May 12, 2014 distribution date, the transaction's
aggregate certificate balance has decreased by 6% to $803
million from $857 million at securitization. The certificates
are collateralized by 41 mortgage loans ranging in size from less than
1% to 15% of the pool, with the top ten loans constituting
62% of the pool. One loan, constituting 6%
of the pool, has an investment-grade structured credit assessment.
Four loans, constituting 7% of the pool, have defeased
and are secured by US government securities.
Three loans, constituting 8% of the pool, are on the
master servicer's watchlist. The watchlist includes loans
that meet certain portfolio review guidelines established as part of the
CRE Finance Council (CREFC) monthly reporting package. As part
of Moody's ongoing monitoring of a transaction, the agency
reviews the watchlist to assess which loans have material issues that
could affect performance.
No loans have been liquidated from the pool with a loss. No loans
are currently in special servicing.
Moody's has assumed a high default probability for two poorly performing
loans, constituting 6% of the pool, and has estimated
an aggregate loss of $7 million (a 15% expected loss based
on a 50% probability default) from these troubled loans.
Moody's received full year 2012 operating results for 100% of the
pool, and full or partial year 2013 operating results for 100%.
Moody's weighted average conduit LTV is 74%, compared
to 79% at Moody's last review. Moody's conduit
component excludes loans with structured credit assessments, defeased
and CTL loans, and specially serviced and troubled loans.
Moody's net cash flow (NCF) reflects a weighted average haircut
of 9% to the most recently available net operating income (NOI).
Moody's value reflects a weighted average capitalization rate of
9%.
Moody's actual and stressed conduit DSCRs are 1.66X and 1.36X,
respectively, compared to 1.61X and 1.30X at the last
review. Moody's actual DSCR is based on Moody's NCF
and the loan's actual debt service. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stress rate
the agency applied to the loan balance.
The loan with a structured credit assessment is the Liberty Mutual Headquarters
Loan ($47 million -- 6% of the pool), which is
secured by two inter-connected office buildings, totaling
426,900 square feet (SF) of net rentable area (NRA), located
within the Back Bay submarket of Boston, Massachusetts. The
buildings are 100% owned and occupied by the Liberty Mutual Insurance
Company (100% of NRA; lease expiration December 2024) for
over 50 years. Moody's structured credit assessment and stressed
DSCR are aaa (sca.pd) and 2.37X, respectively,
compared to aaa (sca.pd) and 2.34X at the last review.
The top three conduit loans represent 28% of the pool balance.
The largest loan is the Fashion Outlets of Niagara Falls Loan ($117
million -- 15% of the pool), which is secured
by a 525,663 SF fashion outlet center located in Niagara,
New York. The property is located approximately five miles east
of the Niagara Falls and the Canadian Border. As of December 2013,
the property reported comparable in-line sales of $543 per
square foot (PSF) compared to $583 the previous year, and
$487 at securitization. As of December 2013, the property
was 96% leased compared to 95% in March 2013. Moody's
LTV and stressed DSCR are 69% and 1.34X, respectively,
compared to 73% and 1.25X at the last review.
The second largest loan is the Scottsdale Quarter Ground Lease Loan ($66
million -- 8% of the pool), which is secured
by the fee simple interest in approximately 14.5 acres of ground
leased land located in Scottsdale, Arizona. The ground lease
has a term of 99 years and rental payments escalate annually based on
a negotiated schedule. The leased fee interest responsible for
the ground rent payments is represented by a 529,664 SF mixed-use
development. The sponsor is Glimcher Realty Trust. Moody's
LTV and stressed DSCR are 87% and 0.98X, respectively,
compared to 93% and 0.92X at the last review.
The third largest loan is the Left Bank Loan ($45 million --
6% of the pool), which is secured by a 282-unit multifamily
property located in Philadelphia, Pennsylvania. Improvements
also include approximately 110,036 SF of ground-level office
space and 10,853 SF of ground-level retail space.
As of February 2014, the property was 93% leased compared
to 97% in June 2013. Moody's LTV and stressed DSCR are 86%
and 1.09X, respectively, compared to 76% and
1.25X at the last review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions of the disclosure form.
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.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain 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 certain 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 certain 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.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Christopher R Bergman
Associate 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
Keith Banhazl
VP - Sr Credit Officer/Manager
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 Affirms Fourteen Classes of COMM 2010-C1
