Approximately $663 Million of Structured Securities Affected
New York, June 12, 2015 -- Moody's Investors Service (Moody's) has affirmed nine classes in Wells
Fargo Commercial Mortgage Trust, Commercial Mortgage Trust,
Pass-Through Certificates, Series 2010-C1 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on Jun
27, 2014 Affirmed Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on Jun
27, 2014 Affirmed Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jun 27,
2014 Affirmed Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Jun 27,
2014 Affirmed A2 (sf)
Cl. D, Affirmed Baa3 (sf); previously on Jun 27,
2014 Affirmed Baa3 (sf)
Cl. E, Affirmed Ba2 (sf); previously on Jun 27,
2014 Affirmed Ba2 (sf)
Cl. F, Affirmed B2 (sf); previously on Jun 27,
2014 Affirmed B2 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jun
27, 2014 Affirmed Aaa (sf)
Cl. X-B, Affirmed Ba3 (sf); previously on Jun
27, 2014 Affirmed Ba3 (sf)
RATINGS RATIONALE
The ratings on the 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 IO classes were affirmed because the credit performance
of the referenced classes is consistent with Moody's expectations.
Moody's rating action reflects a base expected loss of 1.8%
of the current balance compared to 1.9% at Moody's
last review. Moody's base expected loss plus realized losses is
now 1.6% of the original pooled balance, compared
to 1.8% 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://www.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 "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in December 2014, 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,
which it uses for both conduit and fusion transactions. Credit
enhancement levels for conduit loans 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). Moody's fuses the conduit
results with the results of its analysis of investment grade structured
credit assessed loans and any conduit loan that represents 10%
or greater of the current pool balance.
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 14,
compared to 11 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based
Large Loan Model 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 15, 2015 distribution date, the transaction's
aggregate certificate balance has decreased by 8% to $679
million from $736 million at securitization. The certificates
are collateralized by 37 mortgage loans ranging in size from less than
1% to 19% of the pool, with the top ten loans (excluding
defeasance) constituting 58% of the pool. Three loans,
constituting 30% of the pool, have investment-grade
structured credit assessments. Two loans, constituting 8%
of the pool, are defeased and are secured by US government securities.
Four loans, constituting 12% 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.
One loan is currently in special servicing. The specially serviced
loan is Morningside Plaza ($4 million -- less than 1%
of the pool), which is secured by a former grocery-anchored
retail center in Dade City, Florida. The loan transferred
to special servicing in December 2014 for payment default following the
departure of the former grocer anchor tenant. Property occupancy
was 37% as of year-end 2014. The servicer is pursuing
foreclosure. A January 2015 appraisal valued the property at $2.65
million. Moody's analysis incorporates an elevated loss estimate
for this loan.
Moody's has also assumed a high default probability for one poorly
performing loan, constituting 1% of the pool.
Moody's received full year 2013 operating results for 100% of the
pool, and full or partial year 2014 operating results for 85%
of the pool. Moody's weighted average conduit LTV is 73%,
compared to 77% 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 10.0% to the most recently available net operating income
(NOI). Moody's value reflects a weighted average capitalization
rate of 9.6%.
Moody's actual and stressed conduit DSCRs are 1.75X and 1.54X,
respectively, compared to 1.68X and 1.44X 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 largest loan with a structured credit assessment is the Dividend Capital
Portfolio Loan ($128 million -- 19% of the pool).
The loan is secured by a portfolio of 11 single tenant, triple-net
leased properties located across several US states. Originally
the portfolio contained 14 properties, however, since our
last review three properties were released from the portfolio and defeased.
Moody's structured credit assessment and stressed DSCR are baa2 (sca.pd)
and 1.71X, respectively, compared to baa3 and 1.47X
at the last review.
The second largest loan with a structured credit assessment is the Salmon
Run Mall Loan ($51 million -- 7% of the pool),
which is secured by a regional mall in Watertown, New York.
The mall anchors are Sears, BonTon, Dick's Sporting
Goods, Burlington Coat Factory, and Best Buy. The mall
was 95% leased as of year-end 2014, unchanged from
Moody's last review. Moody's structured credit assessment
and stressed DSCR are a3 (sca.pd) and 1.63X, respectively,
compared to a3 (sca.pd) and 1.59X at the last review.
The third loan with a structured credit assessment is the 19 West 34th
Street Loan ($25 million -- 4% of the pool).
The loan is secured by an office property with a retail component located
in Midtown Manhattan. The property was 79% leased as of
September 2014, compared to 80% the prior year. Moody's
structured credit assessment and stressed DSCR are aa2 (sca.pd)
and 1.87X, respectively, unchanged from the last review.
The Radisson Reagan National Airport Loan ($18.9 million
-- 3% of the pool) at Moody's last review carried a
structured credit assessment of baa3 (sca.pd). The structured
credit assessment has been removed due to a decline in credit performance.
The top three performing conduit loans represent 16% of the pool
balance. The largest loan is the Polaris Town Center Loan ($43
million -- 6% of the pool), which is secured by a collateral
portion of a 700,000 square foot power center located in Columbus,
Ohio. The center is located near Polaris Fashion Place, a
regional mall. The subject property anchors include Kroger,
Best Buy, Big Lots, and TJ Maxx. The property was 98%
leased as of year-end 2014, essentially unchanged from the
two prior reviews. The loan benefits from amortization.
Moody's LTV and stressed DSCR are 62% and 1.56X, respectively,
compared to 63% and 1.54X at prior review.
The second largest loan is the First Tennessee and Cedar Ridge Loan ($34
million -- 5% of the pool). The loan is secured by
two office properties in the Louisville, Kentucky area. The
largest property is First Tennessee Plaza, a 27-story office
tower in downtown Louisville. The second property, Cedar
Ridge, is a smaller suburban office property. Two of the
three largest tenants, together representing 24% of the portfolio's
net rentable area (NRA), recently signed ten-year lease extensions.
Moody's LTV and stressed DSCR are 109% and 0.95X,
respectively, compared to 110% and 0.93X at the last
review.
The third largest loan is the Pepper Square I & II and Central Forest
Shopping Center Loan ($29 million -- 4% of the pool).
The loan is secured by two retail properties located in Dallas,
Texas. The properties were 86% leased as of year-end
2014, compared to 78% leased as of March 2014, and
81% leased at Moody's second-prior review.
Two of the largest tenants, Hobby Lobby, and Bally's
Total Fitness, have leases expiring in November 2016. The
loan is on the watchlist for deferred maintenance issues. The loan
benefits from amortization. Moody's LTV and stressed DSCR are 83%
and, 1.27X, respectively, compared to 84%
and 1.26X 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.
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.
Wesley Flamer-Binion
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
Annelise Osborne
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 Nine Classes of WFCM 2010-C1
