Approximately $216.4 Million of Structured Securities Affected
New York, January 12, 2018 -- Moody's Investors Service, ("Moody's") has
affirmed the ratings on seven classes in CFCRE Commercial Mortgage Trust,
Commercial Pass-Through Certificates, Series 2011-C1
as follows:
Cl. A-4, Affirmed Aaa (sf); previously on Jan
13, 2017 Affirmed Aaa (sf)
Cl. B, Affirmed Aa2 (sf); previously on Jan 13,
2017 Affirmed Aa2 (sf)
Cl. C, Affirmed A2 (sf); previously on Jan 13,
2017 Affirmed A2 (sf)
Cl. D, Affirmed Ba1 (sf); previously on Jan 13,
2017 Downgraded to Ba1 (sf)
Cl. E, Affirmed Ca (sf); previously on Jan 13,
2017 Downgraded to Ca (sf)
Cl. X-A, Affirmed Aaa (sf); previously on Jan
13, 2017 Affirmed Aaa (sf)
Cl. X-B, Affirmed Ca (sf); previously on Jun
9, 2017 Downgraded to Ca (sf)
RATINGS RATIONALE
The ratings on four P&I classes, Classes A-4, B,
C and D, 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 rating on the P&I class, Class E, was affirmed because
the ratings are consistent with Moody's expected loss plus realized
losses.
The ratings on the IO classes, Classes X-A and X-B,
were affirmed based on the credit quality of the referenced classes.
Moody's rating action reflects a base expected loss of 1.9%
of the current pooled balance, compared to 17.4% at
Moody's last review (The Hudson Valley Mall Loan paid down at a
loss since last review). Moody's base expected loss plus realized
losses is now 7% of the original pooled balance, compared
to 7.6% 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 RATINGS:
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 these ratings were "Approach to Rating US and
Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017. The methodologies used in rating Cl.
X-A and Cl. X-B were "Approach to Rating US and Canadian
Conduit/Fusion CMBS" published in July 2017, "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017, and "Moody's Approach to Rating
Structured Finance Interest-Only (IO) Securities" published
in June 2017. Please see the Rating Methodologies page on www.moodys.com
for a copy of these methodologies.
DEAL PERFORMANCE
As of the December 15, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 65.9% to
$216.4 million from $634.5 million at securitization.
The certificates are collateralized by 20 mortgage loans ranging in size
from less than 1% to 11% of the pool, with the top
ten loans (excluding defeasance) constituting 63% of the pool.
Three loans, constituting 18.7% of the pool,
have defeased and are secured by US government securities.
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 13,
the same as at Moody's last review.
Three loans, constituting 10.2% 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.
One loan has been liquidated from the pool, resulting in an aggregate
realized loss of $40.6 million (for an average loss severity
of 80.4%). There are currently no loans in special
servicing.
Moody's received full year 2016 operating results for 100% of the
pool, and full or partial year 2017 operating results for 80%
of the pool (excluding specially serviced and defeased loans).
Moody's weighted average conduit LTV is 86.8%,
compared to 84.6% 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 15.2% to the most recently available net operating income
(NOI). Moody's value reflects a weighted average capitalization
rate of 9.38%.
Moody's actual and stressed conduit DSCRs are 1.35X and 1.19X,
respectively, compared to 1.43X and 1.23X 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 top three conduit loans represent 26.4% of the pool
balance. The largest loan is the Santa Fe Retail Portfolio Loan
($23.7 million -- 11% of the pool),
which is secured by a seven property portfolio located in Santa Fe,
New Mexico. The portfolio consists of six retail and one office
building totaling 189,000 square feet (SF). The office component
is 12,500 SF and comprises 6% of the allocated balance.
The majority of the retail tenants are galleries or art related.
As of June 2017, the portfolio was 96% leased, compared
to 95% leased as of June 2016. Moody's LTV and stressed
DSCR are 96.1% and 1.07X, respectively,
compared to 97.3% and 1.06X at the last review.
The second largest loan is the Walker Center Loan ($17.4
million -- 8% of the pool), which is secured
by a 154,000 SF office building located in the central business
district of Salt Lake City, Utah. As per the September 2017
rent roll, the property was 86% leased, compared to
88% leased as of June 2016. Moody's LTV and stressed DSCR
are 89.8% and 1.17X, respectively, compared
to 89.5% and 1.18X at the last review.
The third largest loan is the Heights at McArthur Park Loan ($16
million -- 7.4% of the pool), which is secured
by a 216-unit garden-style apartment complex located near
Fort Bragg and Pope Air Force Base in Fayetteville, North Carolina.
As per the November 2017 rent roll the property was 92% leased,
compared to 87% leased as of June 2016, and 80% leased
as of February 2016. The net operating income (NOI) dropped in
2015 and 2016 due in part to lower occupancy. The loan remains
on the watchlist as the DSCR is below the 1.10X threshold.
Due to the low DSCR, Moody's has identified this loan as a troubled
loan.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
Ruby Kaur
Associate Lead Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Gregory Reed
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
