Approximately $839.5 Million of Structured Securities Affected
New York, October 12, 2010 -- Moody's Investors Service has assigned provisional to ratings thirteen
class of CMBS securities, issued by COMM 2010-C1 Mortgage
Trust, Commercial Mortgage Pass-Through Certificates,
US$453.206M Cl. A1 Certificate, Assigned (P)Aaa
US$75.089M Cl. A2 Certificate, Assigned (P)Aaa
US$179.498M Cl. A3 Certificate, Assigned (P)Aaa
Cl. XP-A Certificate, Assigned (P)Aaa (sf)
Cl. XS-A Certificate, Assigned (P)Aaa (sf)
Cl. XW-A Certificate, Assigned (P)Aaa (sf)
Cl. XW-B Certificate, Assigned (P)Aaa (sf)
US$24.628M Cl. B Certificate, Assigned (P)Aa2
US$28.911M Cl. C Certificate, Assigned (P)A2
US$44.973M Cl. D Certificate, Assigned (P)Baa3
US$7.496M Cl. E Certificate, Assigned (P)Ba2
US$12.849M Cl. F Certificate, Assigned (P)B1
US$12.85M Cl. G Certificate, Assigned (P)B3
The Certificates are collateralized by 42 fixed rate loans secured by
63 properties. The ratings are based on the collateral and the
structure of the transaction.
Moody's CMBS ratings methodology combines both commercial real estate
and structured finance analysis. Based on commercial real estate
analysis, Moody's determines the credit quality of each mortgage
loan and calculates an expected loss on a loan specific basis.
Under structured finance, the credit enhancement for each certificate
typically depends on the expected frequency, severity, and
timing of future losses. Moody's also considers a range of qualitative
issues as well as the transaction's structural and legal aspects.
The transaction is concentrated relative to previously rated conduit transactions
but more diverse than previously rated large loan transactions.
Moody's approach to rating the deal incorporated a blend of both
Moody's conduit and large loan rating methodologies.
The credit risk of each underlying loan is determined primarily by two
factors: 1) Moody's assessment of the probability of default,
which is largely driven by each loan's DSCR, and 2) Moody's
assessment of the severity of loss in the event of default, which
is largely driven by each loan's LTV ratio. The Moody's
Trust Stressed DSCR of 1.25X is lower than the 2007 large loan
transaction average of 1.63X, but higher than the 2007 conduit
transaction average of 0.89X. Moody's Trust LTV ratio
of 83.1% is lower than the 2007 conduit transaction average
of 113.9%, but higher than the 2007 large loan transaction
average of 68.5%. Moody's Total LTV ratio (inclusive
of subordinated debt) of 86.8% is also considered when analyzing
various stress scenarios for the rated debt.
The transaction benefits from one loan, identified as Liberty Mutual
Headquarters, being assigned a credit estimate of Aaa. The
loan is the third largest asset in the transaction, representing
approximately 5.8% of the pool balance. Loans assigned
credit estimates of Aaa are not expected to contribute any loss to a transaction.
However, Moody's also considers the creditworthiness of loans
when evaluating the effects of pooling amongst portfolio assets.
Generally, Aaa quality loans neither benefit nor harm the diversity
profile of a pool. Excluding Liberty Mutual Headquarters,
the loan level Herfindahl score for the pool is 18.
Property type composition and correlations also affect transaction performance.
Loans collateralized solely, or in part, by retail properties
represent 60.2% of the pool. Despite a challenging
retail environment, the loans collateralized by retail properties
experienced low historical net operating income volatility. However,
property type concentrations increase asset correlations which affect
pool default and loss distributions. Loans collateralized solely,
or in part, by office properties represent 38.0% of
the pool. Historically, office properties have experienced
a high degree of net operating income volatility compared to other commercial
real estate sectors.
The principal methodology used in rating COMM 2010-C1Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 2010-C1
was "CMBS: Moody's Approach to Rating Fusion Transactions" rating
methodology published in April 2005. Other methodologies and factors
that may have been considered in the process of rating this issuer can
also be found on Moody's website.
Moody's analysis employs the excel-based CMBS Conduit Model v2.50
which derives credit enhancement levels based on an aggregation of adjusted
loan level proceeds derived from Moody's loan level DSCR and LTV ratios.
Major adjustments to determining proceeds include loan structure,
property type, sponsorship and diversity.
The V Score for this transaction is assessed as Medium, the same
as the V score assigned to the U.S. Conduit and CMBS sector.
This reflects typical volatility with respect to the critical assumptions
used in the rating process as well as an average disclosure of securitization
collateral and ongoing performance.
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5%,
15%, or 23%, the model-indicated rating
for the currently rated Aaa classes would be Aa1, Aa3, A1,
respectively. Parameter Sensitivities are not intended to measure
how the rating of the security might migrate over time; rather they
are designed to provide a quantitative calculation of how the initial
rating might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could vary from
the information presented in the Parameter Sensitivity analysis.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Moody's considers the quality of information available on the issuer or
obligation satisfactory for the purposes of assigning 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
MD - Structured Finance
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Assigns Provisional Ratings to Thirteen CMBS Classes of COMM 2010-C1
250 Greenwich Street
New York, NY 10007