Approximately $300.8 Million of Structured Securities Affected
New York, August 09, 2012 -- Moody's Investors Service upgraded the ratings of two CMBS classes
and affirmed the ratings of four CMBS classes of RBS Commercial Funding
Inc. Commercial Pass-Through Certificates, Series
2010-MB1 as follows:
Cl. A-1, Affirmed at Aaa (sf); previously on
Apr 23, 2010 Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on
Apr 23, 2010 Definitive Rating Assigned Aaa (sf)
Cl. B, Upgraded to Aa1 (sf); previously on Apr 23,
2010 Definitive Rating Assigned Aa2 (sf)
Cl. C, Upgraded to A1 (sf); previously on Apr 23,
2010 Definitive Rating Assigned A2 (sf)
Cl. D, Affirmed at Baa3 (sf); previously on Apr 23,
2010 Definitive Rating Assigned Baa3 (sf)
Cl. X, Affirmed at Aa1 (sf); previously on Feb 22,
2012 Downgraded to Aa1 (sf)
RATINGS RATIONALE
The upgrades are due to a reduction in expected loss resulting from the
defeasance of the Four New York Plaza Loan, the second largest loan
in the pool. The affirmations are due to key parameters,
including Moody's loan to value (LTV) ratio and Moody's stressed debt
service coverage ratio (DSCR) remaining within acceptable ranges.
The rating of the IO Class, Class X, is consistent with the
expected credit performance of its referenced classes and thus is affirmed.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these expectations.
Performance that falls outside an acceptable range of the key parameters
may indicate that the collateral's credit quality is stronger or weaker
than Moody's had anticipated during the current review. Even so,
deviation from the expected range will not necessarily result in a rating
action. There may be mitigating or offsetting factors to an improvement
or decline in collateral performance, such as increased subordination
levels due to amortization and loan payoffs or a decline in subordination
due to realized losses.
Primary sources of assumption uncertainty are the extent of growth in
the current macroeconomic environment and commercial real estate property
markets. While commercial real estate property values are beginning
to move in a positive direction along with a rise in investment activity
and stabilization in core property type performance, a consistent
upward trend will not be evident until the volume of investment activity
steadily increases, distressed properties are cleared from the pipeline,
and job creation rebounds. The hotel sector is performing strongly
and the multifamily sector continues to show increases in demand.
Moderate improvements in the office sector continue with minimal additions
to supply. However, office demand is closely tied to employment,
where growth remains slow. Performance in the retail sector has
been mixed with lackluster sales driven by discounting and promotions.
However, rising wages and reduced unemployment, along with
increased consumer confidence, is helping to spur consumer spending.
Across all property sectors, the availability of debt capital continues
to improve with increased securitization activity of commercial real estate
loans supported by a monetary policy of low interest rates. Moody's
central global macroeconomic scenario reflects healthier growth in the
US and US growth decoupling from the recessionary trend in the euro zone,
while a mild recession is expected in 2012. Downside risks remain
significant, although they have moderated compared to earlier this
year. Major downside risks include an increase in the potential
magnitude of the euro area recession, the risk of an oil supply
shock weighing negatively on consumer purchasing power and home prices,
ongoing and policy-induced banking sector deleveraging leading
to a tightening of bank lending standards and credit contraction,
financial market turmoil continuing to negatively impact consumer and
business confidence, persistently high unemployment levels,
and weak housing markets, any or all of which will continue to constrain
growth.
The methodologies used in this rating were "Moody's Approach to Rating
CMBS Large Loan/Single Borrower Transactions" published in July 2000,
and "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in February 2012. Please see the Credit Policy
page on www.moodys.com for a copy of these methodologies.
Moody's review incorporated the use of the excel-based Large Loan
Model v 8.4. 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. The model includes the CMBS IO
calculator ver1.0, which uses the following inputs to calculate
the proposed IO rating based on the published methodology: original
and current bond ratings and assessments; original and current bond
balances grossed up for losses for all bonds the IO(s) reference(s) within
the transaction; and IO type corresponding to an IO type as defined
in the published methodology. The calculator then returns a calculated
IO rating based on both a target and mid-point. For example,
a target rating basis for a Baa3 (sf) rating is a 610 rating factor.
The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e.
the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf)
rating factor of 940). If the calculated IO rating factor is 700,
the CMBS IO calculator ver1.0 would provide both a Baa3 (sf) and
Ba1 (sf) IO indication for consideration by the rating committee.
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 a review utilizing MOST®
(Moody's Surveillance Trends) Reports and Remittance Statements.
On a periodic basis, Moody's also performs a full transaction review
that involves a rating committee and a press release. Moody's prior
transaction review is summarized in a press release dated March 28,
2012. Please see the ratings tab on the issuer / entity page on
moodys.com for the last rating action and the ratings history.
DEAL PERFORMANCE
As of the July 17, 2012 Payment Date, the transaction's
certificate balance has decreased by 2.9% to $300.8
million from $309.7 million at securitization due to scheduled
amortization for five loans representing 76% of the pooled balance.
The certificates are collateralized by six fixed-rate loans ranging
in size from 9% to 25% of the pooled balance. The
mortgage collateral for the second largest loan, the Four New York
Plaza Loan representing 24% of the pooled balance, has been
replaced with defeasance collateral.
The pool has not experienced a loss and there are no loans in special
servicing. Two loans representing 32% of the pooled balance
are on the master servicer's watch list for deferred maintenance.
The servicer has notified the borrower to have these items repaired.
Watch listed loans are loans which meet certain portfolio review guidelines
established as part of the CRE Financial Council (CREFC) monthly reporting
package.
Moody's weighted average loan to value (LTV) ratio for the total pool
is 63%, compared to 64% at last review. Moody's
debt service coverage ratio (DSCR) is 1.60X, compared to
1.55X at last review.
The largest loan is the South Plains Mall Loan ($74.8 million
-- 25% of the pooled balance) secured by a 1.0
million square foot dominant regional retail mall located in Lubbock,
Texas. It is the only enclosed regional mall with traditional anchor
stores in its 100-mile trade area. As of the March 2012
rent roll in-line mall space was 86% leased, compared
to 82% at securitization. The mall has five anchors including
JC Penney, Dillard's Store for Men and Children, Dillard's
Store for Women, Sears and Beall's. Sears is anchor owned
and is therefore not part of the loan collateral. A vacant anchor
that was formerly occupied by Mervyn's is expected to be occupied by a
16-screen Premiere Cinemas movie theater by summer 2012.
In-line comparable sales for the trailing 12-month period
ending in May 2012 were $453 per square foot, compared to
$385 per square foot at securitization. The fixed-rate
loan amortizes on a 30-year schedule and matures in April 2015.
Total debt includes a mezzanine loan with an outstanding principal balance
of approximately $27 million. Moody's loan to value (LTV)
ratio is 60%, compared to 64% at securitization.
Moody's current credit assessment is Baa1, compared to Baa2 at securitization.
The CCPT Retail Portfolio III Loan ($62.4 million --
21%) is secured by 53 retail properties containing a total of 827,316
net rentable square feet (NRA). All of the properties are cross-collateralized
and cross-defaulted and each is 100% leased by a single
tenant. There are eight tenants occupying the properties and no
tenant leases expire during the loan term. The largest tenant is
Academy Sports (31% of NRA in 3 properties), followed by
Aaron's (29% in 24 properties) and Walgreens (14% in eight
properties). The portfolio is located across 20 states with 77%
of NRA in five states -- Texas (48%), Louisiana
(15%), Indiana (6%), Nebraska (4%) and
Illinois (4%). Lease expirations range from 2022 to 2035.
The fixed-rate loan amortizes on a 30-year schedule and
matures in April 2015. Total debt includes a mezzanine loan with
an outstanding principal balance of approximately $10.0
million. Moody's LTV for the trust debt is 64%, compared
to 66% at securitization. Moody's credit assessment is Baa1,
compared to Baa2 at securitization.
The CCPT Retail Portfolio I Loan ($34.3 million --
11%) is secured by 22 retail properties containing a total of 598,847
net rentable square feet (NRA). All of the properties are cross-collateralized
and cross-defaulted and each is 100% leased by a single
tenant. There are eight tenants occupying the properties.
Nine leases, representing 47% of the NRA and accounting for
35% of the in-place base rent, expire during the loan
term. The two largest tenants, as a percentage of total base
rent, are Lowe's (2 properties) and Rite Aid (6 properties)
that combined contribute 50% of total base rent. The portfolio
is located in 11 states. Six properties with 39% of total
NRA are located in Texas and one property is located in Arkansas (21%
of total NRA). The fixed-rate loan amortizes on a 30-year
schedule and matures in April 2015. Total debt includes a mezzanine
loan with an outstanding principal balance of approximately $16.0
million. Moody's LTV for the trust debt is 63%,
compared to 65% at securitization. Moody's credit
assessment is Baa2, the same as at securitization.
REGULATORY DISCLOSURES
The Global Scale Credit Ratings on this press release that are issued
by one of Moody's affiliates outside the EU are endorsed by Moody's
Investors Service Ltd., One Canada Square, Canary Wharf,
London E 14 5FA, UK, in accordance with Art.4 paragraph
3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies.
Further information on the EU endorsement status and on the Moody's
office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
Information sources used to prepare the rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's
Investors Service information.
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.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a 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 the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 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.
Jay Rosen
Vice President - Senior 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
Michael Gerdes
MD - Structured Finance
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 Upgrades Two CMBS Classes of RBS Commercial Funding Inc. Series 2010-MB1
