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Rating Action:

Moody's Upgrades Two and Affirms Seven Classes of WFCM 2010-C1

26 May 2016

Approximately $614 Million of Structured Securities Affected

New York, May 26, 2016 -- Moody's Investors Service (Moody's) has upgraded the ratings of two classes and affirmed seven classes in Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Trust, Pass-Through Certificates, Series 2010-C1 as follows:

Cl. A-1 Certificate, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf)

Cl. A-2 Certificate, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf)

Cl. B Certificate, Upgraded to Aa1 (sf); previously on Jun 12, 2015 Affirmed Aa2 (sf)

Cl. C Certificate, Upgraded to A1 (sf); previously on Jun 12, 2015 Affirmed A2 (sf)

Cl. D Certificate, Affirmed Baa3 (sf); previously on Jun 12, 2015 Affirmed Baa3 (sf)

Cl. E Certificate, Affirmed Ba2 (sf); previously on Jun 12, 2015 Affirmed Ba2 (sf)

Cl. F Certificate, Affirmed B2 (sf); previously on Jun 12, 2015 Affirmed B2 (sf)

Cl. X-A Certificate, Affirmed Aaa (sf); previously on Jun 12, 2015 Affirmed Aaa (sf)

Cl. X-B Certificate, Affirmed Ba3 (sf); previously on Jun 12, 2015 Affirmed Ba3 (sf)

RATINGS RATIONALE

The ratings on the P&I classes were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization, as well as defeasance, which represents an increased share of the pool. The deal has paid down 7% since Moody's last review.

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 (or the weighted average rating factor or WARF) of the referenced classes is consistent with Moody's expectations.

Moody's rating action reflects a base expected loss of 0.9% of the current balance compared to 1.8% at Moody's last review. Moody's base expected loss plus realized losses is now 0.7% of the original pooled balance, compared to 1.6% 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 December 2014, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS " published in October 2015. Please see the Ratings Methodologies 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 12, compared to 14 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 17, 2016 distribution date, the transaction's aggregate certificate balance has decreased by 14% to $630 million from $736 million at securitization. The certificates are collateralized by 35 mortgage loans ranging in size from less than 1% to 20% of the pool, with the top ten loans (excluding defeasance) constituting 61% of the pool. Three loans, constituting 32% of the pool, have investment-grade structured credit assessments. Four loans, constituting 11% of the pool, have defeased and are secured by US government securities.

Three loans, constituting 9% 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.

There is one loan in special servicing. The specially serviced loan is secured by a 75,000 square foot retail property in Dade City, Florida and represents less than 1% of the pool. Moody's analysis incorporates a high loss severity for this loan.

Moody's received full year 2014 operating results for 100% of the pool, and full or partial year 2015 operating results for 93% of the pool. Moody's weighted average conduit LTV is 73%, unchanged from 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 7.5% 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 1.67X and 1.46X, respectively, compared to 1.75X and 1.54X 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 ($125 million -- 20% 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, three properties were released from the portfolio and defeased. The loan metrics benefit from amortization. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.64X, respectively.

The second largest loan with a structured credit assessment is the Salmon Run Mall Loan ($49 million -- 8% 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 97% leased as of year-end 2015, compared to 95% leased the prior year. The loan benefits from amortization. Moody's structured credit assessment and stressed DSCR are a3 (sca.pd) and 1.64X, respectively.

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 100% leased as of March 2016. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 2.04X, respectively.

The top three performing conduit loans represent 17% of the pool balance. The largest loan is the Polaris Town Center Loan ($43 million -- 7% 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 99% leased as of year-end 2015, essentially unchanged from the three prior reviews. The loan benefits from amortization. Moody's LTV and stressed DSCR are 61% and 1.59X, respectively, compared to 62% and 1.56X 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. The properties were 84% leased as of March 2016, compared to 80% leased one year prior. Moody's LTV and stressed DSCR are 107% and 0.96X, respectively, compared to 109% and 0.95X at the last review.

The third largest loan is the Pepper Square I & II and Central Forest Shopping Center Loan ($29 million -- 5% of the pool). The loan is secured by two retail properties located in Dallas, Texas. The properties were 82% leased as of year-end 2015, compared to 86% the prior year. The loan benefits from amortization. Moody's LTV and stressed DSCR are 91% and, 1.15X, respectively, compared to 83% and 1.27X 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 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.

Wesley Flamer-Binion
Asst Vice President - 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
Associate Managing Director
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 and Affirms Seven Classes of WFCM 2010-C1
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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