Approximately $615.5 Million of Structured Securities Affected
New York, April 28, 2011 -- Moody's Investors Service has assigned definitive ratings to 12 classes
of CMBS securities, issued by CFCRE Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates Series 2011-C1.
Cl. A-1, Definitive Rating Assigned Aaa (sf)
Cl. A-2, Definitive Rating Assigned Aaa (sf)
Cl. A-3, Definitive Rating Assigned Aaa (sf)
Cl. A-4, Definitive Rating Assigned Aaa (sf)
Cl. X-A, Definitive Rating Assigned Aaa (sf)
Cl. X-B, Definitive Rating Assigned Aaa (sf)
Cl. B, Definitive Rating Assigned Aa2 (sf)
Cl. C, Definitive Rating Assigned A2 (sf)
Cl. D, Definitive Rating Assigned Baa1 (sf)
Cl. E, Definitive Rating Assigned Baa3 (sf)
Cl. F, Definitive Rating Assigned Ba2 (sf)
Cl. G, Definitive Rating Assigned B2 (sf)
The Certificates are collateralized by 38 fixed rate loans secured by
67 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 credit risk of loans 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 upon a default, which is largely
driven by each loan's LTV ratio. The Moody's Actual
DSCR of 1.42X is higher than the 2007 conduit/fusion transaction
average of 1.31X. The Moody's Stressed DSCR of 1.06X
is higher than the 2007 conduit/fusion transaction average of 0.92X.
Moody's Trust LTV ratio of 93.4 % is lower than the
2007 conduit/fusion transaction average of 110.6%.
Moody's Total LTV ratio (inclusive of subordinated debt) of 94.4%
is also considered when analyzing various stress scenarios for the rated
Moody's also considers both loan level diversity and property level
diversity when selecting a ratings approach. With respect to loan
level diversity, the pool's loan level Herfindahl score is
20. With respect to property level diversity, the pool's
property level Herfindahl score is 35. The transaction's
property diversity profile is within the band of Herfindahl scores found
in previously rated conduit and fusion securitizations.
Three loans representing 27.1% of the pool balance consist
of office property portfolios leased through the General Services Administration
(GSA) to the United States federal government, rated Aaa (senior
unsecured), on behalf of 11 different agencies. The three
GSA portfolios are geographically diverse as the properties are located
in 11 different states. Fifteen of the 17 properties were constructed
from 2007-2009 and all were built to suit for their specific agency.
The GSA leases expire, on average, seven years beyond their
respective loan maturity dates, while lease termination options
(for nine properties) occur, on average, three years beyond
their respective loan maturity dates. However, according
to the GSA's Annual Lease Turnover Analysis (2001-2010),
the GSA has historically elected to terminate less than 1.4%
of GSA-leased square footage prior to lease expiration.
Due to the strong credit quality of the GSA and their respective lease
expiration schedules, the expected loss associated with these loans
The transaction contains the largest concentration of multifamily properties
within a multi-borrower deal rated by Moody's since 2009
(excluding Freddie Mac transactions). Loans representing 23.8%
of the pool balance are secured by multifamily properties (22.0%)
or manufactured housing communities (1.8%). Moody's
considers multifamily properties to exhibit low performance volatility
relative to other commercial real estate sectors. Multifamily properties
also historically exhibit the lowest severity given default.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions" rating methodology published in
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, which is
above the Low/Medium V score assigned to the U.S. Conduit
and CMBS sector. This is the first CMBS securitization from the
issuer, so limited historical data and performance variability statistics
are available. Disclosure of securitization collateral and ongoing
performance are in line with the overall CMBS sector.
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%,
14%, or 23%, the model-indicated rating
for the currently rated Aaa classes would be Aa1, Aa2, 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 Investors Service 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 definitive ratings to CFCRE 2011-C1
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New York, NY 10007