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Rating Action:

Moody's assigns definitive ratings to CFCRE 2011-C1

28 Apr 2011

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)

RATINGS RATIONALE

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 debt.

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 is minimal.

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 April 2005.

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.

REGULATORY DISCLOSURES

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 Service information.

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.

New York
Jared Noordyk
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Nick Levidy
MD - Structured Finance
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's assigns definitive ratings to CFCRE 2011-C1
No Related Data.
© 2018 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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