Approximately $719.3 Million of Structured Securities Affected
New York, November 19, 2010 -- Moody's Investors Service has assigned definitive ratings to nine class
of CMBS securities, issued by WFCMT 2010-C1, Commercial
Mortgage Pass-Through Certificates, Series 2010-C1.
US$162M Cl. A-1 Certificate, Definitive Rating
Assigned Aaa (sf)
US$443.253M Cl. A-2 Certificate, Definitive
Rating Assigned Aaa (sf)
Cl. X-A Certificate, Definitive Rating Assigned Aaa
Cl. X-B Certificate, Definitive Rating Assigned Aaa
US$22.076M Cl. B Certificate, Definitive Rating
Assigned Aa2 (sf)
US$31.275M Cl. C Certificate, Definitive Rating
Assigned A2 (sf)
US$34.034M Cl. D Certificate, Definitive Rating
Assigned Baa3 (sf)
US$13.797M Cl. E Certificate, Definitive Rating
Assigned Ba2 (sf)
US$12.878M Cl. F Certificate, Definitive Rating
Assigned B2 (sf)
The Certificates are collateralized by 37 fixed rate loans secured by
59 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 inline with previously rated large loan transactions. However,
eight loans, representing 39.4% of the pool balance,
are secured by multiple properties. Loans secured by multiple properties
benefit from lower cash flow volatility given that excess cash flow from
one property can be used to augment another's cash flow to meet
debt service requirements. These loans also benefit from the pooling
of equity from each underlying property.
With respect to property level diversity, the pool's property
level Herfindahl Index is 35.0. The transaction is very
diverse at the property level relative to previously rated large loan
transactions and inline with previously rated conduit loan transactions.
Underlying property diversity is an important factor considered during
the ratings process. Moody's approach to rating the transaction
incorporated a blend of both Moody's conduit and Moody's large
loan rating methodologies.
The credit risk of loans are 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 Trust Stressed DSCR of 1.31X 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 80.6% 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 83.9%
is also considered when analyzing various stress scenarios for the rated
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions" 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 DSC 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%,
17%, or 30%, 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.
The special reports, "Updated Report on V Scores and Parameter Sensitivities
for Structured Finance Securities" and "V Scores and Parameter Sensitivities
in the U.S. CMBS Sector" are available on moodys.com.
Additional research, including the pre-sale report for this
transaction and reports for prior transactions, are available at
www.moodys.com. In addition, Moody's publishes
a weekly summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
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.
Vice President - Senior Analyst
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 Nine CMBS Classes of WFCMT 2010-C1
250 Greenwich Street
New York, NY 10007