Rating Action: Moody’s affirms three and downgrades three classes of CFCRE 2011-C2Global Credit Research – 15 Feb 2022Approximately $67.6 million of structured securities affectedNew York, February 15, 2022 — Moody’s Investors Service, (“Moody’s”) has affirmed the ratings on three classes and downgraded the ratings on three classes in CFCRE Commercial Mortgage Trust 2011-C2, Commercial Mortgage Pass-Through Certificates Series 2011-C2, as follows:Cl. C, Affirmed Aa2 (sf); previously on Oct 26, 2021 Affirmed Aa2 (sf)Cl. D, Downgraded to Ba3 (sf); previously on Oct 26, 2021 Downgraded to Ba1 (sf)Cl. E, Downgraded to Caa2 (sf); previously on Oct 26, 2021 Downgraded to B3 (sf)Cl. F, Downgraded to C (sf); previously on Oct 26, 2021 Downgraded to Caa3 (sf)Cl. G, Affirmed C (sf); previously on Oct 26, 2021 Downgraded to C (sf)Cl. X-B*, Affirmed Ca (sf); previously on Oct 26, 2021 Downgraded to Ca (sf)* Reflects Interest Only ClassesRATINGS RATIONALEThe rating on one P&I class was affirmed because of its credit support and the transaction’s key metrics, including Moody’s loan-to-value (LTV) ratio, Moody’s stressed debt service coverage ratio (DSCR) are within acceptable ranges.The ratings on three P&I classes were downgraded due to increased risk of losses and interest shortfalls driven primarily by the significant exposure to the RiverTown Crossings Mall (90% of the pool). The loan is in special servicing and has passed its original maturity date in June 2020. While the asset maintains a positive NOI DSCR, the rating action reflects the increased risk of interest shortfalls and potential losses if the loan continues to be delinquent on debt service payments.The rating on one P&I class was affirmed because it is consistent with Moody’s expected loss plus realized losses.The rating on the IO class X-B was affirmed based on the credit quality of its referenced classes. The IO Class references all P&I classes including Class NR, which is not rated by Moody’s.Today’s action has considered how the coronavirus pandemic has reshaped the US economic environment and the way its aftershocks will continue to reverberate and influence the performance of commercial real estate. We expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary.We regard the coronavirus outbreak as a social risk under our ESG framework, given the substantial implications for public health and safety.Moody’s rating action reflects a base expected loss of 51.4% of the current pooled balance, compared to 40.0% at Moody’s last review. Moody’s base expected loss plus realized losses is now 6.4% of the original pooled balance, compared to 5.0% 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. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions.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, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls.METHODOLOGY UNDERLYING THE RATING ACTIONThe principal methodology used in rating all classes except interest-only classes was “Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology” published in November 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1250766. The methodologies used in rating interest-only classes were “Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology” published in November 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1250766 and “Moody’s Approach to Rating Structured Finance Interest-Only (IO) Securities” published in February 2019 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179. Please see the list of ratings at the top of this announcement to identify which classes are interest-only (indicated by the *). Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of these methodologies.Moody’s analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 90% of the pool is in special servicing. In this approach, Moody’s determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker’s opinions of value (if available), other information from the special servicer, available market data and Moody’s internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody’s then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes.DEAL PERFORMANCEAs of the January 18, 2022 distribution date, the transaction’s aggregate certificate balance has decreased by 88% to $92.6 million from $774.1 million at securitization. The certificates are collateralized by two mortgage loans representing 10% and 90% of the pool, respectively.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 one, the same as at Moody’s last review.As of the January 2022 remittance report, loans representing 100% of the pool were past their maturity dates.One loan, constituting 10% of the pool, is 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.One loan has been liquidated from the pool, resulting in an aggregate realized loss of $2 million (for an average loss severity of 29%). One loan is currently in special servicing. The specially serviced loan is the RiverTown Crossings Mall Loan ($83.6 million — 90.3% of the pool), which represents a pari-passu portion of a $129.7 million mortgage loan. The loan is secured by an approximately 635,800 square feet (SF) portion of a 1.2 million SF regional mall located in Grandville, Michigan. The property was built in 2000 and is anchored by Macy’s, Kohl’s, J.C. Penney, Dick’s Sporting Goods and Celebration Cinemas. The sponsor purchased a vacant, former non-collateral Younkers (closed 2018) anchor box (150,081 SF) in 2019 for $4.4 million. There was also a former non-collateral Sears which closed in January 2021. The only collateral anchors are Dick’s Sporting Goods and Celebration Cinemas, and both tenants have renewed their leases in early 2020 for an additional five years. As of September 2021, the collateral and inline occupancy were 80% and 79%, respectively, compared to an in-line occupancy of 86% in June 2021 and 88% in March 2020. As of year-end 2020, comparable in-line sales (less than 10,000 SF) were $309 PSF, compared to $382 PSF for the year ending December 2019. While property performance generally improved through 2016, it has since declined primarily due to lower rental revenues. The year-end 2019 NOI was 12% lower than in 2018 but remained 3% higher than underwritten levels. The mall re-opened in June 2020 after a temporary closure as a result of the coronavirus outbreak. The loan transferred to special servicing in October 2020 due to imminent monetary default and failed to pay off at its maturity date in June 2021. Cash management is in place and the borrower and special servicer are discussing a potential loan modification or deed-in-lieu of foreclosure. The loan has amortized 16% since securitization and is last paid through its November 2021 payment date.The remaining non-specially serviced loan represents 10% of the pool balance. The loan is the Fairfax Ridge Loan ($9.0 million — 9.7% of the pool), which is secured by four-story, Class B+, 66,812 SF office building, located in Fairfax, Virginia, approximately 15 miles from downtown Washington, D.C. The property was 100% leased to two tenants as of September 2021. The borrower was not able to payoff the loan at maturity and requested a short term extension.REGULATORY DISCLOSURESFor further specification of Moody’s key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody’s Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.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, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security 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.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.At least one ESG consideration was material to the credit rating action(s) announced and described above.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, 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 issued the credit rating is available on www.moodys.com.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the UK and is endorsed by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.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. Fred Kasimov Analyst Structured Finance Group Moody’s Investors Service, Inc. 250 Greenwich Street New York, NY 10007 U.S.A. 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