Approximately $895.1 Million of Structured Securities Affected
New York, May 07, 2015 -- Moody's Investors Service has affirmed the ratings on twelve classes of
Citigroup Commercial Mortgage Trust 2014-GC21 as follows:
Cl. A-1, Affirmed Aaa (sf); previously on May
29, 2014 Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed Aaa (sf); previously on May
29, 2014 Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed Aaa (sf); previously on May
29, 2014 Definitive Rating Assigned Aaa (sf)
Cl. A-4, Affirmed Aaa (sf); previously on May
29, 2014 Definitive Rating Assigned Aaa (sf)
Cl. A-5, Affirmed Aaa (sf); previously on May
29, 2014 Definitive Rating Assigned Aaa (sf)
Cl. A-AB, Affirmed Aaa (sf); previously on May
29, 2014 Definitive Rating Assigned Aaa (sf)
Cl. A-S, Affirmed Aaa (sf); previously on May
29, 2014 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed Aa3 (sf); previously on May 29,
2014 Definitive Rating Assigned Aa3 (sf)
Cl. C, Affirmed A3 (sf); previously on May 29,
2014 Definitive Rating Assigned A3 (sf)
Cl. X-A, Affirmed Aaa (sf); previously on May
29, 2014 Definitive Rating Assigned Aaa (sf)
Cl. X-B, Affirmed A2 (sf); previously on May
29, 2014 Definitive Rating Assigned A2 (sf)
Cl. PEZ*, Affirmed A1 (sf); previously on May 29,
2014 Definitive Rating Assigned A1 (sf)
* Reflects Exchangeable Class for portion of Classes A-S,
B, and C.
RATINGS RATIONALE
The ratings on nine 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 transaction contains a group of exchangeable certificates.
Classes A-S, B and C may be exchanged for Class PEZ certificates
and Class PEZ may be exchanged for the Classes A-S, B and
C. The PEZ certificates will be entitled to receive the sum of
interest and principal distributable on the Classes A-S,
B and C certificates that are exchanged for such PEZ certificates.
The rating on the PEZ class was affirmed based on the weighted average
rating factor (or WARF) of its exchangeable classes.
The ratings on the two IO Classes, Class X-A and X-B,
were affirmed based on the credit performance of their referenced classes.
Moody's rating action reflects a base expected loss of 4.7%
of the current balance. 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 RATING:
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 principal methodology used in this rating was "Approach to Rating
US and Canadian Conduit/Fusion CMBS" published in December 2014.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 26,
the same as at securitization.
DEAL PERFORMANCE
As of the April 10, 2015 distribution date, the transaction's
aggregate certificate balance has decreased by 1% to $1.03
billion from $1.04 billion at securitization. The
certificates are collateralized by 70 mortgage loans ranging in size from
less than 1% to 12% of the pool, with the top ten
loans constituting 47% of the pool. No loans have defeased
or have investment-grade structured credit assessments.
Four loans, constituting 4% 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.
No loans have been liquidated from the pool, and there are currently
no loans in special servicing.
Moody's received full year 2013 operating results for 96% of the
pool, and full or partial year 2014 operating results for 86%
of the pool. Moody's weighted average conduit LTV is 107%,
compared to 108% 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 5.5% 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 1.47X and 0.97X,
respectively, compared to 1.46X and 0.96X at securitization.
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 top three conduit loans represent 27% of the pool balance.
The largest loan is the Maine Mall Loan ($125 million --
12.1% of the pool), which represents a pari-passu
interest in a $235 million mortgage loan. The loan is secured
by 730,444 SF of net rentable area contained within a 1,030,483
SF super-regional mall located in Portland, Maine.
The mall contains five anchors, which include Macy's, J.C.
Penney, Sears, Bon Ton and Best Buy. However,
Macy's and Sears own their respective units and are not contributed as
collateral for the loan. Maine Mall was built in 1971, and
renovated in 1983,1989 and 1994. As of December 31,
2014, the property was 98% leased. Moody's LTV and
stressed DSCR are 99% and 0.90X, respectively,
the same as at securitization.
The second largest loan is the Newcastle Senior Housing Portfolio Loan
($101.8 million -- 9.9% of the
pool), which represents a pari-passu interest in a $354.7
million mortgage loan. The loan is secured by a portfolio of 26
age-restricted independent living properties, with a total
of 3,002 units across 14 states. The properties are generally
of Class B quality. The operator, Holiday Retirement,
is the largest operator of senior housing in the US and occupies the properties
under a 17-year triple-net lease arrangement. Moody's
LTV and stressed DSCR are 110% and 1.10X, respectively,
compared to 112% and 1.08X at securitization.
The third largest loan is the Green Tower Center Loan ($47.0
million -- 4.6% of the pool), which
represents a pari-passu interest in a $136.6 million
senior mortgage loan. The loan is secured by a mixed-use
property located in Beavercreek, Ohio, approximately ten miles
southeast of the Dayton CBD. The subject improvements primarily
consist of a Lifestyle Center situated around a town square. In
total, the property is comprised of 566,600 square feet (SF)
of retail, 143,300 SF of office, and 206 Class A multifamily
units. Retail anchors include Von Maur (not part of the collateral),
Urban Active Fitness, Forever 21, Old Navy, Nordstrom
Rack and a 14-screen Rave Cinemas (not part of the collateral).
Parking is provided via three parking garages and four surface lots with
4,401 total spaces. Moody's LTV and stressed DSCR are 106%
and 0.94X, respectively, compared to 107% and
0.93X at securitization.
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.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of this transaction
in the past six months.
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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
Matthew Halpern
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
Annelise Osborne
VP - Sr Credit Officer/Manager
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 Affirms 12 Classes of CGCMT 2014-GC21
