Approximately $45 Million of Structured Securities Affected
New York, March 10, 2016 -- Moody's Investors Service (Moody's) has affirmed the ratings of seven
classes in GE Commercial Mortgage Corporation 2003-C1 as follows:
Cl. J, Affirmed B1 (sf); previously on Apr 2,
2015 Downgraded to B1 (sf)
Cl. K, Affirmed B2 (sf); previously on Apr 2,
2015 Downgraded to B2 (sf)
Cl. L, Affirmed Ca (sf); previously on Apr 2,
2015 Downgraded to Ca (sf)
Cl. M, Affirmed C (sf); previously on Apr 2, 2015
Downgraded to C (sf)
Cl. N, Affirmed C (sf); previously on Apr 2, 2015
Affirmed C (sf)
Cl. O, Affirmed C (sf); previously on Apr 2, 2015
Affirmed C (sf)
Cl. X-1, Affirmed C (sf); previously on Apr 2,
2015 Downgraded to C (sf)
RATINGS RATIONALE
The ratings on the P&I classes were affirmed because the ratings are
consistent with Moody's expected loss.
The rating on the IO class was affirmed because the credit performance
of its referenced classes
Moody's rating action reflects a base expected loss of 50% of the
current balance compared to 52% at Moody's last review.
Moody's base expected loss plus realized losses is now 3.7%
of the original pooled balance, compared to 3.8% 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 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 these ratings was "Moody's Approach
to Rating Large Loan and Single Asset/Single Borrower CMBS" published
in October 2015. Please see the Ratings Methodologies page on www.moodys.com
for a copy of this methodology.
Moody's analysis incorporated a loss and recovery approach in rating the
P&I classes in this deal since 100% of the pool is in special
servicing. In this approach, Moody's determines a probability
of default for each specially serviced 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.
DESCRIPTION OF MODELS USED
Moody's review used the excel-based Large Loan Model.
The large loan model derives credit enhancement levels based on an aggregation
of adjusted loan-level proceeds derived from Moody's loan-level
LTV ratios. Major adjustments to determining proceeds include leverage,
loan structure, property type and sponsorship. Moody's
also further adjusts these aggregated proceeds for any pooling benefits
associated with loan level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the February 10, 2016 distribution date, the transaction's
aggregate certificate balance has decreased by 96% to $45
million from $1.19 billion at securitization. The
certificates are collateralized by four mortgage loans ranging in size
from 4% to 75% of the pool.
Sixteen loans have been liquidated from the pool, contributing to
an aggregate realized loss of $22 million (for an average loss
severity of 23%). All four remaining loans in the pool are
in special servicing. The largest loan is the 801 Market Street
Loan ($34 million -- 75% of the pool),
which is secured by a Class B office condominium located in Center City
Philadelphia, Pennsylvania. The collateral consists of the
top seven floors of a 13-story commercial property which formerly
served as the flagship for the now-defunct department store retailer
Strawbridge & Clothier. The loan transferred to special servicing
in February 2013 due to maturity default. The property became REO
in September 2014. The former largest tenant, which occupied
45% of the property's net rentable area, vacated the
property in November 2015, leaving the property approximately 30%
occupied.
The remaining three loans are secured by a mix of property types.
Moody's estimates an aggregate $23 million loss for the four total
remaining loans in the pool (50% expected loss on average).
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.
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 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.
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.
Wesley Flamer-Binion
Asst Vice President - 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
Matthew Halpern
AVP-Analyst/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 Seven Classes of GECMC 2003-C1