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Rating Action:

Moody's Affirms Six Classes of GCCFC 2007-GG9

20 Apr 2018

Approximately $319 Million of Structured Securities Affected

New York, April 20, 2018 -- Moody's Investors Service, ("Moody's") has affirmed the ratings on six classes in Greenwich Capital Commercial Funding Corp., 2007-GG9, Commercial Pass-Through Certificates, Series 2007-GG9 as follows:

Cl. A-J, Affirmed Caa2 (sf); previously on Apr 21, 2017 Affirmed Caa2 (sf)

Cl. B, Affirmed C (sf); previously on Apr 21, 2017 Downgraded to C (sf)

Cl. C, Affirmed C (sf); previously on Apr 21, 2017 Downgraded to C (sf)

Cl. D, Affirmed C (sf); previously on Apr 21, 2017 Affirmed C (sf)

Cl. E, Affirmed C (sf); previously on Apr 21, 2017 Affirmed C (sf)

Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf)

RATINGS RATIONALE

The ratings on the five P&I classes, Classes A-J, B, C, D and E, were affirmed because the ratings are consistent with Moody's expected loss.

The rating on the IO class, Cl. X, was affirmed based on the credit quality of the referenced classes.

Moody's rating action reflects a base expected loss of 82.3% of the current pooled balance, compared to 42.0% at Moody's last review. Moody's base expected loss plus realized losses is now 12.4% of the original pooled balance, compared to 12.6% 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.

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 rating Greenwich Capital Commercial Funding Corp., 2007-GG9, Cl. A-J, Cl. B, Cl. C, Cl. D, and Cl. E was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Greenwich Capital Commercial Funding Corp., 2007-GG9, Cl. X were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. 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 99.9% 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 PERFORMANCE

As of the April 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $319 million from $6.58 billion at securitization. The certificates are collateralized by 12 mortgage loans ranging in size from less than 1% to 40% of the pool. The only non-specially serviced loan, constituting less than 1% of the pool, has defeased and is secured by US government securities.

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 four, compared to five at Moody's last review.

Sixty-seven loans have been liquidated from the pool, contributing to an aggregate realized loss of $549.5 million (for an average loss severity of 28%). Eleven loans, constituting 99.9% of the pool, are currently in special servicing. The largest specially serviced loan is the COPT Office Portfolio ($127.5 million -- 40% of the pool), which was originally secured by 14 office properties located in suburban Baltimore, Maryland and Colorado Springs, Colorado. The loan was transferred to special servicing in March 2013 and became REO in December 2013. Nine buildings have been sold and the five remaining properties are located in Linthicum, Maryland. Moody's anticipates a significant loss on this loan.

The second largest specially serviced loan is the Boulevard Mall Loan ($89.4 million -- 28% of the pool), which is secured by a one million square foot regional mall located in Amherst, NY. Mall anchors include Macys and JC Penney (non-collateral), plus Dick's Sporting Goods. Sears closed its store in March 2017 and Macy's closed its separate men's store in October 2017. The loan transferred to special servicing November 2016 and became REO in November 2017. The servicer's strategy is to stabilize the existing tenant base and the asset is not actively being marketed for sale.

The third largest specially serviced loan is the Verizon Wireless Center ($21.8 million -- 6.8% of the pool), which is secured by a 197,000 SF office property located in Albuquerque, NM. The building is fully leased to Verizon, which recently executed a three year lease extension to December 2020. The loan transferred to special servicing in February 2017 and foreclosure occurred in February 2018.

The remaining eight specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $262.7 million loss for the specially serviced loans (82% expected loss on average).

As of the April 12, 2018 remittance statement cumulative interest shortfalls were $73.3 million and impact up to Class A-J. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses.

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: 1 212 553 0376
Client Service: 1 212 553 1653

Matthew Halpern
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

No Related Data.
© 2021 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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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​
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