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
