Approximately $5.22 Million of Structured Securities Affected
New York, January 20, 2017 -- Moody's Investors Service has affirmed the ratings on three classes in
Greenwich Capital Commercial Funding Corporation, Commercial Mortgage
Pass-Through Certificates, Series 2003-C2 as follows:
Cl. L, Affirmed Ca (sf); previously on Feb 10,
2016 Affirmed Ca (sf)
Cl. M, Affirmed C (sf); previously on Feb 10,
2016 Affirmed C (sf)
Cl. XC, Affirmed C (sf); previously on Feb 10,
2016 Downgraded to C (sf)
RATINGS RATIONALE
The ratings on the P&I classes L and M were affirmed because the ratings
are consistent with Moody's expected loss.
The rating on the IO class XC was affirmed based on the credit performance
(or the weighted average rating factor or WARF) of the referenced classes.
Moody's rating action reflects a base expected loss of 66.8%
of the current balance, compared to 54.0% at Moody's
last review. Moody's base expected loss plus realized losses is
now 3.6% of the original pooled balance, compared
to 3.5% 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 these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in October 2015. Please see the Rating 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 class and the recovery
as a pay down of principal to the most senior class.
DESCRIPTION OF MODELS USED
Moody's analysis 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 and property type. 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 January 9, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99.7% to
$5.2 million from $1.735 billion at securitization.
The certificates are collateralized by two mortgage loans, both
of which are in special servicing.
Twelve loans have been liquidated from the pool, resulting in an
aggregate realized loss of $59 million (for an average loss severity
of 44%). The largest specially serviced loan is the Alamerica
Bank Building Loan ($3.6 million -- 69.0%
of the pool), which is secured by a 32,850 square foot (SF)
office building located in Birmingham, Alabama. The loan
was transferred to special servicing for delinquent payments in April
2013, and is currently in the process of foreclosure. In
June 2015, the property was appraised for $3.5 million.
The second specially serviced loan is Lake Carolina Building Loan ($1.6
million -- 31.0% of the pool), which is secured
by a 17,557 SF office building located in Columbia, South
Carolina. The loan transferred to special servicing in October
2012 for imminent default, and became REO in April 2014.
As of March 2016, the property was 37% leased, the
same as at year-end 2015. In June 2016, the property
was appraised for $0.8 million.
Moody's estimates an aggregate $ 3.5 million loss
for these specially serviced loans (67% 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.
Leah Zulkoski
Associate 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
Keith Banhazl
Associate Managing Director
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
