Approximately $3.6 Million of Structured Securities Affected
New York, January 04, 2018 -- Moody's Investors Service, ("Moody's") has
affirmed the ratings on two classes in Greenwich Capital Commercial Funding
Corporation, Commercial Mortgage Pass-Through Certificates,
Series 2003-C2 as follows:
Cl. L, Affirmed Ca (sf); previously on Jan 20,
2017 Affirmed Ca (sf)
Cl. XC, Affirmed C (sf); previously on Jan 20,
2017 Affirmed C (sf)
RATINGS RATIONALE
The rating on the P&I class L was affirmed because the rating is consistent
with Moody's expected loss including realized losses.
The rating on the IO class XC was affirmed based on the credit quality
of the referenced classes.
Moody's rating action reflects a base expected loss of 32.5%
of the current pooled balance, compared to 66.8% at
Moody's last review. Moody's base expected loss plus realized
losses is now 3.6% of the original pooled balance,
compared to 3.6% 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 these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in July 2017. The methodologies used in rating Cl.
XC 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 100% 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 class and the recovery as a pay down of principal to
the most senior class.
DEAL PERFORMANCE
As of the December 7, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99% to $3.6
million from $1.735 billion at securitization. The
certificates are collateralized by one mortgage loan constituting 100%
of the pool.
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 one,
compared to two at Moody's last review.
Thirteen loans have been liquidated from the pool, resulting in
an aggregate realized loss of $60.8 million (for an average
loss severity of 45%). One loan, constituting 100%
of the pool, is currently in special servicing. The specially
serviced loan is the Alamerica Bank Building Loan ($3.6
million -- 100% 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 became REO in May 2017. In May 2017,
the property was appraised for $2.7 million.
Moody's estimates an aggregate $1.2 million loss for the
specially serviced loan (32.5% expected loss on average).
As of the December 7, 2017 remittance statement cumulative interest
shortfalls were $1.75 million. 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.
Fred Kasimov
Associate 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
Keith Banhazl
MD - Structured Finance
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
