Approximately $5 Million of Structured Securities Affected
New York, February 07, 2017 -- Moody's Investors Service has affirmed the ratings on two classes GE Commercial
Mortgage Corporation 2003-C1 as follows:
Cl. N, Affirmed C (sf); previously on Mar 10,
2016 Affirmed C (sf)
Cl. X-1, Affirmed C (sf); previously on Mar 10,
2016 Affirmed C (sf)
RATINGS RATIONALE
The rating on P&I Class N was affirmed because the rating is consistent
with Moody's expected loss. Class N has already realized
a 46% loss as a result of previously liquidated loans.
The rating on IO Class X-1 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 84.7%
of the current balance and remains the same since Moody's last review.
Moody's base expected loss plus realized losses is now 3.2%
of the original pooled balance and remains unchanged since 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.
Additionally, the methodology used in rating Cl. X-1
was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" methodology 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 73.9% of the pool is
in special servicing and Moody's has identified one troubled loan
representing approximately 3.7% of the pool. 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 CMBS Conduit Model,
which it uses for both conduit and fusion transactions. Credit
enhancement levels for conduit loans are driven by property type,
Moody's actual and stressed DSCR, and Moody's property
quality grade (which reflects the capitalization rate Moody's uses
to estimate Moody's value). Moody's fuses the conduit
results with the results of its analysis of investment grade structured
credit assessed loans and any conduit loan that represents 10%
or greater of the current pool balance.
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 1,
compared to 4 at Moody's last review.
When the Herf falls below 20, Moody's uses the excel-based
Large Loan Model and then reconciles and weights the results from the
conduit and large loan models in formulating a rating recommendation.
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 January 10, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 99.6% to
$5 million from $1.19 billion at securitization.
The certificates are collateralized by one specially serviced mortgage
loan.
Twenty-one loans have been liquidated from the pool with a loss,
resulting in an aggregate realized loss of approximately $33.5
million (for an average loss severity of 22.1%).
The only remaining is the Shoppes at Audubon Loan ($5 million --
100% of the pool), which is secured by a 46,000 square
feet (SF) neighborhood shopping center located in Naples, FL.
The loan transferred to special servicing in June 2011 for imminent default
and the lender took title through a foreclosure sale in October 2012.
As of June 2016, the property was 65% leased, the same
as at last review. Moody's considered a high loss for this loan.
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.
Tulay Sangiray
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
