Approximately $3.9 Billion of Structured Securities Affected
New York, April 28, 2011 -- Moody's Investors Service (Moody's) downgraded the ratings of five classes,
confirmed three classes and affirmed 15 classes of Greenwich Capital Commercial
Funding Corp. Commercial Mortgage Trust, Series 2005-GG5
as follows:
Cl. A-2, Affirmed at Aaa (sf); previously on
Jan 17, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on
Jan 17, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-4-1, Affirmed at Aaa (sf); previously
on Jan 17, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-4-2, Affirmed at Aaa (sf); previously
on Jan 17, 2006 Assigned Aaa (sf)
Cl. A-AB, Affirmed at Aaa (sf); previously on
Jan 17, 2006 Definitive Rating Assigned Aaa (sf)
Cl. A-5, Affirmed at Aaa (sf); previously on
Jan 17, 2006 Definitive Rating Assigned Aaa (sf)
Cl. XC, Affirmed at Aaa (sf); previously on Jan 17,
2006 Definitive Rating Assigned Aaa (sf)
Cl. XP, Affirmed at Aaa (sf); previously on Jan 17,
2006 Definitive Rating Assigned Aaa (sf)
Cl. A-M, Confirmed at Aa2 (sf); previously on
Apr 25, 2011 Aa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-J, Confirmed at A3 (sf); previously on
Apr 25, 2011 A3 (sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to B1 (sf); previously on Apr 25,
2011 Baa2 (sf) Placed Under Review for Possible Downgrade
Cl. C, Downgraded to B3 (sf); previously on Apr 25,
2011 Ba1 (sf) Placed Under Review for Possible Downgrade
Cl. D, Downgraded to Caa1 (sf); previously on Apr 25,
2011 B2 (sf) Placed Under Review for Possible Downgrade
Cl. E, Downgraded to Caa2 (sf); previously on Apr 25,
2011 B3 (sf) Placed Under Review for Possible Downgrade
Cl. F, Downgraded to Ca (sf); previously on Apr 25,
2011 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. G, Confirmed at Ca (sf); previously on Apr 25,
2011 Ca (sf) Placed Under Review for Possible Downgrade
Cl. H, Affirmed at C (sf); previously on Jun 23,
2010 Downgraded to C (sf)
Cl. J, Affirmed at C (sf); previously on Jun 23,
2010 Downgraded to C (sf)
Cl. K, Affirmed at C (sf); previously on Jun 23,
2010 Downgraded to C (sf)
Cl. L, Affirmed at C (sf); previously on Jun 23,
2010 Downgraded to C (sf)
Cl. M, Affirmed at C (sf); previously on Jun 23,
2010 Downgraded to C (sf)
Cl. N, Affirmed at C (sf); previously on Jun 23,
2010 Downgraded to C (sf)
Cl. O, Affirmed at C (sf); previously on Jun 23,
2010 Downgraded to C (sf)
RATINGS RATIONALE
The downgrades are due to higher expected losses for the pool resulting
from realized and anticipated losses from specially serviced and troubled
loans.
The confirmations and affirmations are due to key parameters, including
Moody's loan to value (LTV) ratio, Moody's stressed
debt service coverage ratio (DSCR) and the Herfindahl Index (Herf),
remaining within acceptable ranges. Based on our current base expected
loss, the credit enhancement levels for the affirmed classes are
sufficient to maintain their current ratings.
On April 25, 2011 Moody's placed eight classes on review for
possible downgrade. This action concludes our review.
Moody's rating action reflects a cumulative base expected loss of
8.2% of the current balance. At last review,
Moody's cumulative base expected loss was 7.9%.
Moody's stressed scenario loss is 20.0% of the current
balance. Moody's provides a current list of base and stress
scenario losses for conduit and fusion CMBS transactions on moodys.com
at http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.
Depending on the timing of loan payoffs and the severity and timing of
losses from specially serviced loans, the credit enhancement level
for investment grade classes could decline below the current levels.
If future performance materially declines, the expected level of
credit enhancement and the priority in the cash flow waterfall may be
insufficient for the current ratings of these classes.
Moody's analysis reflects a forward-looking view of the likely
range of collateral performance over the medium term. From time
to time, Moody's may, if warranted, change these
expectations. Performance that falls outside an acceptable range
of the key parameters may indicate that the collateral's credit
quality is stronger or weaker than Moody's had anticipated during
the current review. Even so, deviation from the expected
range will not necessarily result in a rating action. There may
be mitigating or offsetting factors to an improvement or decline in collateral
performance, such as increased subordination levels due to amortization
and loan payoffs or a decline in subordination due to realized losses.
Primary sources of assumption uncertainty are the current sluggish macroeconomic
environment and varying performance in the commercial real estate property
markets. However, Moody's expects to see increasing or stabilizing
property values, higher transaction volumes, a slowing in
the pace of loan delinquencies and greater liquidity for commercial real
estate in 2011. The hotel and multifamily sectors are continuing
to show signs of recovery, while recovery in the office and retail
sectors will be tied to recovery of the broader economy. The availability
of debt capital continues to improve with terms returning toward market
norms. Moody's central global macroeconomic scenario reflects an
overall sluggish recovery through 2012, amidst ongoing individual,
corporate and governmental deleveraging, persistent unemployment,
and government budget considerations.
The principal methodology used in this rating was "CMBS: Moody's
Approach to Rating Fusion Transactions" published in April 2005.
Moody's review incorporated the use of the excel-based CMBS
Conduit Model v 2.50 which is used for both conduit and fusion
transactions. Conduit model results at the Aa2 level are driven
by property type, Moody's actual and stressed DSCR,
and Moody's property quality grade (which reflects the capitalization
rate used by Moody's to estimate Moody's value). Conduit
model results at the B2 level are driven by a paydown analysis based on
the individual loan level Moody's LTV ratio. Moody's
Herfindahl score (Herf), a measure of loan level diversity,
is a primary determinant of pool level diversity and has a greater impact
on senior certificates. Other concentrations and correlations may
be considered in our analysis. Based on the model pooled credit
enhancement levels at Aa2 and B2, the remaining conduit classes
are either interpolated between these two data points or determined based
on a multiple or ratio of either of these two data points. For
fusion deals, the credit enhancement for loans with investment-grade
credit estimates is melded with the conduit model credit enhancement into
an overall model result. Fusion loan credit enhancement is based
on the underlying rating of the loan which corresponds to a range of credit
enhancement levels. Actual fusion credit enhancement levels are
selected based on loan level diversity, pool leverage and other
concentrations and correlations within the pool. Negative pooling,
or adding credit enhancement at the underlying rating level, is
incorporated for loans with similar credit estimates in the same transaction.
Moody's ratings are determined by a committee process that considers
both quantitative and qualitative factors. Therefore, the
rating outcome may differ from the model output.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions. Moody's
monitors transactions on a monthly basis through two sets of quantitative
tools -- MOST® (Moody's Surveillance Trends) and CMM
(Commercial Mortgage Metrics) on Trepp -- and on a periodic
basis through a comprehensive review. Moody's prior full review
is summarized in a press release dated June 23, 2010. Please
see the ratings tab on the issuer / entity page on moodys.com for
the last rating action and the ratings history.
Moody's Investors Service did not receive or take into account a
third-party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
DEAL PERFORMANCE
As of the April 12, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 9% to $3.9
billion from $4.3 billion at securitization. The
Certificates are collateralized by 160 mortgage loans ranging in size
from less than 1% to 9% of the pool, with the top
ten loans representing 44% of the pool. The pool contains
two loans with investment grade credit estimates that represent 3%
of the pool. Three loans, representing less than 1%
of the pool, have defeased and are collateralized with U.S.
Government securities.
Thirty-five loans, representing 18% of the pool,
are on the master servicer's watchlist. The watchlist includes
loans which meet certain portfolio review guidelines established as part
of the CRE Finance Council's (CREFC) monthly reporting package.
As part of our ongoing monitoring of a transaction, Moody's reviews
the watchlist to assess which loans have material issues that could impact
performance.
Nine loans have been liquidated from the pool, resulting in an aggregate
realized loss of $24.2 million (58% loss severity
overall). Thirty-four loans, representing 29%
of the pool, are currently in special servicing. The master
servicer has recognized an aggregate $346.1 million appraisal
reduction for 25 of the specially serviced loans. Moody's
has estimated an aggregate $354.8 million loss (36%
expected loss on average) for the specially serviced loans.
Based on the most recent remittance statement, Classes E through
M have experienced cumulative interest shortfalls totaling $2.9
million. The previous month's remittance statement reflected interest
shortfalls reaching Class B. However, interest shortfalls
for Classes B through D were repaid in full as of the April 12,
2011 distribution date due to the recovery of previous appraisal subordination
entitlement reductions (ASERs). Moody's anticipates that the pool
will continue to experience interest shortfalls because of the high exposure
to specially serviced loans. Interest shortfalls are caused by
special servicing fees, including workout and liquidation fees,
ASERs, extraordinary trust expenses and non-advancing by
the master servicer based on a determination of non-recoverability.
Moody's has assumed a high default probability for eight poorly
performing loans representing 2% of the pool and has estimated
a $11.9 million aggregate loss (15% expected loss
based on a 50% probability default) from these troubled loans.
Moody's was provided with full year 2009 and full or partial year
2010 operating results for 92% and 46% of the pool's
non-defeased loans, respectively. Excluding specially
serviced and troubled loans, Moody's weighted average LTV
is 100% compared to 107% at Moody's prior review.
Moody's net cash flow reflects a weighted average haircut of 11%
to the most recently available net operating income. Moody's
value reflects a weighted average capitalization rate of 9.0%.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.47X and 1.01X, respectively,
compared to 1.35X and 0.94X at last review. Moody's
actual DSCR is based on Moody's net cash flow (NCF) and the loan's
actual debt service. Moody's stressed DSCR is based on Moody's
NCF and a 9.25% stressed rate applied to the loan balance.
Moody's uses a variation of Herf to measure diversity of loan size,
where a higher number represents greater diversity. Loan concentration
has an important bearing on potential rating volatility, including
risk of multiple notch downgrades under adverse circumstances.
The credit neutral Herf score is 40. The pool has a Herf of 31
compared to 34 at Moody's prior review.
The largest loan with an underlying rating is the San Francisco Centre
Loan ($60.0 million - 1.5%),
which represents a 50% pari passu interest in a $120.0
million first mortgage loan. The loan is secured by the borrower's
leasehold interest in a 498,100 square foot retail center located
in the Union Square retail area of San Francisco, California.
The tenancy consists of a mix of established and trend-setting
boutiques, traditional high-end mall retailers and a flagship
Nordstrom and Bloomingdales, which are not part of the collateral.
The center was 98% leased as of June 2010, essentially the
same as at last review and securitization. Performance has been
stable. The loan sponsors are the Westfield Group and Forest City.
Moody's current credit estimate and stressed DSCR are Baa2 and 1.22X,
respectively, compared to Baa2 and 1.24X at last review.
The second largest loan with an underlying rating is the Imperial Valley
Loan ($54.5 million - 1.4%),
which is secured by the borrower's interest in an 765,000 square
foot regional mall located in El Centro, California. The
center is anchored by Sears, Dillard's, JC Penney and Macy's.
As of March 2010, the center was 98% leased, essentially
the same as at last review. Performance has been stable.
Moody's current credit estimate and stressed DSCR are Baa3 and 1.31X,
respectively, compared to Baa3 and 1.30X at last review.
The top three conduit loans represent 19% of the pool. The
largest conduit loan is the 731 Lexington Avenue Loan ($320.0
million - 7.7%), which is secured by a 148,000
square foot multi-level retail condominium located on Lexington
Avenue between East 58th and East 59th Street in New York City.
The property is 100% leased, the same as last review.
Major tenants include Home Depot, which occupies 53% of the
premises through January 2025, H&M and the Container Store.
The office component serves as the headquarters for Bloomberg LP.
Performance has been stable. Moody's LTV and stressed DSCR are
96% and 0.87X, respectively, compared to 99%
and 0.85X at last review.
The second largest conduit loan is the Lynnhaven Mall Loan ($228.3
million -- 5.8%), which is secured by the borrower's
interest in a 1.3 million square foot regional mall located in
Virginia Beach, Virginia. The mall is anchored by JC Penney,
Macy's and Dillards. The loan sponsor is General Growth Properties.
Performance has declined due to an increase in administrative expenses.
Moody's LTV and stressed DSCR are 106% and 0.81X,
respectively, compared to 98% and 0.89X at last review.
The third largest conduit loan is the Maryland Multifamily Portfolio Loan
($200.0 million - 4.8%), which
represents a 59% pari passu interest in a $340.0
million first mortgage loan. The loan is secured by nine multifamily
properties located mostly in suburban Baltimore, Maryland.
The portfolio was 94% leased as of September 2010 compared to 93%
at last review. Performance has been stable. Moody's LTV
and stressed DSCR are 118% and 0.80X, respectively,
compared to 119% and 0.80X at last review.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, confidential and proprietary Moody's Investors
Service information, and confidential and proprietary Moody's
Analytics information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Raymond Flores
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Sandra Ruffin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Downgrades Five, Confirms Three and Affirms 15 CMBS Classes of GCCFC 2005-GG5
