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Rating Action:

Moody's Downgrades Five and Affirms Two Classes of GECMC 2003-C1

02 Apr 2015

Approximately $46 Million of Structured Securities Affected

New York, April 02, 2015 -- Moody's Investors Service has downgraded the ratings on five classes and affirmed the ratings on two classes in GE Commercial Mortgage Corporation 2003-C1 as follows:

Cl. J, Downgraded to B1 (sf); previously on May 1, 2014 Affirmed Ba1 (sf)

Cl. K, Downgraded to B2 (sf); previously on May 1, 2014 Downgraded to B1 (sf)

Cl. L, Downgraded to Ca (sf); previously on May 1, 2014 Downgraded to Caa3 (sf)

Cl. M, Downgraded to C (sf); previously on May 1, 2014 Downgraded to Ca (sf)

Cl. N, Affirmed C (sf); previously on May 1, 2014 Affirmed C (sf)

Cl. O, Affirmed C (sf); previously on May 1, 2014 Affirmed C (sf)

Cl. X-1, Downgraded to C (sf); previously on May 1, 2014 Downgraded to Caa2 (sf)

RATINGS RATIONALE

The ratings on P&I classes J through M were downgraded due to interest shortfalls and realized and anticipated losses from specially serviced and troubled loans that are higher than Moody's had previously expected.

The rating on the IO Class was downgraded due to a decline in the credit performance (or the weighted average rating factor or WARF) of its referenced classes, as well as anticipated interest shortfalls for the remaining life of the deal.

The ratings on the P&I classes were affirmed due to interest shortfalls and because the ratings are consistent with Moody's expected loss.

Certificates are not expected to receive interest for the remaining life of the deal

Moody's rating action reflects a base expected loss of 52% of the current balance, compared to 34% at Moody's last review. Moody's base expected loss plus realized losses is now 3.8% of the original pooled balance, compared to 4.0% 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 RATING:

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 this rating was " Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Please see the Credit Policy 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 classes and the recovery as a pay down of principal to the most senior classes.

DESCRIPTION OF MODELS USED

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 two, the same as at Moody's last review.

When the Herf falls below 20, Moody's uses the excel-based Large Loan Model 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 March 10, 2015 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $46.5 million from $1.19 billion at securitization. The certificates are collateralized by four mortgage loans ranging in size from less than 5% to 76% of the pool.

Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $22 million (for an average loss severity of 23%). Four loans, constituting 100% of the pool, are currently in special servicing. The largest specially serviced loan is the 801 Market Street Loan ($35 million -- 76% of the pool), which is secured by a 370,000 square foot (SF) office condominium situated within a 1.0 million SF office building in downtown Philadelphia, Pennsylvania. The condominium includes part of the basement, ground floor and all of floors seven through 13. The office building was built in 1928 and renovated in 2002. The building is located in the Market Street East office market of Center City Philadelphia. This loan transferred to Special Servicing due to the borrower being unable to pay off the loan at the February 1, 2013 maturity date. The largest tenant is the U.S. GSA, occupying 46% of the NRA, plan to vacate at their lease expiration in February 2016 . The property was 76% leased as of year-end 2014 versus 65% at prior review.

The remaining three specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $24 million loss for the specially serviced loans (52% 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.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

Sini Gomes
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

Sandra Ruffin
VP - Senior Credit Officer
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

Moody's Downgrades Five and Affirms Two Classes of GECMC 2003-C1
No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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