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Rating Action:

Moody's Upgrades One, Downgrades One and Affirms Two Classes of GCCFC 2003-C2

15 May 2014

Approximately $36.0 Million of Structured Securities Affected

New York, May 15, 2014 -- Moody's Investors Service has upgraded the rating of one class, downgraded one class and affirmed two classes of Greenwich Capital Commercial Funding Corporation, Commercial Mortgage Pass-Through Certificates, Series 2003-C2 as follows:

Cl. K, Upgraded to B3 (sf); previously on Aug 29, 2013 Affirmed Caa2 (sf)

Cl. L, Affirmed Ca (sf); previously on Aug 29, 2013 Affirmed Ca (sf)

Cl. M, Affirmed C (sf); previously on Aug 29, 2013 Affirmed C (sf)

Cl. XC, Downgraded to Caa3 (sf); previously on Aug 29, 2013 Downgraded to Caa1 (sf)

RATINGS RATIONALE

The rating on the P&I Class K was upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 91% since Moody's last review. 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, Class X-C, was downgraded based on a decline in the weighted average rating factor or WARF of its referenced classes due to the paydown of more highly rated classes.

Moody's rating action reflects a base expected loss of 19.7% of the current balance compared to 13.4% at Moody's last review. Moody's base expected loss plus realized losses is now 3.4% of the original pooled balance compared to 4.7% 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://v3.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 methodologies used in this rating were "Moody's Approach to Rating U.S. CMBS Conduit Transactions" published in September 2000 and "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 these methodologies.

DESCRIPTION OF MODELS USED

Moody's review used the excel-based CMBS Conduit Model v 2.64, which it uses for both conduit and fusion transactions. Conduit model results at the Aa2 (sf) level 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). Conduit model results at the B2 (sf) level are based on a paydown analysis using the individual loan-level Moody's LTV ratio. Moody's may consider other concentrations and correlations in its analysis. Based on the model pooled credit enhancement levels of Aa2 (sf) and B2 (sf), the required credit enhancement on 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, Moody's merges the credit enhancement for loans with investment-grade structured credit assessments with the conduit model credit enhancement for an overall model result. Moody's incorporates negative pooling (adding credit enhancement at the structured credit assessment level) for loans with similar structured credit assessments in the same transaction.

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 three, compared to 14 at Moody's last review.

When the Herf falls below 20, Moody's uses the excel-based Large Loan Model v 8.7 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 May 7, 2014 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $36.0 million from $1.7 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from less than 1% to 51% of the pool. There are no loans that have defeased or have investment-grade structured credit assessments.

There are no loans on the master servicer's watchlist. Ten loans have been liquidated from the pool, resulting in an aggregate realized loss of $52.7 million (for an average loss severity of 22%). Five loans, constituting 49% of the pool, are currently in special servicing. The largest specially serviced loan is the 441 South Livernois Office ($5.2 million -- 14.4% of the pool), which is secured by a 44,340 square foot (SF) office building in Rochester Hills, Michigan. The loan transferred to special servicing for imminent monetary default and has become REO. As of September 2013, the property was 74% leased compared to 100% as of Year-End 2012. The decline in occupany was caused by the largest tenant, Crittenton Hospital Weight Loss & Sleep Clinic vacating its 12,800 SF space in June 2013.

The second largest specially serviced loan is the Impressions Building ($4.8 million -- 13.3% of the pool), which is secured by a 76,331 SF office building located in Columbus, Ohio. The loan transferred to special servicing in December 2013 due to maturity default. Per the servicer, the borrower is currently working to refinance the loan. Moody's does not expect a loss for this loan.

The third largest specially serviced loan is the Alamerica Bank Building ($3.7 million -- 10.3% of the pool), which is secured by a 32,850 SF Class A office building located in Birmingham, Alabama. The loan transferred to special servicing for delinquent payments and is currently in bankruptcy court with the lender contesting the debtor's plan. As of January 2013, the property was 100% leased although major tenants have failed to pay rent. Over 50% of the net rentable area (NRA) rolls in late 2014.

Moody's estimates an aggregate $6.8 million loss for specially serviced loans (53% expected loss on average). There are no troubled loans in the pool.

Moody's received full year 2012 and full or partial year 2013 operating results for 100% of the pool. Moody's weighted average conduit LTV is 76% compared to 84% at Moody's last review. Moody's conduit component excludes loans with credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 14% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%.

Moody's actual and stressed conduit DSCRs are 1.47X and 1.37X, respectively, compared to 1.40X and 1.36X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance.

The largest conduit loan is the Manaport Plaza Loan ($18.4 million -- 51.0% of the pool), which is secured by a 249,547 SF strip retail center located in Manassas, Virginia. As of December 2013, the property was 82% leased compared to 90% at last review. The three largest tenants are Food Lion, Marshalls and Advance Auto Parts. Food Lion and Marshalls have leases expiring in 2018 and have extension options. Moody's LTV and stressed DSCR are 76% and 1.36X respectively, compared to 75% and 1.38X at last review.

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.

Randy Goldstein
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
VP - Sr Credit Officer/Manager
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 Upgrades One, Downgrades One and Affirms Two Classes of GCCFC 2003-C2
No Related Data.
© 2022 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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