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Rating Action:

Moody's Upgrades Two, Affirms Four and Downgrades One CMBS Classes of GCCFC 2003-C1

23 Aug 2013

Approximately $57.8 million of Structured Securities Affected

New York, August 23, 2013 -- Moody's Investors Service (Moody's) upgraded the ratings of two classes, affirmed four classes, and downgrade one class of Greenwich Capital Commercial Funding Corp., Commercial Mortgage Pass-Through Certificates, Series 2003-C1 as follows:

Cl. J, Upgraded to A3 (sf); previously on July 24, 2003 Definitive Rating Assigned Baa3 (sf)

Cl. K, Upgraded to Baa1 (sf); previously on July 24, 2003 Definitive Rating Assigned Ba1 (sf)

Cl. L, Affirmed B2 (sf); previously on December 14, 2012 Downgraded to B2 (sf)

Cl. M, Affirmed Caa1 (sf); previously on December 14, 2012 Downgraded to Caa1 (sf)

Cl. N, Affirmed C (sf); previously on December 14, 2012 Downgraded to C (sf)

Cl. O, Affirmed C (sf); previously on December 15, 2011 Downgraded to C (sf)

Cl. XC, Downgraded to Caa2 (sf); previously on February 22, 2012 Downgraded to Ba3 (sf)

RATINGS RATIONALE

The upgrades of three P&I classes are due to increased credit enhancement from paydowns and amortization since last review and overall stable performance. The pool has paid down by 87% since Moody's last review. The ratings of Classes M, N and O are consistent with Moody's expected loss and thus are affirmed. Depending on the timing of loan payoffs and the severity and timing of losses from specially serviced loans, the credit enhancement level for rated 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.

The downgrade of the IO Class, Class XC, is due to the paydowns of its highly rated reference classes.

Moody's rating action reflects a base expected loss of 19.8% of the current balance. At last full review, Moody's base expected loss was 4.4%. Moody's base expected loss plus cumulative realized losses now represents 4.0% of the original securitized balance compared to 4.2% at 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.

The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities ratings were issued. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics.

Since over half of the pool is in special servicing, Moody's utilized a loss and recovery approach in rating this deal. In this approach, Moody's determines a probability of default for each specially serviced loan and determines a most probable loss given default based information from the special servicer and available market data. The loss given default for each loan also takes into consideration servicer advances to date and 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 class.

The methodology used in rating class XC was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published in February 2012. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

The IO calculator uses the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit assessments; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type as defined in the published methodology. The calculator then returns a calculated IO rating based on both a target and mid-point. For example, a target rating basis for a Baa3 (sf) rating is a 610 rating factor. The midpoint rating basis for a Baa3 (sf) rating is 775 (i.e. the simple average of a Baa3 (sf) rating factor of 610 and a Ba1 (sf) rating factor of 940). If the calculated IO rating factor is 700, the CMBS IO calculator would provide both a Baa3 (sf) and Ba1 (sf) IO indication for consideration by the rating committee.

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.

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 4, compared to 23 at Moody's prior review. In cases where the Herf falls below 20, Moody's typically also employs the large loan/single borrower methodology. Since the remaining pool was in special servicing Moody's employed the loss and recovery analysis described above in lieu of the large loan/single borrower methodology.

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 a review utilizing MOST® (Moody's Surveillance Trends) Reports and a proprietary program that highlights significant credit changes that have occurred in the last month as well as cumulative changes since the last full transaction review. On a periodic basis, Moody's also performs a full transaction review that involves a rating committee and a press release. Moody's prior transaction review is summarized in a press release dated December 14, 2012. Please see the ratings tab on the issuer / entity page on moodys.com for the last rating action and the ratings history

DEAL PERFORMANCE

As of the August 7, 2013 distribution date, the transaction's aggregate certificate balance has decreased 95% to $57.8 million from $1.22 billion at securitization. The Certificates are collateralized by six mortgage loans ranging in size from less than 1% to 41% of the pool. There no defeased loans in the deal and no loans with an investment grade credit assessment.

Currently only one loan, representing 41% of the pool, is on the master servicer's watchlist. The watchlist includes loans which meet certain portfolio review guidelines established as part of the CRE Finance Council (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.

Eight loans have been liquidated from the pool since securitization, resulting in an aggregate $36.6 million loss (30% loss severity on average). Currently five loans, representing 59% of the pool, are in special servicing. The largest specially serviced loan is the Gateway Plaza Shopping Center Loan ($11.2 million -- 19.5% of the pool), which is secured by a 143,520 square foot (SF) unanchored retail center located in Overland Park, Kansas. The loan was transferred to special servicing in August 2011 due to imminent monetary default. The borrower has indicated that falling rents and declining occupancy destabilized the property. A loan modification closed in July 2013 and the loan will remain in special servicing while being monitored for three months.

The remaining four specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $10.4 million loss for the specially serviced loans (31% expected loss on average).

There is only one performing conduit loan remaining representing, 41% of the pool balance. The 122 South Michigan Avenue Loan ($23.7 million) is secured by a 350,638 SF office building located in Chicago, Illinois. The office building is architecturally significant and was designed by Daniel Burnham in 1911. Financial performance decreased in 2012 compared to 2011. The loan was previously in a 60-day forbearance period but is now expected to payoff in full. Moody's LTV and stressed DSCR are 87% and 1.2X, respectively, compared to 76% and 1.38X at last review.

REGULATORY DISCLOSURES

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.

In conducting surveillance of this credit, Moody's considered performance data contained in servicer and remittance reports. Moody's obtains servicer reports on this transaction on a periodic basis, at least annually.

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.

William Horn
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

Michael Gerdes
MD - Structured Finance
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 Two, Affirms Four and Downgrades One CMBS Classes of GCCFC 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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