Fitch Upgrades GFCM 2003-1

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has upgraded one and affirmed eight classes of General Electric Capital Assurance Company (GFCM) commercial mortgage pass-through certificates series 2003-1. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The upgrade to class C reflects the stable performance of the remaining pool and continued expected paydown, with 85.1% of the remaining pool fully amortizing. Fitch modeled losses of 6.7% of the remaining pool; expected losses on the original pool balance total 1.6%, including $2.9 million (0.4% of the original pool balance) in realized losses to date. Fitch has applied additional stresses in its base case to factor in the significant retail concentration (41.3%), secondary market locations of the remaining collateral, limited near-term maturities, dated financials (year-end [YE] 2015 data was received for approximately 50% of pool) and limited tranche thickness. In addition, the risk for interest shortfalls or the potential for interest shortfalls to occur were considered in determining the rating actions.

Fitch has designated 16 loans (16.8%) as Fitch Loans of Concern; 71 of the original 171 loans remain. There are no loans in special servicing and none are defeased. The weighted average Fitch Loan-to-Value for the remaining loans in the pool is low at 48.8%.

As of the May 2016 distribution date, the pool's aggregate principal balance has been reduced by 81.8% to $149.9 million from $822.6 million at issuance. Interest shortfalls are currently affecting classes H through J. Loan maturities are as follows: 11.5% between 2017 and 2018, 5.3% in 2019, 1.8% in 2020, with the majority of the loans maturing between 2021 and 2023.

The largest loan in the pool (9.8%) is Gateway Center I, which is cross-collateralized with Gateway Center II, currently the seventh largest loan in the pool. Gateway Center I is secured by a 259,759 square foot (sf) anchored retail center in Patchogue, NY. Tenants include Bob's Stores, Best Buy, Marshall's and Home Goods, all that have tenant expirations prior to the loan's April 2023 maturity. The servicer reported occupancy and debt service coverage ratio (DSCR) were 99.0% and 2.02x respectively, as of YE 2015.

Cortland Ridge Apartments (4.3%), the largest Fitch Loan of Concern, is secured by a 144-unit multifamily property located in Orem, UT. DSCR has been trending downward over the past several years at a reported 1.01x as of YE 2015 compared to 1.11x at YE 2014 and 1.46x at YE 2013 due to increased operating expenses.

RATING SENSITIVITIES

Upgrades are possible on classes A-5 through F, particularly on class E, should the loans within the top 15 renew their major tenant leases that are scheduled to expire prior to maturity. Subordinate classes could be downgraded if expected losses increase.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Fitch has upgraded the following class:

--$13.4 million class C to 'AAAsf' from 'AAsf'; Outlook Stable.

Fitch has affirmed the following ratings:

--$82.9 million class A-5 at 'AAAsf'; Outlook Stable;

--$11.3 million class B at 'AAAsf'; Outlook Stable;

--$11.3 million class D at 'Asf'; Outlook Stable;

--$10.3 million class E at 'BBBsf'; Outlook Positive from Stable;

--$12.3 million class F at 'Bsf'; Outlook Stable;

--$7.2 million class G at 'Csf'; RE 75%.

--$1.2 million class H at 'Dsf'; RE 0%;

--$0 class J at 'Dsf'; RE 0%.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Rating Caps and Limitations in Global Structured Finance Transactions (pub. 28 May 2014)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748781

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

U.S. and Canadian Fixed-Rate Multiborrower CMBS Surveillance and U.S. Re-REMIC Criteria (pub. 13 Nov 2015)https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873395

Additional Disclosures

Dodd-Frank Rating Information Disclosure Formhttps://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1005520

Solicitation Statushttps://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1005520

Endorsement Policyhttps://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160602006612/en/

Fitch Ratings
Tiffany Pierce, +1-212-908-9107
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1-212-908-0785
Managing Director
or
Media Relations, New York
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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