Approximately $698.0 Million of Structured Securities Affected
New York, March 30, 2011 -- Moody's Investors Service (Moody's) affirmed the ratings of 12 classes
of J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2010-C1
as follows:
Cl. A-1, Affirmed at Aaa (sf); previously on
Jun 24, 2010 Definitive Rating Assigned Aaa (sf)
Cl. A-2, Affirmed at Aaa (sf); previously on
Jun 24, 2010 Definitive Rating Assigned Aaa (sf)
Cl. A-3, Affirmed at Aaa (sf); previously on
Jun 24, 2010 Definitive Rating Assigned Aaa (sf)
Cl. X-A, Affirmed at Aaa (sf); previously on
Jun 24, 2010 Definitive Rating Assigned Aaa (sf)
Cl. X-B, Affirmed at Aaa (sf); previously on
Jun 24, 2010 Definitive Rating Assigned Aaa (sf)
Cl. B, Affirmed at Aa2 (sf); previously on Jun 24,
2010 Definitive Rating Assigned Aa2 (sf)
Cl. C, Affirmed at A3 (sf); previously on Jun 24,
2010 Definitive Rating Assigned A3 (sf)
Cl. D, Affirmed at Baa2 (sf); previously on Jun 24,
2010 Definitive Rating Assigned Baa2 (sf)
Cl. E, Affirmed at Baa3 (sf); previously on Jun 24,
2010 Definitive Rating Assigned Baa3 (sf)
Cl. F, Affirmed at Ba2 (sf); previously on Jun 24,
2010 Definitive Rating Assigned Ba2 (sf)
Cl. G, Affirmed at B1 (sf); previously on Jun 24,
2010 Definitive Rating Assigned B1 (sf)
Cl. H, Affirmed at B3 (sf); previously on Jun 24,
2010 Definitive Rating Assigned B3 (sf)
RATINGS RATIONALE
The 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.
Moody's rating action reflects a cumulative base expected loss of
1.5% of the current balance. Moody's stressed
scenario loss is 4.3% 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 methodologies used in this rating were "CMBS:
Moody's Approach to Rating Fusion Transactions" published in April
2005 and "CMBS: Moody's Approach to Rating Single Borrower/Large
Loan Transactions", published in September 2000. Other
methodologies and factors that may have been considered in the process
of rating this issuer can also be found on Moody's website.
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 pay down 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 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 17,
the same as at securitization.
In cases where the Herf falls below 20, Moody's employs the
large loan/single borrower methodology. This methodology uses the
excel-based Large Loan Model v 8.0. 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. These aggregated
proceeds are then further adjusted for any pooling benefits associated
with loan level diversity, other concentrations and correlations.
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 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 assigned definitive
ratings summarized in a press release dated June 24, 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 March 15, 2011 distribution date, the transaction's
aggregate certificate balance has decreased by 0.9% to $709.6
million from $716.3 million at securitization. The
Certificates are collateralized by 39 mortgage loans ranging in size from
less than 1% to 14% of the pool, with the top ten
loans representing 55% of the pool. The pool contains five
loans with investment-grade credit estimates that represent 17%
of the pool.
To date, the pool has not experienced any losses and there are no
loans currently on the master servicer's watchlist or in special
servicing.
Moody's has utilized the same financial statements provided at securitization
with limited updated information. Moody's weighted average
LTV is 83%, the same as at securitization. Moody's
net cash flow reflects a weighted average haircut of 12% to the
most recently available net operating income. Moody's value
reflects a weighted average capitalization rate of 9.3%.
Moody's actual and stressed DSCRs are 1.46X and 1.23X,
respectively, compared to 1.46X and 1.22X at securitization.
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.
The largest loan with an investment-grade credit estimate is the
Cole Portfolio Loan ($41.6 million -- 5.9%
of the pool), which is secured by a pool of 16 single-tenant
retail properties located across 10 states with a large concentration
in Texas. There are seven Walgreens, two LA Fitness Centers,
two Fed Ex distribution centers, two Advance Autos, two Tractor
Supplies, and one Academy Sports. The average property size
is 27,000 square feet (SF); the pool's total size is
466,000 SF. At securitization, the portfolio was 100%
leased. The sponsor is Cole Capital REIT. Moody's
current credit estimate and stressed DSCR are Baa3 and 1.55X,
the same as at securitization.
The second largest loan with a credit estimate is the Berry Plastics Portfolio
($28.5 million -- 4.0% of the pool),
which is secured by three single-tenant properties that are leased
to Berry Plastics (Moody's unsecured debt rating Caal -- stable
outlook). The properties are located in Indiana, Kansas and
Maryland. The portfolio consists of 1.43 million SF.
The leases expire in 2028 and have two 10-year renewal options.
The sponsor is WP Carey. Moody's current credit estimate
and stressed DSCR are Baa2 and 1.6X, the same as at securitization.
The third largest loan with a credit estimate is the CVS Portfolio 1 ($22.2
million -- 3.1% of the pool), which is secured
by a portfolio of ten, free-standing retail properties leased
to CVS/Caremark Corp.(CVS; Moody's senior unsecured
shelf rating of (P)Baa2 -- stable outlook). The average size
is 13,000 SF and the leases run through to 2034 and 2035.
The properties are located in Florida, Indiana, Alabama,
Arizona, Georgia, North Carolina, Maine and Minnesota.
The sponsor is American Realty Capital Trust. Moody's current
credit estimate and stressed DSCR are Baa3 and 1.48X, the
same as at securitization
The fourth largest loan with a credit estimate is the 4075 Channel Drive
Loan ($15.0 million -- 2.1% of the pool),
which is secured by a 119,000 SF freight truck terminal and distribution
center that is 100% leased to FedEx (Moody's senior unsecured
debt rating Baa2 -- stable outlook) through 2021. The sponsor
is American Realty Capital Trust. Moody's current credit
estimate and stressed DSCR are Baa1 and 1.8X, the same as
at securitization.
The fifth loan with a credit estimate is the CVS Portfolio 2 ($10.4
million -- 1.5% of the pool), which is secured
by a portfolio of five retail properties leased to CVS. The average
size is 13,500 SF and the leases run through to 2034. The
properties are located in California, Florida, Missouri,
North Carolina and Nevada. The sponsor is American Realty Capital
Trust. Moody's current credit estimate and stressed DSCR
are Baa3 and 1.48X, the same as at securitization.
The top three performing conduit loans represent 25% of the pool
balance. The largest loan is the Gateway Salt Lake Loan ($100.0
million -- 14.0% of the pool), which is secured
by a 624,000 SF open-air life-style center located
in Salt Lake City, Utah. Anchor tenants include Barnes and
Noble, Dick's Sporting Goods, and Gateway Theatres.
At securitization, in-line sales per square feet were $373
compared to $441 in 2008. The property was 98% leased
at securitization. The sponsor is Inland Western Retail REIT.
Moody's LTV and stressed DSCR are 76% and 1.28X,
respectively, essentially the same as at securitization.
The second largest loan is the Inland Western Retail Portfolio A Loan
($47.1 million -- 6.6% of the pool),
which is secured by four multi-tenanted retail properties totaling
470,000 SF located in Virginia, California, New Jersey
and Texas. The portfolio's largest tenants are Save Mart
Supermarket (12% of the gross leasable area (GLA); lease expiration
in 2026), Acme/Albertson's (12% of the GLA; lease
expiration in 2023), Gold's Gym (10% of the GLA;
lease expiration in 2013) and Office Depot (4% of the GLA;
lease expiration in 2019). At securitization, the portfolio
was 89% leased. The sponsor is Inland Western Retail REIT.
Moody's LTV and stressed DSCR are 92% and 1.1X,
respectively, essentially the same as at securitization.
The third largest loan is the Columbia Center I & II Loan ($32.6
million -- 4.6% of the pool), which is secured
by a two 14-story Class A office towers located in Troy,
Michigan. The property totals approximately 507,000 SF.
The largest tenants are Giarmarco, Mullins & Horton PC (10%
of the net rentable area (NRA); expiration in 2017), Kemp Klein
Law Firm (5.7% of the NRA; expiration in 2014) and
Bodman LLP (5.5% of the NRA; expiration in 2014).
At securitization, the property was 87% leased. The
sponsor is Orley Family and Kirco Development. Moody's LTV
and stressed DSCR are 99% and 1.32X, respectively,
essentially the same as at securitization.
New York
Sandra Ruffin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Juan Acosta
Analyst
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 Affirms 12 CMBS Classes of JPMCC 2010-C1
