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Announcement:

Moody's Affirms 17 CMBS Classes of JPMCC 2004-C1

Global Credit Research - 22 Apr 2011

Approximately $657.4 Million of Structured Securities Affected

New York, April 22, 2011 -- Moody's Investors Service (Moody's) affirmed the ratings of 17 classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C1 as follows:

Cl. A-2, Affirmed at Aaa (sf); previously on Apr 2, 2004 Definitive Rating Assigned Aaa (sf)

Cl. A-3, Affirmed at Aaa (sf); previously on Apr 2, 2004 Definitive Rating Assigned Aaa (sf)

Cl. A-1A, Affirmed at Aaa (sf); previously on Apr 2, 2004 Definitive Rating Assigned Aaa (sf)

Cl. X-1, Affirmed at Aaa (sf); previously on Apr 2, 2004 Definitive Rating Assigned Aaa (sf)

Cl. B, Affirmed at Aaa (sf); previously on Oct 29, 2008 Upgraded to Aaa (sf)

Cl. C, Affirmed at Aaa (sf); previously on Oct 29, 2008 Upgraded to Aaa (sf)

Cl. D, Affirmed at A1 (sf); previously on Oct 29, 2008 Upgraded to A1 (sf)

Cl. E, Affirmed at A3 (sf); previously on Apr 2, 2004 Definitive Rating Assigned A3 (sf)

Cl. F, Affirmed at Baa1 (sf); previously on Apr 2, 2004 Definitive Rating Assigned Baa1 (sf)

Cl. G, Affirmed at Baa2 (sf); previously on Apr 2, 2004 Definitive Rating Assigned Baa2 (sf)

Cl. H, Affirmed at Baa3 (sf); previously on Apr 2, 2004 Definitive Rating Assigned Baa3 (sf)

Cl. J, Affirmed at Ba3 (sf); previously on Jul 21, 2010 Downgraded to Ba3 (sf)

Cl. K, Affirmed at B1 (sf); previously on Jul 21, 2010 Downgraded to B1 (sf)

Cl. L, Affirmed at B3 (sf); previously on Jul 21, 2010 Downgraded to B3 (sf)

Cl. M, Affirmed at Caa2 (sf); previously on Jul 21, 2010 Downgraded to Caa2 (sf)

Cl. N, Affirmed at Ca (sf); previously on Jul 21, 2010 Downgraded to Ca (sf)

Cl. P, Affirmed at C (sf); previously on Jul 21, 2010 Downgraded to C (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 3.5% of the current balance. At last review, Moody's cumulative base expected loss was 3.0%. Moody's stressed scenario loss is 9.4% 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 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.

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 methodology used in this rating was: "Moody's Approach to Rating Fusion Transactions", published on April 19, 2005.

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 paydown 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 credit estimate 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 credit estimate 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 22 compared to 22 at Moody's prior review.

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 prior full review is summarized in a press release dated July 21, 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 April 15, 2011 distribution date, the transaction's aggregate certificate balance has decreased by 37% to $657.4 million from $1.04 billion at securitization. The Certificates are collateralized by 103 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans representing 39% of the pool. Twelve loans, representing 16% of the pool, have defeased and are collateralized by U.S. Government securities.

Twenty-six loans, representing 17% of the pool, are 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.

One loan has been liquidated from the pool, resulting in a realized loss of $4.6 million (80% loss severity). Currently four loans, representing 4% of the pool, are in special servicing. The largest specially serviced loan is the 610 Broadway Loan ($11.4 million -- 1.7% of the pool), which is secured by a 152,454 square foot office complex built in 1909 and renovated in 2002 and located in the Jewelry District of downtown Los Angeles, California. The loan was transferred to special servicing in January 2010 due to monetary default and the borrower subsequently filed for bankruptcy in May 2010. The borrower filed its bankruptcy plan in November 2010 and the special servicer is currently reviewing the plan. The plan includes a modification to the loan agreement. Terms of the modification include an extension of the maturity date, interest only payments for a portion of the extension, and the ability to pay off the loan any time prior to the new maturity date.

The remaining three specially serviced properties are secured by a mix of property types. Moody's estimates an aggregate $5.1 million loss for the specially serviced loans (61% expected loss on average).

Moody's has assumed a high default probability for four poorly performing loans representing 2% of the pool and has estimated an aggregate $3.7 million loss (24% expected loss based on a 50% probability default) from these troubled loans.

Moody's was provided with full year 2009 operating results for 98% of the pool. Excluding specially serviced loans with estimated losses and troubled loans, Moody's weighted average LTV is 82%, the same as at Moody's prior review. Moody's net cash flow reflects a weighted average haircut of 11% to the most recently available net operating income. Moody's value reflects a weighted average capitalization rate of 9.4%.

Excluding specially serviced loans with estimated losses and troubled loans, Moody's actual and stressed DSCRs are 1.40X and 1.31X, respectively, compared to 1.37X and 1.28X at last review. 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 top three conduit loans represent 27% of the pool. The largest conduit loan is the Hometown America Portfolios IV & V Loan ($87.8 million -- 13.4% of the pool), which is secured by 14 manufactured home communities totaling 3,742 units and located in eight states. The portfolio was 95% leased as of September 2010 compared to 89% at the prior review. The loan has amortized 2% since last review and 9% since securitization. Moody's LTV and stressed DSCR are 67% and 1.45X, respectively, compared to 74% and 1.32X at last review.

The second largest conduit loan is the One Fordham Plaza Loan ($45.7 million -- 7.0% of the pool), which is secured by a 414,002 square foot office building located in Bronx, New York. The property was 85% leased as of September 2010 compared to 92% at last review. The largest tenant is Montefiore Hospital, which leases approximately 125,000 square feet of the net rentable area (NRA) under various leases expiring in 2012 and 2013. Included is a proprietary lease (109,000 square feet), where upon expiration of the initial term in 2012, Montefiore can extend through September 2036 at $1.00 per annum plus expense reimbursements. Other tenants include the New York City Housing Authority (18% of the NRA; lease expiration March 2030) and the New York State Division of Human Rights (13% of the NRA; currently on a month-to-month lease -- working with borrower on a long term lease). Property performance has declined due to both a decrease in rental income as well as increased expenses. The loan has amortized 4% since last review and 29% since securitization. Moody's LTV and stressed DSCR are 90% and 1.20X, respectively, compared to 83% and 1.31X at last review.

The third largest conduit loan is the White Oak Crossing Shopping Center Loan ($40.4 million -- 6.1% of the pool), which is secured by a 517,000 square foot shopping center located approximately seven miles southeast of Raleigh, North Carolina. The center is anchored by BJ's Wholesale Club (22% of the NRA; lease expiration August 2023), Kohl's (17% of the NRA; lease expiration January 2024), and Dick's Sporting Goods (9% of the NRA; lease expiration January 2019). The center is shadow anchored by Target. The center was 95% leased as of December 2010 compared to 94% at the last review. The loan has benefitted from 2% of amortization since last review and 15% since securitization. Moody's LTV and stressed DSCR are 73% and 1.38X, respectively, compared to 82% and 1.22X at last review.

New York
Amit Rustgi
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Sandra Ruffin
VP - Senior Credit Officer
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 17 CMBS Classes of JPMCC 2004-C1
No Related Data.
© 2018 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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