Approximately $45.49 Million of Structured Securities Affected
New York, April 27, 2011 -- Moody's Investors Service (Moody's) affirmed the ratings of four classes
of J.P. Morgan Commercial Mortgage Finance Corp.,
Mortgage Pass-Through Certificates, Series 2000-C9
as follows:
Cl. X, Affirmed at Aaa (sf); previously on Mar 9,
2011 Confirmed at Aaa (sf)
Cl. G, Affirmed at Aa3 (sf); previously on Jul 21,
2010 Upgraded to Aa3 (sf)
Cl. H, Affirmed at B1 (sf); previously on Nov 19,
2002 Downgraded to B1 (sf)
Cl. J, Affirmed at C (sf); previously on Nov 22,
2005 Downgraded to C (sf)
RATINGS RATIONALE
The affirmations are due to key rating 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.
Moody's rating action reflects a cumulative base expected loss of
25.5% of the current balance. At last review,
Moody's cumulative base expected loss was 15.4%.
Moody's stressed scenario loss is 26.3% 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 U.S. Conduit Transactions" dated September
15, 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single
Borrower Transactions" published in July 2000.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
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 and the CMBS Large Loan Model v 8.0. 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 underlying ratings 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 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 4,
essentially the same as at Moody's prior review.
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.
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 94% to $45.49
million from $814.38 million at securitization. The
Certificates are collateralized by 9 mortgage loans ranging in size from
2% to 22% of the pool. The pool faces significant
refinance risk, as three loans representing 52% of the pool,
either have matured or will mature within the next six months.
One loan, representing 18% 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's (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.
Twenty-three loans have been liquidated from the pool, resulting
in an aggregate $32.53 million realized loss (38%
loss severity on average). Currently there are three loans,
representing 50% of the pool, in special servicing.
The largest specially serviced loan is the Hickory Hospitality Portfolio
Loan ($10.2 million -- 22.4%),
which is secured by four limited service hotels totaling 388 guest-rooms.
The hotels are all located in North Carolina. The loan transferred
to special servicing in December 2010 due to payment default. Competition
from newer properties and the overall decline in the hotel sector has
contributed to the portfolio's weak performance. The loan is in
foreclosure.
The second largest specially serviced loan is the Cory Industries Loan
($8.32 million -- 18.3%), which
is secured by four industrial buildings located in Elizabeth, New
Jersey. The loan transferred to special servicing in October 2009
for imminent default. The loan is current and the borrower has
requested a loan modification.
Moody's has estimated an aggregate $9.8 million loss (50%
expected loss on average) for the specially serviced loans. The
master servicer has recognized a $777,800 appraisal reduction
for one of the specially serviced loans.
Moody's has assumed a high default probability for one poorly performing
loan representing 15% of the pool and has estimated a $1.7
million aggregate loss (25% expected loss based on a 100%
probability default) from this troubled loan.
Based on the most recent remittance statement, Classes J through
NR have experienced cumulative interest shortfalls totaling $1.6
million. Interest shortfalls are caused by special servicing fees,
including workout and liquidation fees, appraisal subordinate entitlement
reductions (ASERs), extraordinary trust expenses and non-advancing
by the master servicer based on a determination of non-recoverability.
Interest shortfalls currently affect Class H. Moody's is
concerned that interest shortfalls may spike up beyond this class because
of the pool's high exposure to specially serviced loans.
Moody's was provided with full or partial year 2010 operating results
for 100% of the pool. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 75% compared
to 77% at last review. Moody's net cash flow reflects
a weighted average haircut of 13% to the most recently available
net operating income. Moody's value reflects a weighted average
capitalization rate of 10.1%.
Moody's actual and stressed DSCRs are 1.12X and 1.59X,
respectively, compared to 1.48X and 1.56X 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 performing loans represent 25% of the pool balance.
The largest loan is the Bridgewater Place Loan ($6.8 million
-- 15.0% of the pool), which is secured by a
140,200 square foot office building located in Syracuse, New
York. The building was 79% leased as of December 2010,
essentially the same as at last review. The loan is currently on
the watchlist due to the drop in leasing. The loan has passed its
April 2009 anticipated repayment date (ARD). Moody's has assumed
a high probability of default for this loan due to concerns with the property's
declining performance. Moody's LTV and stressed DSCR are 133%
and 0.85X, respectively, compared to 100% and
1.14X at last review.
The second largest loan is the K-Mart -- Baltimore
Loan ($3.2 million -- 6.5% of
the pool), which is secured by a retail center located in Baltimore,
Maryland. The property is anchored by K-Mart, which
leases 79% of the property's net rentable area (NRA) through November
2014. The property was 95% leased as of September 2010,
the same as at last review. The loan has passed its December 2009
ARD. Moody's LTV and stressed DSCR are 86% and 1.22X,
respectively, compared to 93% and 1.14X at last review.
The third largest loan is the Greenmount Avenue Shopping Center Loan ($1.4
million -- 3.1%), which is secured by a retail
property located in Baltimore, Maryland. The center was 100%
leased as of September 2010. Performance is stable. Moody's
LTV and stressed DSCR are 90% and 1.32X, respectively,
compared to 92% and 1.29X at last review.
New York
Polina Margolina
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 Four CMBS Classes of JPMC 2000-C9
