Approximately $11.8 Million of Structured Securities Affected
New York, April 06, 2017 -- Moody's Investors Service has affirmed the ratings on three classes
in J.P. Morgan Chase Commercial Mortgage Securities Corp.,
Commercial Mortgage Pass-Through Certificates, Series 2002-C3
as follows:
Cl. F, Affirmed B1 (sf); previously on May 19,
2016 Upgraded to B1 (sf)
Cl. G, Affirmed Ca (sf); previously on May 19,
2016 Reinstated to Ca (sf)
Cl. X-1, Affirmed Caa3 (sf); previously on May
19, 2016 Affirmed Caa3 (sf)
RATINGS RATIONALE
The rating on Class F was affirmed at B1 (sf) due to a temporary principal
loss and previous interest shortfalls. Class F is fully covered
by defeasance, however, the class had previous interest shortfalls
for nearly four years and had a previous principal loss that has since
been recovered.
The rating on Class G was affirmed because the ratings are consistent
with Moody's expected loss plus realized losses. Class G
has already experienced a 39% realized loss as result of previously
liquidated loans.
The rating on the IO class (Class X-1) was affirmed based on the
credit performance of its referenced classes.
Moody's does not anticipate losses from the remaining collateral
in the current environment. However, over the remaining life
of the transaction, losses may emerge from macro stresses to the
environment and changes in collateral performance. Our ratings
reflect the potential for future losses under varying levels of stress.
Moody's base expected loss plus realized losses is now 9.1%
of the original pooled balance, the same as at the 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.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. Performance
that falls outside the given range can indicate that the collateral's
credit quality is stronger or weaker than Moody's had previously expected.
Factors that could lead to an upgrade of the ratings include a significant
amount of loan paydowns or amortization, an increase in the pool's
share of defeasance or an improvement in pool performance.
Factors that could lead to a downgrade of the ratings include a decline
in the performance of the pool, loan concentration, an increase
in realized and expected losses from specially serviced and troubled loans
or interest shortfalls.
METHODOLOGY UNDERLYING THE RATING ACTION
The primary methodology used in these ratings was "Moody's
Approach to Rating Large Loan and Single Asset/Single Borrower CMBS"
published in October 2015. Please see the Rating Methodologies
page on www.moodys.com for a copy of this methodology.
Additionally, the methodology used in rating Cl. X-1
was "Moody's Approach to Rating Structured Finance Interest-Only
Securities" published in October 2015. Please see the Rating
Methodologies page on www.moodys.com for a copy of this
methodology.
Please note that on February 27, 2017, Moody's released a
"Request for Comment" in which it has requested market feedback on proposed
changes to its methodology for rating structured finance interest-only
(IO) securities called "Moody's Approach to Rating Structured Finance
Interest-Only Securities," dated October 20, 2015.
If Moody's adopts the new methodology as proposed, the changes could
affect the ratings of J.P. Morgan Chase Commercial Mortgage
Securities Corp., Series 2002-C3. Please see
"Moody's Proposes Revised Approach to Rating Structured Finance
Interest-Only (IO) Securities", which is available at www.moodys.com,
for more information about the implications of the proposed changes to
the methodology on Moody's ratings.
DESCRIPTION OF MODELS USED
Moody's analysis used the excel-based Large Loan Model.
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 and property type. Moody's also further adjusts
these aggregated proceeds for any pooling benefits associated with loan
level diversity and other concentrations and correlations.
DEAL PERFORMANCE
As of the March 13, 2017 distribution date, the transaction's
aggregate certificate balance has decreased by 98% to $11.8
million from $745 million at securitization. The certificates
are collateralized by six mortgage loans ranging in size from 7%
to 38% of the pool. Two loans, constituting 50%
of the pool, have defeased and are secured by US government securities.
Eleven loans have been liquidated from the pool, resulting in an
aggregate realized loss of $67.7 million (for an average
loss severity of 69%).
Moody's received full year 2015 and full or partial year 2016 operating
results for 100% of the pool (excluding specially serviced and
defeased loans). Moody's weighted average conduit LTV is
31%, compared to 34% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced
and troubled loans. Moody's net cash flow (NCF) reflects
a weighted average haircut of 12% to the most recently available
net operating income (NOI). Moody's value reflects a weighted
average capitalization rate of 9%.
Moody's actual and stressed conduit DSCRs are 1.58X and 3.64X,
respectively, compared to 1.64X and 3.37X at the last
review. Moody's actual DSCR is based on Moody's NCF
and the loan's actual debt service. Moody's stressed
DSCR is based on Moody's NCF and a 9.25% stress rate
the agency applied to the loan balance.
The top three conduit loans represent 43% of the pool balance.
The largest loan is the Conroe Shopping Center Loan ($2.1
million -- 18.0% of the pool), which is secured
by a 51,000 square foot (SF) retail center located in Conroe,
Texas (approximately 41 miles north of downtown Houston). The property
was 96% leased as of December 2016, compared to 100%
leased in September 2015. The loan is fully amortizing, has
paid down 57% since securitization and matures in December 2022.
Moody's LTV and stressed DSCR are 33% and 3.08X, respectively.
The second largest loan is the Shoal Creek Apartments, Phase II
Loan ($1.9 million -- 16.6% of the pool),
which is secured by an 87-unit multifamily complex located in Athens,
Georgia, near the University of Georgia campus. The property
was 100% leased as of December 2016, the same as at last
review. The loan is fully amortizing, has paid down 56%
since securitization and matures in November 2022. Moody's LTV
and stressed DSCR are 41% and 2.37X, respectively.
The third largest loan is the Golden State-Santa Clarita Loan ($1.0
million -- 8.5% of the pool), which is secured
by a 688 unit self-storage facility in Santa Clarita, California.
The property was 98% leased as of September 2016, compared
to 96% leased as of December 2015 and 85% in December 2014.
The loan is fully amortizing, has paid down 56% since securitization
and matures in September 2022. Moody's LTV and stressed DSCR are
19% and greater than 4.00X, respectively, compared
to 21% and greater than 4.00X at the last review.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
Moody's did not use any stress scenario simulations in its analysis.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
Christopher Bergman
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
Matthew Halpern
Vice President - Senior Analyst
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
