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Rating Action:

Moody's Affirms Twelve Classes of JPMCC 2011-C5

22 Jun 2015

Approximately $951 Million of Structured Securities Affected

New York, June 22, 2015 -- Moody's Investors Service has affirmed the ratings on twelve classes in J.P. Morgan Chase Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-C5 as follows:

Cl. A-2, Affirmed Aaa (sf); previously on Jun 26, 2014 Affirmed Aaa (sf)

Cl. A-3, Affirmed Aaa (sf); previously on Jun 26, 2014 Affirmed Aaa (sf)

Cl. A-S, Affirmed Aaa (sf); previously on Jun 26, 2014 Affirmed Aaa (sf)

Cl. A-SB, Affirmed Aaa (sf); previously on Jun 26, 2014 Affirmed Aaa (sf)

Cl. B, Affirmed Aa2 (sf); previously on Jun 26, 2014 Affirmed Aa2 (sf)

Cl. C, Affirmed A2 (sf); previously on Jun 26, 2014 Affirmed A2 (sf)

Cl. D, Affirmed Baa3 (sf); previously on Jun 26, 2014 Affirmed Baa3 (sf)

Cl. E, Affirmed Ba2 (sf); previously on Jun 26, 2014 Affirmed Ba2 (sf)

Cl. F, Affirmed B1 (sf); previously on Jun 26, 2014 Affirmed B1 (sf)

Cl. G, Affirmed B3 (sf); previously on Jun 26, 2014 Affirmed B3 (sf)

Cl. X-A, Affirmed Aaa (sf); previously on Jun 26, 2014 Affirmed Aaa (sf)

Cl. X-B, Affirmed Ba3 (sf); previously on Jun 26, 2014 Affirmed Ba3 (sf)

RATINGS RATIONALE

The ratings on eight P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges.

The ratings on two P&I classes were affirmed because the ratings are consistent with Moody's expected loss.

The ratings on the two IO classes were affirmed based on the credit performance (or the weighted average rating factor or WARF) of the referenced classes.

Moody's rating action reflects a base expected loss of 2.2% of the current balance, compared to 2.2% at Moody's last review. Moody's base expected loss plus realized losses is now 2.1% of the original pooled balance, compared to 2.0% 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://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

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 methodologies used in this rating were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in December 2014, and "Moody's Approach to Rating CMBS Large Loan/Single Borrower Transactions" published in July 2000. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

DESCRIPTION OF MODELS USED

Moody's review used the excel-based CMBS Conduit Model, which it uses for both conduit and fusion transactions. Credit enhancement levels for conduit loans are driven by property type, Moody's actual and stressed DSCR, and Moody's property quality grade (which reflects the capitalization rate Moody's uses to estimate Moody's value). Moody's fuses the conduit results with the results of its analysis of investment grade structured credit assessed loans and any conduit loan that represents 10% or greater of the current pool balance.

Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the 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 Moody's last review.

When the Herf falls below 20, Moody's uses the excel-based Large Loan Model and then reconciles and weights the results from the conduit and large loan models in formulating a rating recommendation. 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. 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 June 17, 2015 distribution date, the transaction's aggregate certificate balance has decreased by 8% to $951 million from $1.0 billion at securitization. The certificates are collateralized by 40 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans constituting 64% of the pool.

Three loans, constituting 7% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance.

No loans are currently in special servicing.

Moody's received full year 2013 operating results for 93% of the pool, and full or partial year 2014 operating results for 73% of the pool. Moody's weighted average conduit LTV is 86%, the same as 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 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%.

Moody's actual and stressed conduit DSCRs are 1.72X and 1.22X, respectively, compared to 1.75X and 1.22X 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 33% of the pool balance. The largest loan is the InterContinental Hotel Chicago Loan ($141.6 million -- 14.9% of the pool), which is secured by a 792-key full-service hotel located on North Michigan Avenue in Chicago, Illinois. The property includes over 25,000 square feet (SF) of meeting space, a Michael Jordan's steakhouse restaurant, and an indoor junior Olympic size pool. Property performance has improved since securitization, in line with Moody's expectation. The property has fared well relative to its competitors as evidenced by a RevPAR penetration index in excess of 102% for the past three years. Moody's LTV and stressed DSCR are 91% and 1.22X, respectively, compared to 93% and 1.20X at the last review.

The second largest loan is the SunTrust Bank Portfolio I Loan ($99.7 million -- 10.5% of the pool). The loan is secured by 119 bank branches and two single-tenant office buildings. As of December 2014, the properties were 100% leased to SunTrust Bank (Moody's senior unsecured rating Baa1, stable outlook) as part of a master lease agreement through December 2017 with multiple additional lease extensions.. The collateral was part of a larger net lease sale from Inland American Real Estate Trust to American Realty Capital. The total transaction was approximately $2.3 billion. Approximately $223 million of the purchase price was allocated to the subject collateral. The properties are located in nine Eastern states, from Maryland to Florida. Moody's LTV and stressed DSCR are 66% and 1.47X, respectively, compared to 67% and 1.45X at the last review.

The third largest loan is the Asheville Mall Loan ($72.4 million -- 7.6% of the pool). The loan is secured by a 324,000 SF portion of a 1 million square foot regional mall located in Asheville, North Carolina. The mall anchors include Dillard's, Sears, JC Penney, Belk, and Barnes and Noble. As of June 2014, the total mall was 97% leased compared to 100% at last review and in-line space was 98% leased and has reported occupancy above 94% since at least 2008. Property performance has continued to improve since securitization. The loan sponsor is CBL & Associates Properties, Inc., a retail REIT based in Chattanooga, Tennessee. Moody's LTV and stressed DSCR are 75% and 1.33X, respectively, compared to 89% and 1.12X 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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

Ryan Morrell
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

Keith Banhazl
Senior Vice President
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

Moody's Affirms Twelve Classes of JPMCC 2011-C5
No Related Data.
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