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17 Sep 2010
Approximately $484.6 Million of Structured Securities Affected
New York, September 17, 2010 -- Moody's Investors Service has assigned definitive ratings to seven classes
of CMBS securities, issued by J.P. Morgan Chase Commercial
Mortgage Securities Corp. Commercial Mortgage Pass-Through
Certificates, Series 2010-CNTR.
US$70.032M Class A-1 Certificate, Definitive
Rating Assigned Aaa (sf)
US$272.095M Class A-2 Certificate, Definitive
Rating Assigned Aaa (sf)
Class X-A Certificate, Definitive Rating Assigned Aaa (sf)
Class X-B Certificate, Assigned A2 (sf); previously
on Aug 24, 2010 Assigned NR (sf)
US$43.41M Class B Certificate, Definitive Rating Assigned
US$38.628M Class C Certificate, Definitive Rating
Assigned A2 (sf)
US$60.4608M Class D Certificate, Definitive Rating
Assigned Baa3 (sf)
The Certificates are collateralized by a single loan backed by first lien
commercial mortgages related to 72 retail properties. The borrowers
underlying the mortgage consist of 23 special-purpose entities
(SPE), which are majority owned and controlled by Centro NP,
The ratings are based on the collateral and the structure of the transaction.
Moody's rating approach for securities backed by a single loan compares
the credit risk inherent in the underlying properties with the credit
protection offered by the structure. The structure's credit enhancement
is quantified by the maximum deterioration in property value that the
securities are able to withstand under various stress scenarios without
causing an increase in the expected loss for various rating levels.
In assigning single borrower ratings Moody's also considers a range of
qualitative issues as well as the transaction's structural and legal aspects.
The credit risk of the loan is determined primarily by two factors:
1) Moody's assessment of the probability of default, which is largely
driven by the DSCR, and 2) Moody's assessment of the severity of
loss in the event of default, which is largely driven by the LTV
of the underlying loan. Moody's Trust LTV Ratio of 73.2%
is in-line with other fixed-rate multiple-property
loans that have previously been assigned an underlying rating of Baa3.
Moody's Total LTV ratio (inclusive of subordinated debt) of 86.6%
is also considered when analyzing various stress scenarios for the rated
debt. The Moody's Trust Stressed DSCR of 1.40X and Moody's
Total Stressed DSCR (inclusive of subordinated debt) of 1.19X are
considered to be in-line with other Moody's rated loans of similar
The loan is solely collateralized by retail properties that are cross-collateralized
and cross-defaulted. Properties representing approximately
60.3% of the allocated loan amount are grocery-anchored.
Despite a challenging retail environment, loans that are collateralized
by grocery-anchored retail properties have experienced low net
operating income volatility relative to the larger retail sector.
The retail assets collateralizing loans in the pool averaged only a slight
decrease of 1.1% in net operating income from the fiscal
year ending in June 2008 to the most recent trailing twelve month reporting
period ending in June 2010.
In assessing the benefit due to "crossing" for this transaction,
Moody's examined underlying diversity that resulted from asset pooling.
Moody's considered the Herfindahl Score of the portfolio by allocated
loan amounts, as well as the diversity of tenants and property locations
given a single property type.
The properties underlying the loan are geographically diverse and benefit
from a Herfindahl score of 38. However, significant correlations
exist given pooling within a single property type. Retail portfolios
are generally more correlated than industrial and multifamily pools but
much less correlated than lodging and healthcare pools. However,
this transaction is diverse when compared to other single borrower securitizations
issued since 2009.
The principal methodology used in rating the certificates in the transaction
was "Moody's Approach to Rating Large Loan/Single Borrower Transactions"
rating methodology published in July 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. In addition,
Moody's publishes a weekly summary of structured finance credit,
ratings and methodologies, available to all registered users of
our website, at www.moodys.com/SFQuickCheck.
Moody's analysis employs the excel-based Large Loan Model v 8.0
which derives credit enhancement levels based on an aggregation of adjusted
loan level proceeds derived from Moody's loan level LTV ratio.
Major adjustments to determining proceeds include leverage, loan
structure, property type, sponsorship and diversity.
The V Score for this transaction is assessed as Medium, the same
as the V score assigned to the U.S. Single Borrower CMBS
sector. This reflects typical volatility with respect to the critical
assumptions used in the rating process as well as an average disclosure
of securitization collateral and ongoing performance. However,
the risk of borrower bankruptcy creates greater legal uncertainty relative
to other Moody's rated single borrower securitizations, given that
Centro currently is assigned a senior unsecured rating of Caa2 (negative
outlook). Moody's believes that strong organizational documents
at the SPE level serve as a significant deterrent against SPE bankruptcy
filings, although certain provisions within these documents have
not been tested in court.
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction (rather than individual tranches).
Moody's Parameter Sensitivities: If Moody's value of the collateral
used in determining the initial rating were decreased by 5%,
15%, or 25%, the model-indicated rating
for the currently rated Aaa classes would be Aa2, A2, Baa3,
respectively. Parameter Sensitivities are not intended to measure
how the rating of the security might migrate over time; rather they
are designed to provide a quantitative calculation of how the initial
rating might change if key input parameters used in the initial rating
process differed. The analysis assumes that the deal has not aged.
Parameter Sensitivities only reflect the ratings impact of each scenario
from a quantitative/model-indicated standpoint. Qualitative
factors are also taken into consideration in the ratings process,
so the actual ratings that would be assigned in each case could vary from
the information presented in the Parameter Sensitivity analysis.
Moody's Investors Service received and took into account one or more third
party due diligence reports on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Moody's considers the quality of information available on the issuer or
obligation satisfactory for the purposes of assigning a credit rating.
MOODY'S adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
MOODY'S considers to be reliable including, when appropriate,
independent third-party sources. However, MOODY'S
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
MD - Structured Finance
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's Assigns Definitive Ratings to Seven CMBS Classes of JPMCC 2010-CNTR
250 Greenwich Street
New York, NY 10007
No Related Data.
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