Approximately $484.6 Million of Structured Securities Affected
New York, August 24, 2010 -- Moody's Investors Service has assigned provisional to ratings six class
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, Assigned
US$272.095M Class A-2 Certificate, Assigned
Class X-A Certificate, Assigned (P)Aaa (sf)
US$43.41M Class B Certificate, Assigned (P)Aa2 (sf)
US$38.628M Class C Certificate, Assigned (P)A2 (sf)
US$60.4608M Class D Certificate, Assigned (P)Baa3
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
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 respective leverages.
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"
published on July 7, 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.
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 Service's information.
Moody's considers the quality of information available on the issuer
or obligation satisfactory for the purposes of assigning a credit rating.
The special reports, "Updated Report on V Scores and Parameter Sensitivities
for Structured Finance Securities" and "V Scores and Parameter Sensitivities
in the U.S. CMBS Sector" are available on moodys.com.
Additional research, including the pre-sale report for this
transaction and reports for prior transactions, are available at
www.moodys.com. 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 Investors Service adopts all necessary measures so that the information
it uses in assigning a credit rating is of sufficient quality and from
reliable sources; however, Moody's Investors Service does not
and cannot in every instance independently verify, audit 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 Provisional Ratings to Six CMBS Classes of JPMCC 2010-CNTR
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