Approximately $122.1 Million of Structured Securities Affected
New York, July 14, 2010 -- Moody's Investors Service (Moody's) downgraded the ratings of five classes
and affirmed six classes of J.P. Morgan Commercial Mortgage
Finance Corp., Series 2000-C10. The downgrades
are due to higher expected losses for the pool resulting from realized
and anticipated losses from specially serviced and troubled loans and
a decline in loan diversity.
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 13
compared to 43 at Moody's prior review.
The affirmations are due to key parameters, including Moody's
loan to value (LTV) ratio and Moody's stressed debt service coverage
ratio (DSCR), remaining within acceptable ranges.
The rating action is a result of Moody's on-going surveillance
of commercial mortgage backed securities (CMBS) transactions.
As of the June 17, 2010 distribution date, the transaction's
aggregate certificate balance has decreased by 84% to $122.10
million from $740.08 million at securitization. The
Certificates are collateralized by 30 mortgage loans ranging in size from
less than 1% to 15% of the pool, with the top ten
loans representing 71% of the pool. One loan, respresenting
1% of the pool, has defeased and is collateralized with U.S.
Government securities. Defeasance at last review represented 47%
of the pool.
Six loans, representing 10% of the pool, are on the
master servicer's watchlist. The watchlist includes loans
which meet certain portfolio review guidelines established as part of
the CRE Finance Council (CREFC; formerly the Commercial Mortgage
Securities Association) 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.
Eighteen loans have been liquidated from the pool, resulting in
an aggregate realized loss of $23.43 million (29%
loss severity). Twelve loans, representing 61% of
the pool, are currently in special servicing. The largest
specially serviced loan is the Liberty Fair Mall Loan ($18.5
million -- 15% of the pool), which is secured by an
regional retail center located in Martinsville, Virginia.
The loan was transferred to special servicing in December 2009 due to
imminent default and is currently in the process of foreclosure.
The loan has passed its anticipated repayment date (ARD) OF December 1,
2009. The property was 81% leased as of September 2009 compared
to 92% at securitization. Anchor tenants include Belk,
JC Penney Outlet and Sears.
The second largest specially serviced loan is the Hub Tower Loan ($16.1
million -- 13% of the pool), which is secured by a 281,028
square foot office building in Des Moines, Iowa. The property
was 65% leased as of March 2010 compared to 89% at last
review. It is expected that Aviva, which leases 36%
of the net rentable area (NRA), will vacate at the expiration of
its lease at the end of the year. The loan transferred into special
servicing in December 2008 due to imminent default and is currently 90+
days delinquent. The loan matured on 4/01/2010.
The remaining 10 specially serviced loans are secured by a mix of property
types. Moody's has estimated an aggregate $27.0
million loss (38% expected loss on average) for the specially serviced
Moody's has assumed a high default probability for one poorly performing
loan representing 1% of the pool and has estimated a $300,000
loss (29% expected loss based on a 65% probability default)
from this troubled loan. Moody's rating action recognizes
potential uncertainty around the timing and magnitude of loss from this
Moody's was provided with partial year 2009 operating results for
76% of the pool. Excluding specially serviced and troubled
loans, Moody's weighted average LTV is 71% compared
to 82% at Moody's prior review.
Excluding specially serviced and troubled loans, Moody's actual
and stressed DSCRs are 1.38X and 1.96X, respectively,
compared to 1.44X and 1.46X at last review. Moody's
actual DSCR is based on Moody's new 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 conduit loans represent 15% of the pool
balance. The largest loan is the Pavilion East Loan ($7.8
million -- 6.4% of the pool), which is secured
by a retail center located in Richardson, Texas. The center
is anchored by Sprouts Grocer, TJ Maxx, and Richardson Bike
Mart. The property was 92% leased as of December 2009 compared
to 95% at last review. The loan has amortized 10%
since last review. Moody's LTV and stressed DSCR are 54%
and 2.0X, respectively, compared to 60% and
1.75X at last review.
The second largest loan is the Computer Learning Center Loan ($7.2
million -- 5.9% of the pool), which
is secured by a 95,210 square foot office building located in Manassas,
Virginia. This loan has passed its ARD of May 2010 and is currently
on the servicer's watchlist. Although performance has been
stable, the property's three largest tenants, representing
53% of the NRA, mature within the next 12 months.
The loan has amortized 3% since last review. Moody's
LTV and stressed DSCR are 87% and 1.31X, respectively,
compared to 86% and 1.33X at last review.
The third largest loan is the Pavilion West Loan ($3.4 million
-- 2.8% of the pool), which is secured by a retail
property in Dallas, Texas. The loan has amortized 8%
since last review. Moody's LTV and stressed DSCR are 43%
and 2.69X, respectively, compared to 55% and
2.13X at last review.
Moody's rating action is as follows:
-Class X, notional, affirmed at Aaa, previously
assigned Aaa on 11/08/2000
-Class B, $5,208,035, affirmed at
Aaa; previously upgraded to Aaa from Aa2 on 12/14/2005
-Class C, $29,541,000, affirmed
at Aaa; previously upgraded to Aaa from A2 on 12/08/2006
-Class D, $9,232,000, affirmed at
Aaa; previously upgraded to Aaa from A3 on 7/17/2008
-Class E, $23,079,000, affirmed
at A2; previously upgraded to A2 from Baa2 on 7/17/2008
-Class F, $10,155,000, affirmed
at Baa1; previously upgraded to Baa1 from Baa3 on 7/17/2008
-Class G, $14,771,000, downgraded
to B3 from Ba1; previously assigned Ba1 on 11/08/2000
-Class H, $14,771,000, downgraded
to Ca from Ba2; previously assigned Ba2 on 11/08/2000
-Class J, $7,385,000, downgraded
to C from B1; previously downgraded to B1 from Ba3 on 12/14/2005
-Class K, $5,539,000, downgraded
to C from B3; previously downgraded to B3 from B1 on 12/14/2005
-Class L, $2,420,097, downgraded
to C from Ca; previously downgraded to Ca from B2 on 12/14/2006
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 review is summarized
in a press release dated July 17, 2008.
Due to the low herf of this deal, the two principal methodologies
that were used in rating and monitoring this transaction were "CMBS:
Moody's Approach to Conduit Transactions," published on September
15, 2000 and "CMBS: Moody's Approach to Rating Large Loan/Single
Borrower Transactions" dated July 7, 2000. Both methodologies
are available on www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
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.
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Downgrades Five and Affirms Six CMBS Classes of JPMCC 2000-C10